Donchian Channels

Donchian Channels plot the highest high and lowest low of the last period bars. The middle line is the average of the two. There's no smoothing, no math - just rolling extremes.

Formula

upper  = max(high, last N bars)
lower  = min(low,  last N bars)
middle = (upper + lower) / 2

Params

• period - lookback in bars. Required.

Output

Three columns:

• {name}_upper
• {name}_middle
• {name}_lower

Usage

• Breakout entries: long on close above upper (made by some earlier bar, not the current one). The classic Turtle System buys 20-day breakouts and exits on 10-day low.
• Trailing stop: use Donchian lower (long) or Donchian upper (short) as an exit reference; see Stops & exits.
• Range detection: tight Donchian channels = sideways market.

Pitfalls

• Donchian leaks the current bar's high/low into the channel. When you ask "is close > donchian_upper" you're asking "is close

  max(high) over the window that includes the current bar." Use crossover or shift the indicator if you need a pure breakout-vs-previous-channel signal.

• Whipsaws in chop: rolling extremes shift every bar, so a noisy market produces fake breakouts both directions.