ETF Prophet

Following up on the first post here from over two years ago, below is the current performance report for the Percent Exposure Donchian Channel system. I have made some improvements in my backtester to handle recording trades to better simulate how trad…

System Rules: Enter on 100 day Donchian Channel breakouts Exit on 20 day Donchian Channel breakouts 2 ATR (10 day exponential average) stop. Market selection based on RS Momentum Ranking Strategy 1 Enter top 6 markets ranked by ((1 year price change + 1 month price change)/2) / (10 day ATR) Strategy 2 Enter bottom [...]

System Rules: Enter on 100 day Donchian Channel breakouts Exit on 20 day Donchian Channel breakouts 2 ATR (10 day exponential average) stop. Position Size = ((Account Equity * 1%)/2 ATR) Transaction Slippage = 2 ticks Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, [...]

This idea was put forth by David Varadi over at CSS Analytics. (see his orignial post here, and the follow-up) The basis of the method David describes in his post is to use a larger Donchian Channel to determine the main trend, then scale into positions using smaller channel breakouts. Position size is adjusted according [...]

This system is an expansion of David Varadi’s Percent Exposure Donchian Channel Method strategy with the RS momentum (note: I used volatility adjusted RS) market selection he suggested in his follow-up. System Rules: The 200 day channel dictates the main trend. Smaller channels are traded using a 2 ATR (10 day exponential average) stop. Strategy [...]