Donchian Channels

Created by Richard Donchian, Donchian Channels, also called Price Channels, are price ranges derived from highest High and lowest Low values. [Discuss] 💬

// C# usage syntax
IReadOnlyList<DonchianResult> results =
  bars.ToDonchian(lookbackPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) for lookback period. Must be greater than 0 to calculate; however we suggest a larger value for an appropriate sample size. Default is 20.

Historical price bars requirements

You must have at least N+1 periods of bars to cover the warmup periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<DonchianResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N periods will have null values since there's not enough data to calculate.

DonchianResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
UpperBand	double	Upper line is the highest High over N periods
Centerline	double	Simple average of Upper and Lower bands
LowerBand	double	Lower line is the lowest Low over N periods
Width	double	Width as percent of Centerline price. (UpperBand-LowerBand)/Centerline

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

This indicator is not chain-enabled and must be generated from bars. It cannot be used for further processing by other chain-enabled indicators.

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

DonchianList donchianList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  donchianList.Add(bar);
}

// based on `ICollection<DonchianResult>`
IReadOnlyList<DonchianResult> results = donchianList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
DonchianHub observer = barHub.ToDonchianHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<DonchianResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.