2014issue C0261-62
Length fit versus later window for a two-length Donchian breakout
A spreadsheet worksheet can implement a simple Donchian breakout and plot that procedure against a sample equity price series. The editorial question is whether the same length pair still behaves after the fitting offset is cleared, not how tidy the fitted window looks.
- A two-length Donchian breakout is treated as one procedure whose working inputs are a length pair, Len1 and Len2.
- System optimization searches those length pairs on a fitting window held by a fitting offset, then enters the chosen pair as the working parameters.
- Walk-forward analysis is simulated by setting the fitting offset to zero, leaving 800 points on the plot, and refreshing the chart.
- The later-window check is used only to see how the fitted picture changes after refresh, not to select a new length pair.
What the worksheet implements
A spreadsheet worksheet can implement a simple Donchian breakout system and plot that procedure against a sample equity price series.
A Donchian breakout is a channel-breakout procedure that turns high-low lookbacks into a single set of entry, exit, and stay-out rules.
The active rule inputs are a best-fit length pair, Len1 and Len2, taken from a data table and then entered as the working parameters. A length pair is the two lookback inputs that define how wide each Donchian channel is.
Choosing lengths on a fitting window
System optimization is a search over candidate length pairs that selects a best-fit combination on the fitting window before any later-window inspection.
A best-fit backtest view is built at an offset of 900 by using the spreadsheet data-table facility to search those length pairs.
The fitting offset is a bar shift that holds the length search on an earlier window so the later window can be inspected separately.
Checking the later window
Walk-forward analysis is a later-window check that reuses fitted rules on bars that were not used to pick the lengths, here simulated by clearing the fitting offset.
A later-window check is simulated by setting that offset to zero while leaving 800 points on the plot.
After the offset is cleared, the chart is refreshed and the right-hand portion of the series is inspected to see how the fitted picture changes.
Recalculation is treated as finished only after a manual chart-refresh action completes and the display stops updating. The later-window check is a recalculated view of the same rules after the fitting offset is removed, used only to see how the picture changes.
All readings on this track · 6 readings
- 1989Evaluating channel breakout with intraday and close-only stops
- 1990Delayed channel breakout stop construction
- 2000Fixed-horizon walk-forward tests of first-print breakouts
- 2013Z-score value filter on reversals and Donchian entries
- 2014Length fit versus later window for a two-length Donchian breakout
- 2014Walk-forward complexity in Donchian breakout systems