Donchian Channel

Donchian Channels were created by Richard Donchian and were used to generate buy and sell signals for the Turtle Trading system.

Usage

DonchianChannel(HL, n = 10, include.lag = FALSE)

Arguments

HL: Object that is coercible to xts or matrix and contains High-Low prices.
n: Number of periods for moving average.
include.lag: Should values be lagged so that today's prices are not included in the calculation? See Note.

Value

A object of the same class as HL or a matrix (if try.xts fails) containing the columns:

high: The highest high series.
mid: The average of high and low.
low: The lowest low series.

Details

Donchian Channels consist of two (sometimes three) lines:

The top line is the highest high of the past n periods. The bottom line is the lowest low of the past n periods. The middle line is the average of the top and bottom lines.

Note

The default of include.lag=FALSE makes DonchainChannel consistent with other TTR functions, in that it includes the current period in the calculation.

The default is different than the original calculation, which would calculate the indicator using periods t-1 through t-n. Setting include.lag=TRUE will return the result of the original calculation.

The default of this argument may change in the future.

References

The following site(s) were used to code/document this indicator:
https://www.linnsoft.com/techind/donchian-channels

Author

Joshua Ulrich

Examples


 data(ttrc)
 dc <- DonchianChannel( ttrc[,c("High","Low")] )