Donchian Channels were created by Richard Donchian and were used to generate buy and sell signals for the Turtle Trading system.
Object that is coercible to xts or matrix and contains High-Low prices.
Number of periods for moving average.
Should values be lagged so that today's prices are not included in the calculation? See Note.
Donchian Channels consist of two (sometimes three) lines:
The top line is the highest high of the past
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.
A object of the same class as
HL or a matrix (if
try.xts fails) containing the columns:
The highest high series.
The average of
The lowest low series.
The default of
DonchainChannel consistent with other TTR
functions, in that it includes the current period in the
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.
The following site(s) were used to code/document this