Donchian Channel

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Description

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

Usage

1
  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.

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.

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.

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.

Author(s)

Joshua Ulrich

References

The following site(s) were used to code/document this indicator:
http://www.linnsoft.com/tour/techind/donch.htm

See Also

See BBands.

Examples

1
2
data(ttrc)
dc <- DonchianChannel( ttrc[,c("High","Low")] )

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