Donchian Channels - Questdb

Donchian Channels plot the highest high and lowest low over a period, creating a channel that tracks price range. Breakouts above the upper channel or below the lower channel often signal trend continuation.

Problem

You want to identify breakout levels and trading ranges. Moving averages smooth price but don't show clear breakout levels. Donchian Channels show exactly where price needs to go to break out of its recent range.

Solution

questdb-sql

DECLARE
  @symbol := 'EURUSD',
  @lookback := '$now - 1M..$now'

WITH channels AS (
  SELECT
    timestamp,
    symbol,
    close,
    max(high) OVER (
      PARTITION BY symbol
      ORDER BY timestamp
      ROWS BETWEEN 19 PRECEDING AND CURRENT ROW
    ) AS upper_channel,
    min(low) OVER (
      PARTITION BY symbol
      ORDER BY timestamp
      ROWS BETWEEN 19 PRECEDING AND CURRENT ROW
    ) AS lower_channel
  FROM market_data_ohlc_15m
  WHERE symbol = @symbol
    AND timestamp IN @lookback
)
SELECT
  timestamp,
  symbol,
  round(close, 5) AS close,
  round(upper_channel, 5) AS upper_channel,
  round(lower_channel, 5) AS lower_channel,
  round((upper_channel + lower_channel) / 2, 5) AS middle_channel
FROM channels
ORDER BY timestamp;

The query calculates:

Upper channel: 20-period highest high
Lower channel: 20-period lowest low
Middle channel: Average of upper and lower

Interpreting results

Price breaks above upper: Bullish breakout, potential long entry
Price breaks below lower: Bearish breakout, potential short entry
Price at middle: Neutral zone
Narrow channel: Low volatility, breakout likely coming
Wide channel: High volatility, trend in progress

:::note Turtle Trading Donchian Channels were famously used by the Turtle Traders. Their system entered on 20-day breakouts and exited on 10-day breakouts in the opposite direction. :::

:::info Related documentation