Any error in this AFL

Hello,

The following code is the trade system of Donchian Channel which I would like to know any logic error in this code.

Buy signal = the highest price breaks the highest high price of 20 days
Buy Price = buy at that highest high price of 20 days

Short signal = the lowest price breaks the lowest low price of 20 days
Short Price = Short at that lowest low price of 20 days

SetTradeDelays(0, 0, 0, 0);

DonchianUpper =HHV(Ref(H,-1),20);
DonchianLower = LLV(Ref(L,-1),20);
DonchianMiddle = (DonchianUpper+DonchianLower)/2;

Buy = H > DonchianUpper;
Short = L < DonchianLower;
Sell = 0;
Cover = 0;

BuyPrice = HHV(Ref(H,-1),20);
ShortPrice = LLV(Ref(L,-1),20);

ApplyStop (stopTypeProfit, stopModePercent, 3);
ApplyStop (stopTypeLoss, stopModePercent, 5);

Plot(DonchianUpper,"DU",colorBlue,styleLine);
Plot(DonchianMiddle,"DM",colorGreen,styleLine);
Plot(DonchianLower,"DL",colorRed,styleLine);

Thank you!!!

nothing wrong that I can see by glancing assuming you want to trade the breakouts of range and you want to trail with 3% and 5% (which to me as a trader seems high and an arbritary figure)....why the question?

jacklcl

Good effort put in. Here is the list of what I think you have to deal with over time

a) No exits planned; So exit is based only on the trailing stop.... You will have to figure out a way to switch directions off of apply stop

b) Who is going to sell you at high of yesterday, especially since you are waiting for that High to be broken?

So, either factor in a slippage of 0.50 above that high (or as most ppl do, Buy and short at close) and actual trade price, you get what you manage to get.

c) I would not recommend Ref inside HHV. You will not get full 20 days lookback in this manner.

d) What Win:Loss ratio do you have in mind?

e) No ability to handle excess signals