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)
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.
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.
Author
Joshua Ulrich
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.