Double Donchian breakout
A two-channel trend-following system on NIFTY futures using 15-minute bars. A wide 38-bar Donchian channel decides entries, and a narrow 6-bar channel acts as a trailing exit. By default positions are held overnight and across days until the short channel is broken against them, so a single trade can ride a multi-day trend.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test, trend days that closed near the high or low made ₹3,37,102 over 76 trades with a 68% win rate, more than the whole year's profit, while choppy wide-range days lost ₹74,134 over 63 and quiet ones ₹47,271 over 93. A Donchian breakout needs the move to keep going, and the 6-bar exit gives back little once it stalls. The system also did far better in falling markets: below the 20-day average it made ₹2,21,977 over 107 trades, while above it lost ₹6,281 over 125, and sessions that closed below their open made ₹2,97,247. Gap-up opens lost ₹80,943 over 35 trades.
About this strategy
- Build 15-minute bars of the near-month NIFTY future, running continuously across sessions.
- The outer channel is the highest high and lowest low of the previous 38 bars; the inner channel uses the previous 6 bars.
- When flat, buy one lot on the first tick above the outer high, or sell on the first tick below the outer low, but only if the prior bar was not already outside its channel.
- Exit a long on the first tick below the inner 6-bar low, and a short on the first tick above the inner 6-bar high; that exit trails the trend.
- An exit can be followed straight away by an entry the other way if the opposite outer level breaks.
- Hold overnight; on futures expiry day close at 15:15 and reopen the same side in the next month at the following session's first tick.
- Channels restart with each new contract, so the roll itself never creates a signal.
Why traders use it
Donchian channels are the core of classic trend-following: buy new highs, sell new lows, and let a trailing level decide when the move is over. Using a long channel to enter and a short one to exit means entries need a real break while exits come quickly once momentum fades. The rules have no indicators to tune beyond two lookbacks, and holding positions overnight gives the system room to catch the occasional large, multi-day trend that pays for the many small losses.
The year in plain words
Held overnight on NIFTY futures from 1 Oct 2025 to 30 Sep 2026 with default settings, the system made 232 trades, won 48%, and earned ₹2,15,697 before costs with a profit factor of 1.37. Wins averaged ₹7,150 against ₹4,876 for losses, the classic trend-following shape. The year leaned heavily on March, which alone made ₹1,48,783, while April to August were mostly negative. After ₹20 per order and bid-ask slippage the profit was ₹1,51,579. The before-costs drawdown of ₹1,29,864 shows how long the flat spells can be.
What the settings do
Risks
- Positions are held overnight, so gaps can cause losses well beyond the 6-bar exit level; the worst single trade lost ₹23,985.
- Profits depend on a few large trends; missing one, as the March result shows, would change the year completely.
- Long drawdowns between trends are normal and can last months.
- Overnight futures need full margin, and the roll each month adds two more orders of cost.
Who it suits
Patient trend-followers who can hold futures overnight with full margin, run the rules mechanically through losing months, and accept that a large part of a year's profit may come from one or two trends.
Questions traders ask
What is a double Donchian strategy?
It uses two Donchian channels: a long one, here 38 bars, to enter on a breakout to a new high or low, and a short one, here 6 bars, to exit when the price breaks back through the recent range. The short channel trails the trade as the trend extends.
Is the double Donchian strategy profitable on NIFTY?
In this backtest on 15-minute NIFTY futures from 1 Oct 2025 to 30 Sep 2026 it made ₹2,15,697 before costs and ₹1,51,579 after ₹20 per order and bid-ask slippage, with statutory charges extra. Most of that came from March. Past results do not guarantee future ones.
Does it hold positions overnight?
Yes, by default. Trades stay open until the 6-bar channel breaks against them, which can take several days. On futures expiry day an open trade is closed at 15:15 and reopened in the next month. An intraday mode is available that squares off every afternoon.
What does a fresh breakout mean here?
The bar before the signal must not already have been beyond its own outer channel. This stops the system from entering late into a move that broke out earlier and is already stretched.