Donchian Channels

The unsmoothed price-extreme envelope: highest high and lowest low over a rolling window, with the mid-band defined as their average. Breakouts of the Donchian channel are the foundation of the Turtle trading rules.

Quick reference

Item	Value
Family	Volatility & Bands
Input type	Candle (uses high and low)
Output type	DonchianOutput { upper: f64, middle: f64, lower: f64 }
Output range	unbounded; lower ≤ middle ≤ upper
Default parameters	period = 20
Warmup period	period (20 for defaults)
Interpretation	breakout boundary; channel touches are tradable events

Formula

For a lookback of period candles:

upper_t  = max( high_t, high_{t-1}, …, high_{t-period+1} )
lower_t  = min(  low_t,  low_{t-1}, …,  low_{t-period+1} )
middle_t = (upper_t + lower_t) / 2

crates/wickra-core/src/indicators/donchian.rs:58-72 computes both extrema by folding over the in-window candles each tick; this is O(n) per update in the period size and O(1) in the data length.

Parameters

Name	Type	Default	Constraint	Source
period	usize	20	> 0	Donchian::new (donchian.rs:30)

Python default from #[pyo3(signature = (period=20))] in bindings/python/src/lib.rs. period == 0 returns Error::PeriodZero.

Inputs / Outputs

use wickra::{Indicator, Donchian, Candle, DonchianOutput};
// Donchian: Input = Candle, Output = DonchianOutput
const _: fn(&mut Donchian, Candle) -> Option<DonchianOutput> = <Donchian as Indicator>::update;

• Python streaming. Returns (upper, middle, lower) tuple or None.
• Python batch. Donchian.batch(high, low) returns a 2-D np.ndarray of shape (n, 3) with columns [upper, middle, lower]; warmup rows are NaN across all three columns. (close is not required.)
• Node streaming. Not exposed — the Node binding ships only the batch form for Donchian.
• Node batch. donchian.batch(high, low) returns a flat Array<number> of length n * 3 interleaved per row: [u0, m0, l0, u1, m1, l1, …].

Warmup

warmup_period() == period. The first period - 1 candles return None; the period-th candle emits the first envelope. Verified for period = 3: the first non-None output is at index 2 (the 3rd candle).

Edge cases

• Flat market (HH == LL). When every candle in the window has identical highs and identical lows, upper == lower (and therefore middle == upper == lower). The pinned test flat_market_yields_equal_bands covers this.
• Single extreme candle. A lone wick at the edge of the window sets the boundary until it scrolls out. Donchian therefore reacts in step-functions, not smoothly — a new all-time high inside the window immediately moves the upper band; a single bar later, that high remains the boundary unless an even higher print occurs.
• NaN / infinity. Candle::new rejects non-finite OHLC values before they can reach Donchian.
• Reset. reset() clears the candle window; the configured period is preserved.

Examples

Rust

use wickra::{BatchExt, Candle, Donchian, Indicator};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let candles = vec![
        Candle::new(10.0, 11.0, 9.0,  10.5, 1.0, 0)?,
        Candle::new(10.5, 12.0, 10.0, 11.5, 1.0, 0)?,
        Candle::new(11.5, 13.0, 11.0, 12.5, 1.0, 0)?,
        Candle::new(12.5, 14.0, 12.0, 13.5, 1.0, 0)?,
        Candle::new(13.5, 15.0, 13.0, 14.5, 1.0, 0)?,
    ];
    let mut d = Donchian::new(3)?;
    for (i, v) in d.batch(&candles).into_iter().enumerate() {
        println!("i={i} -> {:?}", v);
    }
    Ok(())
}

Output:

i=0 -> None
i=1 -> None
i=2 -> Some(DonchianOutput { upper: 13.0, middle: 11.0, lower: 9.0 })
i=3 -> Some(DonchianOutput { upper: 14.0, middle: 12.0, lower: 10.0 })
i=4 -> Some(DonchianOutput { upper: 15.0, middle: 13.0, lower: 11.0 })

At i = 2 the window contains highs [11, 12, 13] and lows [9, 10, 11], so upper = 13, lower = 9, middle = 11.

Python

import numpy as np
import wickra as ta

d = ta.Donchian(3)
h = np.array([11.0, 12.0, 13.0, 14.0, 15.0])
l = np.array([ 9.0, 10.0, 11.0, 12.0, 13.0])
print(d.batch(h, l))

Output:

[[nan nan nan]
 [nan nan nan]
 [13. 11.  9.]
 [14. 12. 10.]
 [15. 13. 11.]]

Node

const w = require('wickra');

const d = new w.Donchian(3);
const flat = d.batch(
  [11, 12, 13, 14, 15],
  [ 9, 10, 11, 12, 13],
);
console.log('length:', flat.length);
console.log('row 2 [upper, middle, lower]:', flat.slice(6, 9));
console.log('row 4 [upper, middle, lower]:', flat.slice(12, 15));

Output:

length: 15
row 2 [upper, middle, lower]: [ 13, 11, 9 ]
row 4 [upper, middle, lower]: [ 15, 13, 11 ]

Interpretation

• Breakouts. The original Turtle Trading rules (Dennis / Eckhardt, early 1980s) buy on a 20-day Donchian upper-band breach and sell on a 10-day lower-band breach. The modern descendant is the "channel breakout" family of trend-following systems.
• Mean reversion. A small minority of systems take the bands as fade levels; this works on range-bound assets and fails dramatically in trends — the inverse of breakout systems.
• Volatility proxy. Channel width upper - lower is a simple volatility proxy that requires no smoothing and no parameter tuning beyond the lookback length.

Common pitfalls

• Stale extreme. A single shock high from period candles ago keeps the upper band elevated even when current prices have fallen back to normal. Watch for the "channel drop" event when that high scrolls out of the window — the upper band will step down sharply in a single bar.
• No close required. Donchian only uses high/low. Feeding it a close-only series (with high = low = close) collapses it into an envelope of close extremes, which is a much noisier signal than the canonical high/low form. The Python batch accepts only (high, low) for exactly this reason.
• Flat range collapse. On a truly flat instrument the channel collapses to a line (upper == middle == lower); downstream code that divides by upper - lower (e.g. computing channel position) must handle this division-by-zero case explicitly.

References

• Richard Donchian published the 4-week channel rule in the early 1960s as part of his broader trend-following work.
• Curtis Faith, Way of the Turtle, McGraw-Hill, 2007, documents the 20/10-day Donchian variant that defined the Turtle program.

See also

• Bollinger Bands — envelope shaped by stddev rather than rolling extrema.
• Keltner Channels — envelope shaped by ATR around an EMA centerline.
• PSAR — alternative trailing-stop construction for breakout systems.