Donchian Channel Bug

Hi, I have emailed support about this but have yet to receive a reply. Here’s what I sent;

Hello ProQuant team,

I contacted you a while ago about the following strategy (which I have since renamed);

ProQuant EUR/USD Strategy “Donchian Channel 1”

https://app.proquant.com/shared/strategy/00e5ffcf-8801-49be-8342-237eb51785d1

This strategy used to operate regularly but has failed to do so since the end of September 2019.

During our conversation about this you concluded that it was because the Donchian Channel criteria must not have been met recently as it doesn’t occur that often.

I believe the Donchian Channel criteria monitoring has become broken in the ProQuant app since the end of September.

My reasons for this are as follows;

1:- The above mentioned strategy used to operate very regularly prior to this time and has NEVER operated since despite the fact that I believe the criteria has been met repeatedly.

2:- I have observed other strategies when browsing using the generator that have not operated since the end of September but which also use the Donchian Channel. (Unfortunately I didn’t save these)

3:- The following strategy also uses the Donchian channel in it’s closure behaviour and also has failed to close a position whicv has been open since the end of September;

ProQuant GBP/USD Strategy “Donchian Channel 2”

https://app.proquant.com/shared/strategy/f3f869e8-cd26-4a70-80b5-5ac538ffd92c

I’m sorry to persist with this line of enquiry after we previously discussed it but I firmly believe there is a problem with the Donchian Channel monitoring within ProQuant.

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I think I have the same problem in one of my strategies. I never thought about it but if others are having the same problem then this seems like it could be related to this.

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I’ll watch this thread with interest. I’ve tried a few strategies with donchian channels that the backtest says should work but don’t in reality. I think this makes sense (that they don’t work) but it is because the trigger is so infrequently met as to be useless. Basically, as I understand the trigger, the new low/high has to occur exactly at the open/close (for example at on the hour for an 1 hour trading frequency). Unless you’re using very short time frames that is extremely unlikely and not very indicative of anything.

The strategy I’m using which first made me aware there was a bug, opened positions 52 times between January 2019 and the end of September 2019 when it failed.

I waited and watched and then eventually reported it in late October.

You’re right, the criteria can be hard to meet but this strategy opened with regularity because of the way it was set up and simply died at the end of September.

This is consistent with when all the other Donchian channel strategies I have come across stopped working so I’m 100% certain this is a bug.

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Might have been “broken” (meaning opening when a new low/high occurred in the last period) before and “fixed” (meaning rendered useless) in September

That still wouldn’t affect the frequency of these occurrences (just the timing) and if that were the case the backtest would be flat when it is rerun with new parameters such as invested amount etc (which it isn’t).

Either way, despite emailing ProQuant about this some time ago and also reaching out to them on here I haven’t heard a single thing back regarding this, just silence.

This was my best strategy before this happened. I really would like it to be working again.

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Sorry for not responding, we are aware of your posts, just haven’t had the time to look at the matter in depth. I will let you know as soon as we do.

Thank you :slight_smile: I hope you can fix it.

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