README.md

Donchian Channels

Donchian Channels are derived from highed High and lowest Low values over a lookback period. More info ...

// usage
IEnumerable<DonchianResult> results = Indicator.GetDonchian(history, lookbackPeriod);  

Parameters

name	type	notes
history	IEnumerable<Quote>	Historical Quotes data should be at any consistent frequency (day, hour, minute, etc). You must supply at least N periods of history.
lookbackPeriod	int	Number of periods (N) for the center line moving average. Must be greater than 1 to calculate; however we suggest a larger period for an appropriate sample size. Default is 20.

Response

IEnumerable<DonchianResult>

The first N-1 periods will have null values since there's not enough data to calculate. We always return the same number of elements as there are in the historical quotes.

DonchianResult

name	type	notes
Index	int	Sequence of dates
Date	DateTime	Date
UpperBand	decimal	Upper line is the highest High over N periods
Centerline	decimal	Simple average of Upper and Lower bands
LowerBand	decimal	Lower line is the lowest Low over N periods
Width	decimal	Width as percent of Centerline price. (UpperBand-LowerBand)/Centerline
IsDiverging	bool	Upper and Lower bands are diverging. null when Width is neither increase nor decreasing.

Example

// fetch historical quotes from your favorite feed, in Quote format
IEnumerable<Quote> history = GetHistoryFromFeed("SPY");

// calculate Donchian(20)
IEnumerable<DonchianResult> results = Indicator.GetDonchian(history,20);

// use results as needed
DateTime evalDate = DateTime.Parse("12/31/2018");
DonchianResult result = results.Where(x=>x.Date==evalDate).FirstOrDefault();
Console.WriteLine("Upper Donchian Channel on {0} was ${1}", result.Date, result.UpperBand);

Upper Donchian Channel on 12/31/2018 was $273.59