What is Donchian Channel?

What it means

It is the simplest possible channel — no averaging, no volatility scaling, just the extremes of the last N bars. A break of the upper line is by definition an N-period high, which makes it the canonical breakout trigger and the basis of the original Turtle trading rules.

Why it matters

Its simplicity is both the strength and the limit. There are no parameters to overfit beyond the lookback length, which makes results relatively trustworthy, but it also has no mechanism for distinguishing a genuine break from a liquidity sweep — every sweep registers as a break.

What this changes in practice

This is why our surviving breakout strategy uses session structure rather than a raw channel break. SESSION-ORB survived the cull because its edge comes from a time-of-day effect that persists, not from a lookback parameter fitted to one period — which is exactly the distinction walk-forward testing is designed to expose.