DonchianHigh — Donchian High

The highest close of the last N bars — the upper rail of a close-based Donchian channel, and the classic breakout level.

DonchianHigh is the identifier a strategy writes; Donchian High is the label the chart’s indicator picker shows. Single value — .value is the only accessor.

Signature

DonchianHigh(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Lookback window. Default 20, bounds 2–200.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{DonchianHigh}t = \max(\text{close}{t-N+1}, \dots, \text{close}_t) $$

Note the window includes the current bar. self.trade.close >= high.value is therefore true exactly on the bar that sets a new N-bar closing high — it can never be “above” the line. To test a break of the level as it stood before this bar, read high.value_at(1).

Warmup

period bars — that is when the buffer is full and execute() starts.

The value itself has no dead zone: both branches of the seeded source return max(buffer), so from the very first bar the chart plots the maximum of however many closes have arrived. That is a real high over a short window, not a placeholder — but it can only rise as the window fills, which makes the leading edge of the plot look artificially flat.

Reading the value

high.value            # highest close including this bar
high.value_at(1)      # the level as it stood before this bar — the breakout test
high > 100

Example

class DonchianBreakout(Strategy):
    """Buy a new N-bar closing high, exit on the shorter channel's low."""
    period = Param(20, min=2, max=200)
    exit_period = Param(10, min=2, max=200)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        upper = DonchianHigh(self.period, on=self.trade)
        lower = DonchianLow(self.exit_period, on=self.trade)
        self.stop_loss(3.0)

        breakout_level = upper.value_at(1)
        channel_stop = lower.value_at(1)

        if self.trade.close > breakout_level and self.trade.is_flat:
            self.buy(self.trade, reason=f"Breakout above {breakout_level:.2f}")

        if self.trade.close < channel_stop and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Lost the lower channel")

Notes

• Use value_at(1) for breakout tests. Comparing against .value compares the close to a window that already contains it, which turns every new high into a trivially true condition and can never be false in the interesting direction.
• Close-based, not high-based. An intraday spike that closes back inside the range does not move this level — that is usually what you want for a signal, and usually not what you want for a stop.
• Pair with DonchianLow for the exit rail and DonchianMid for the midpoint; PriceChannelWidth is high − low of the same window.
• A longer entry channel with a shorter exit channel is the classic turtle shape — two instances, two periods, as in the example above.