DonchianLowTrue — Donchian Low (True)

The rolling minimum of the true lows over the window — the lower line of the textbook Donchian channel, and the classic trailing-stop line for a long breakout position. The seeded DonchianLow uses closes.

Signature

DonchianLowTrue(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Channel lookback. Default 20, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads the low.

Formula

$$ \text{DL}t = \min(L{t-n+1} \ldots L_t) $$

Warmup

period bars. During the lead-in it returns the minimum of the bars seen so far, not a sentinel.

Reading the value

dl.value
dl.value_at(1)
self.trade.close <= dl.value_at(1)

Example

class ChannelExit(Strategy):
    """Trail a long position on the 10-bar low."""
    entry = Param(20, min=1, max=400)
    exit = Param(10, min=1, max=400)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        dh = DonchianHighTrue(self.entry, on=self.trade)
        dl = DonchianLowTrue(self.exit, on=self.trade)
        if self.trade.close >= dh.value_at(1) and self.trade.is_flat:
            self.buy(self.trade, reason="Channel breakout")
        if self.trade.close <= dl.value_at(1) and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="10-bar low trail")

Notes

• Richard Donchian’s channel, on true lows.
• Proven by an assert-via-trade run on SPY daily (matched a strategy-side rolling min on every bar; zero alarm trades).
• A shorter exit channel than entry channel (20 in / 10 out) is the classic Turtle asymmetry.