Oscar G Cagigas' article, “The Degree of Complexity”, discussed how simpler systems can perform better than more complex ones. The formulas for his basic Donchian Channel system are below:

Buy Order:

Len1:= OPT1;

Len2:= OPT2;

el:= h > ref(hhv(H,len1),-1);

es:= L < ref(llv(L,len1),-1);

xl:= L < ref(llv(L,len2),-1);

xs:= h > ref(hhv(H,len2),-1);

trade:= if(el, 1, if(es, -1,

if((prev=1 and xl) or (prev=-1 and xs), 0, prev)));

trade=1 and ref(trade<>1, -1)

Sell Order:

Len1:= OPT1;

Len2:= OPT2;

el:= h > ref(hhv(H,len1),-1);

es:= L < ref(llv(L,len1),-1);

xl:= L < ref(llv(L,len2),-1);

xs:= h > ref(hhv(H,len2),-1);

trade:= if(el, 1, if(es, -1,

if((prev=1 and xl) or (prev=-1 and xs), 0, prev)));

trade=0 and ref(trade=1, -1)

Sell Short Order:

Len1:= OPT1;

Len2:= OPT2;

el:= h > ref(hhv(H,len1),-1);

es:= L < ref(llv(L,len1),-1);

xl:= L < ref(llv(L,len2),-1);

xs:= h > ref(hhv(H,len2),-1);

trade:= if(el, 1, if(es, -1,

if((prev=1 and xl) or (prev=-1 and xs), 0, prev)));

trade=-1 and ref(trade<>-1, -1)

Buy to Cover Order:

Len1:= OPT1;

Len2:= OPT2;

el:= h > ref(hhv(H,len1),-1);

es:= L < ref(llv(L,len1),-1);

xl:= L < ref(llv(L,len2),-1);

xs:= h > ref(hhv(H,len2),-1);

trade:= if(el, 1, if(es, -1,

if((prev=1 and xl) or (prev=-1 and xs), 0, prev)));

trade=0 and ref(trade=-1, -1)

Optimizations:

OPT1:

Description: long term

Minimum: 20

Maximum: 40

Step : 5

OPT2:

Description: short term

Minimum: 5

Maximum: 20