Donchian Channels

get_donchian(quotes, lookback_periods=20)

Parameters

name	type	notes
`quotes`	Iterable[Quote]	Iterable of the Quote class or its sub-class. • See here for usage with pandas.DataFrame
`lookback_periods`	int, default 20	Number of periods (`N`) for lookback period. Must be greater than 0 to calculate; however we suggest a larger value for an appropriate sample size.

Historical quotes requirements

You must have at least N+1 periods of quotes to cover the warmup periods.

quotes is an Iterable[Quote] collection of historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Return

DonchianResults[DonchianResult]

This method returns a time series of all available indicator values for the quotes provided.
DonchianResults is just a list of DonchianResult.
It always returns the same number of elements as there are in the historical quotes.
It does not return a single incremental indicator value.
The first N periods will have None values since there’s not enough data to calculate.

DonchianResult

name	type	notes
`date`	datetime	Date
`upper_band`	Decimal, Optional	Upper line is the highest High over `N` periods
`center_line`	Decimal, Optional	Simple average of Upper and Lower bands
`lower_band`	Decimal, Optional	Lower line is the lowest Low over `N` periods
`width`	Decimal, Optional	Width as percent of Centerline price. `(upper_band-lower_band)/center_line`

Utilities

See Utilities and Helpers for more information.

Example

from stock_indicators import indicators

# This method is NOT a part of the library.
quotes = get_historical_quotes("SPY")

# calculate Donchian(20)
results = indicators.get_donchian(quotes, 20)

About Donchian Channels

Created by Richard Donchian, Donchian Channels, also called Price Channels, are derived from highest High and lowest Low values over a lookback window. [Discuss] 💬