Donchian Channels: When the Infrastructure Does All the Work

An iceberg illustration showing Donchian Channels as a small, clean surface above the waterline, with the complex RollingExtremes infrastructure, ring buffers, tracked extremes, and position counters, hidden beneath.

Richard Donchian’s channels are among the oldest systematic trading tools. The Turtle Traders used them in the 1980s. The rules were simple: buy when price breaks above the 20-bar high, sell when it breaks below the 20-bar low. The math is equally simple: Three lines. No smoothing, no ratios, no weighting. Just the extremes and… Continue reading →

Why %K Broke the O(1) Pattern (and How I Fixed It)

Stochastic Oscillator streaming implementation challenge: smooth gears representing O(1) indicators with one jagged gear breaking the pattern in a Rust technical analysis library

Every indicator in quantedge-ta before the Stochastic Oscillator shares a design pattern: each new bar’s contribution decays over time. SMA: uniform average, old bars age out as the window slides. EMA: exponential weight, old contributions shrink but never hit zero. RSI: Wilder’s smoothing, same story. MACD: two EMAs composing. ATR: Wilder’s smoothing on True Range. None of… Continue reading →

Dariusz Łuksza

Posts Tagged → algolithms

Donchian Channels: When the Infrastructure Does All the Work

Why %K Broke the O(1) Pattern (and How I Fixed It)