Donchian Channels in NinjaTrader — NinjaScript (C#) Source

Donchian Channels in NinjaScript use the built-in MAX/MIN (or HighestBar-style lookbacks) for the rolling extremes. See the explainer for the concept and the breakout shift.

What you’ll need

• NinjaTrader 8
• New → NinjaScript Editor → Indicators → New Indicator, name it AlgoGenDonchian

The source

#region Using declarations
using System;
using System.Windows.Media;
using NinjaTrader.NinjaScript;
using NinjaTrader.NinjaScript.Indicators;
#endregion

namespace NinjaTrader.NinjaScript.Indicators
{
    public class AlgoGenDonchian : Indicator
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name        = "AlgoGen Donchian";
                Description = "Donchian Channel (highest high / lowest low)";
                Period      = 20;
                IsOverlay   = true;

                AddPlot(new Stroke(Brushes.MediumPurple, 1), PlotStyle.Line, "Upper");
                AddPlot(new Stroke(Brushes.OrangeRed, 2),    PlotStyle.Line, "Middle");
                AddPlot(new Stroke(Brushes.MediumPurple, 1), PlotStyle.Line, "Lower");
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Period - 1)
                return;

            double hh = MAX(High, Period)[0];
            double ll = MIN(Low, Period)[0];
            Upper[0]  = hh;
            Lower[0]  = ll;
            Middle[0] = (hh + ll) / 2.0;
        }

        #region Properties
        [NinjaScriptProperty][System.ComponentModel.DataAnnotations.Range(1, int.MaxValue)]
        [System.ComponentModel.Display(Name = "Period", GroupName = "Parameters", Order = 0)]
        public int Period { get; set; }

        [Gui.Browsable(false)][System.Xml.Serialization.XmlIgnore] public Series<double> Upper  => Values[0];
        [Gui.Browsable(false)][System.Xml.Serialization.XmlIgnore] public Series<double> Middle => Values[1];
        [Gui.Browsable(false)][System.Xml.Serialization.XmlIgnore] public Series<double> Lower  => Values[2];
        #endregion
    }
}

Compile & apply

1. Press F5 to compile.
2. Add AlgoGen Donchian to a chart; the stepped channel overlays price, matching the output chart.

Gotchas

• MAX/MIN built-ins. MAX(High, Period)[0] is the highest high over the window — cleaner than a manual loop and matches the platform.
• Prior-bar breakout in a strategy. For a signal, compare Close[0] to Upper[1] / Lower[1] (the prior bar’s channel):

if (Close[0] > Upper[1]) EnterLong();       // new N-bar high
if (Close[0] < MIN(Low, 10)[1]) ExitLong(); // 10-bar low exit (Turtle-style)

• Warm-up. The CurrentBar < Period - 1 guard ensures the window is full.
• Asymmetric entry/exit. The Turtle system used different lengths for entries (20/55) and exits (10/20). In a strategy, use one MAX/MIN length for entries and a shorter one for exits — the classic “let winners run, cut losers on a shorter channel” structure.
• Width squeeze. (Upper[0] - Lower[0]) / Close[0] at a multi-bar low flags a coiled market; breakouts out of a squeeze tend to be cleaner than breakouts in open range.

That’s the five-language set: Python, MQL5, Pine Script, EasyLanguage, and this one. Now test a Donchian breakout in AlgoGen.

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This post is educational, not financial advice. Indicators describe the past; they don’t predict the future. Backtest anything before you risk real money on it.