Donchian 4 week rule

Checked October 2026

Donchian's 4-week rule buys a new four-week high and sells short a new four-week low, so it's always in the market. Richard Donchian is the name on the rule, and the wording in circulation comes from later write-ups, not a paper of his we could find. Backtoast ran it on futures. It lost 0.5% a year over 437 trades and failed.

Backtoast

You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Donchian 4 week rule

There's no stop and no target. A long stays on until price makes a new four-week low, which closes it and opens the short, so the exit for one trade is the entry for the next.

The rule counts full calendar weeks. The run used the last 20 trading days instead, updated daily, with one contract in each of 23 futures.

The turtle trading rules use the same channel with a 20-day entry, a 10-day exit and a stop.

Where it comes from

A 1970 Dunn & Hargitt Trader's Notebook is said to have ranked it the best system they tested, though we've only seen that secondhand. DTN ran the 20-day version on December corn from 1995 to July 2016 and reported $27,650 a contract before costs. The run covered stock index, energy, metal, interest rate, currency, grain and livestock futures from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.