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For the first time, a search for the rare decay of the W boson to three charged pions has been performed. Proton-proton collision data recorded by the CMS experiment at a center-of-mass energy of 13 TeV, corresponding to an integrated luminosity of 77.3 fb, have been analyzed. No significant excess is observed above the background expectation. An upper limit of 1.01 10 is set at 95% confidence level on the branching fraction of the W boson to three charged pions. This provides a strong motivation for theoretical calculations of this branching fraction.