Darvas Box Breakouts from Rolling High and Low Boundaries

Summary

This document describes a Darvas Box style breakout method. Over a configurable lookback length, the code tracks recent highs and lows, then identifies a candidate box top after a new high and a qualifying sequence of bars. It plots the resulting upper and lower boundaries. A close crossing above the top generates a long signal, while a close crossing below the bottom generates a short signal; the source also submits corresponding strategy entries and defines alert conditions.

The published example uses a length of five and specifies BTC/USDT Binance futures with 45-minute bars over about one month, using five-minute base data. No performance statistics or trade outcomes are supplied, so the configuration demonstrates how the signals are set up rather than evidence of profitability. Breakout systems can produce false signals in choppy markets, and the document does not describe position sizing, stops, transaction-cost assumptions, or additional filters. Those factors would need separate evaluation before practical use.

Key ideas

• The method derives a price box from rolling highs and lows over a configurable lookback.
• A close above the box top signals a long entry, and a close below the bottom signals a short entry.
• The example sets the lookback length to five and specifies a BTC/USDT futures backtest configuration.
• No performance results or risk controls are provided, so profitability cannot be inferred from the example.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.