Darvas Box Breakout Tearsheet
Nicolas Darvas's box theory: a stock trading in a defined box breaks above the box top on expanding volume. The self-made-trader momentum setup. Mandate darvas_box · v1 · legend: darvas.
Total Return
-7.10%
2 resolved trades · 1 days
CAGR
-100.00%
SPY: —
Sharpe
-4.64
annualized, per-trade
Max Drawdown
-7.1%
peak-to-trough on trade equity
Win Rate
0.0%
profit factor 0.0
Excess vs SPY
—
SPY total: —
Resolved trades — newest 2
Mandate rules v1
| Filter | Threshold |
|---|---|
min_trend_score | 6 |
min_rs | 65.0 |
pattern_min_confidence | 0.6 |
max_patterns_per_symbol | 1 |
require_price_above_sma50 | True |
min_price | 5.0 |
min_avg_volume_50d | 200000 |
dead_stock_filter | True |
Thresholds mirror the production defaults in app/config.py Settings.
Trades are resolved BreakoutAttempt outcomes (pivot to resolution close), compounded in chronological order — point-in-time data only, no lookahead. Sharpe annualizes per-trade returns assuming a ~20-session average hold. Benchmark is SPY buy-and-hold over the same date span.
Research and education only — not investment advice. Back to validation.