Darvas-Matrix Volatility Expansion System

Family: breakout · Regime: trending · Complexity: medium · Asset classes: Equities, FX, Crypto · Timeframes: H1

Thesis

The hypothesis is that price breakouts from consolidation (Darvas Boxes) are most likely to sustain a trend when accompanied by a transition from low to high volatility (Bollinger Squeeze). By using a multi-timeframe regime filter (H4 dashboard) and a micro-momentum confirmation (MatrixSort slope), we filter for high-probability expansions. The edge is closed when the 'mass' (volatility) of the move reaches a statistical extreme via the Mass Index, indicating a likely mean-reversion or pause.

Components

• ProfitRobots Dashboard Text Template (regime) — Used to ensure multi-timeframe alignment; the strategy only takes entries when the dashboard confirms price is above/below the previous period's high/low on the H4 timeframe.
• Unsupported matrix.sort method in UDF (Diagnostic) (direction) — Though trivial, the sorted 1x1 matrix provides the current close; its slope (current vs previous bar) confirms immediate micro-trend direction.
• Darvas Boxes Modern/Classic (entry) — Identifies definitive consolidation breakouts after a confirmed pivot high/low structure has been established.
• Mass Index (MI) (exit) — Detects 'reversal bulges'—when price range expansion (volatility) reaches an exhaustion point, signaling the end of the breakout move.
• SuperTrend MT5 (FxGeek) (risk) — Provides a volatility-adjusted dynamic stop-loss level and determines the risk distance for position sizing.
• Bollinger Bands (volatility_filter) — Filters for 'squeeze' conditions; entries are only valid if the bandwidth is expanding, indicating the breakout has volatility support.

Known failure conditions

• The Mass Index fails to reach the 27 'bulge' threshold during extended trending moves, leading to indefinite hold times.
• Market regime shifts to a permanent high-volatility 'sawtooth' where Darvas boxes are broken and immediately reclaimed.
• External library dependencies for the dashboard framework fail to load in the production environment.

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