Float-Validated Darvas Breakout

Family: breakout · Regime: trending · Complexity: high · Asset classes: Equities, Crypto-Assets · Timeframes: 1H, 4H, Daily

Thesis

Price breakouts are only sustainable if a significant portion of the tradable 'float' has been turned over during the preceding consolidation. By using the 'Float Indicator' to measure volume exhaustion and the Darvas Box to identify price expansion, we filter out low-conviction breakouts. The edge is based on the structural necessity of volume turnover to fuel a trend change.

Components

Unsupported Matrix Remove Column Test (regime) — Acts as a technical sanity check/regime filter; if the price data 'exists' (plot(close)), the system operates, acknowledging the lack of deeper regime logic due to component constraints.
Float Indicator (direction) — Determines trend maturity by measuring how much of the tradable float has turned over since the last swing; ensures trades are only taken when volume turnover suggests a significant hand-over of shares.
Darvas Boxes (Multi-Mode) (entry) — Provides the execution trigger via breakout signals from established consolidation ranges.
HiLo Activator (Pandini Version) (exit) — Provides a dynamic trailing stop based on the moving average of highs/lows to capture trend extension while exiting on reversal.
Pivot Points Reversal Levels (risk) — Generates hard price levels based on two-bar reversals for objective stop-loss placement and risk-per-share calculations.

Known failure conditions

Prolonged sideways consolidation where HiLo Activator and Darvas Boxes trigger frequent opposing signals (whipsaw).
The Pivot Points Reversal component fails to plot a level within 100 bars, leaving the position without a stop-loss.
Volume turnover (Float) stays below 10% of the threshold for extended periods, preventing any signals.

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