Nested Darvas-Daily Range Expansion建设性

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: M15建设性,

Thesis

Market trends are most tradable when structural breakouts across different timeframes (Daily and Pivot-based) align with short-term momentum. By requiring a Daily High/Low breakout to confirm a Darvas Box expansion, we filter for high-conviction moves while using a linear-regression moving average to stay on the right side of the immediate trend.建设性

Components

• Darvas Boxes Modern/Classic (regime) — Defines the medium-term structural regime; a box breakout indicates a shift from consolidation to expansion.
• Modified Moving Average (MMA) (direction) — Filters direction by ensuring the short-term linear trend (LSMA) is aligned with the breakout direction.
• Daily High Low (entry) — Provides the final execution trigger; a breakout of the previous day's range signifies high-conviction participation.
• ATR Stop Loss Finder (exit) — Provides a dynamic trailing exit based on immediate price volatility.
• ATR Fib (risk)
• Moving Average Convergence Divergence (MACD) (confirmation) — Provides ultra-fast momentum confirmation to ensure the breakout has immediate velocity.
• Unsupported Array Percentile Linear Interpolation Box (volatility_filter) — Used theoretically to filter for periods where box-based volatility is at an extreme, though technically limited by its implementation.

Known failure conditions

• Consecutive failures of Daily High/Low breakouts resulting in 'look-back' whipsaws into the Darvas Box.建设性
• Market regime shifts to a low-volatility 'mean-reverting' state where MACD 2/3/2 produces >5 false signals per session.建设性

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