Sigmoid-Filtered Darvas Expansion Strategy

Family: breakout · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4

Thesis

The hypothesis is that price breakouts from structural consolidation (Darvas Boxes) carry higher alpha when they coincide with non-linear momentum acceleration (Sigmoid) and volatility-confirmed trend alignment (SuperTrend). By filtering for acceleration (Sigmoid > 0.5), we avoid 'false starts' where price drifts out of a box without momentum, and by using BBands-based stops (TopTrend), we allow the trade room to breathe during expansion while tightening during contraction.

Components

• Logistic Function (SIGMOID) (regime) — Acts as a nonlinear momentum filter to ensure the trade is taken during a phase of price acceleration away from the mean (200 SMA).
• SuperTrend MT5 (FxGeek) (direction) — Confirms the prevailing volatility-adjusted trend direction to align breakouts with broader market flow.
• Darvas Boxes MetaTrader 5 (entry) — Identifies the specific consolidation breakout point (Box Top/Bottom) as the high-conviction entry trigger.
• Pivot Point S&R with GMT Correction (exit) — Provides objective, non-dynamic price targets based on prior period volatility (R2/S2 levels).
• TopTrend (BBands Stop) (risk) — Provides a volatility-based trailing stop-loss that adjusts to market expansion/contraction using Bollinger Band logic.

Known failure conditions

• Price remains trapped in a long-term range causing the Sigmoid function to oscillate around 0.5 indefinitely.
• SuperTrend and TopTrend provide conflicting trend signals, indicating a lack of volatility consensus.
• Average Darvas Box height exceeds the distance to the R1/S1 pivot, rendering the reward-to-risk ratio mathematically insolvent.

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).