[Famous-PA] Darvas box breakout

public
@djgambhir

BTCUSDT · 2h · 2021-12-31 → 2026-08-31 · 20,452 bars in 12.7ms

Underperformed the market. Holding BTCUSDT returned +67.13% over the same period, against this strategy’s +14.87%.

Net P&L
+14.87%
$1,486.70
Max drawdown
-13.55%
Max run-up
+31.32%
Trades
263
32.7% win rate
Profit factor
1.18
2021-12-31drawdown · worst -13.55%2026-08-31
TrainingValidationOut-of-sample
SegmentPeriodReturnMax drawdownTradesWin rate
Training2022-01-01 → 2024-10-19+16.98%-6.61%15234%
Validation2024-10-19 → 2025-09-25+0.87%-7.73%5730%
Out-of-sample2025-09-25 → 2026-08-31-2.65%-9.80%5431%

Risk-adjusted

Sharpe
0.46
Sortino
0.68
Calmar
0.22
Return ÷ max drawdown
1.10
CAGR
+3.02%
Exposure
30.4%

Per trade

Expectancy
$5.65 · +0.23%
Average win / loss
$112.69 / −$46.35
Payoff ratio
2.43
Largest win / loss
$756.01 / −$127.04
Longest losing streak(winning: 3)
8 trades

Drawdown over time

Max drawdown
-13.55%
Longest time under water(still going at the end)
656 days
Worst drawdown recovered in
not recovered

Costs and mechanics

Fees paid
−$737.06
Funding
−$344.58
Liquidations
0
Warmup bars(loaded before the start date)
19
Benchmark(buy and hold)
+67.13%

Monte Carlo

1,000 alternative histories, each 263 trades drawn at random from this run’s own. The bands hold the middle 50% and 90% of them; the solid line is what actually happened.

this runmedian of the historiesmiddle 50% · 90%
Unlucky (5%)TypicalLucky (95%)
Return-13.14%+14.36%+60.65%
Max drawdown-22.19%-12.04%-6.63%

21% of histories lost money, and 39% had a deeper drawdown than this run’s -13.55%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.

Settings

hh20 length
20
ll10 length
10
volsma length
20
atr14 length
14
Long entry: volume > ▢ × volsma
1.5
Stop loss (× atr14)
2
Leverage (×)
1
Position size (% of equity)
25

BTCUSDT with every trade

Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss

Trades

263 trades · 201–263 shown

#SideEntryExitHeldP&LReturnClosed by
201long2025-08-22 16:00 @ 116,342.662025-08-23 14:00 @ 114,794.3422h−$43.79-1.46%signal
202long2025-09-01 10:00 @ 109,507.202025-09-01 20:00 @ 108,008.0910h−$44.14-1.47%stop loss
203long2025-09-02 04:00 @ 110,308.062025-09-02 12:00 @ 108,537.268h−$51.15-1.71%stop loss
204long2025-09-02 14:00 @ 111,135.622025-09-04 06:00 @ 110,591.181d 16h−$18.02-0.61%signal
205long2025-09-05 08:00 @ 112,922.582025-09-05 14:00 @ 111,281.556h−$46.37-1.56%stop loss
206long2025-09-08 10:00 @ 112,082.412025-09-09 14:00 @ 111,004.181d 4h−$32.01-1.08%stop loss
207long2025-09-10 14:00 @ 113,934.082025-09-17 16:00 @ 115,801.937d 2h$42.00+1.42%signal
208long2025-09-18 04:00 @ 117,554.812025-09-19 10:00 @ 116,414.411d 6h−$32.09-1.08%signal
209long2025-09-24 16:00 @ 113,322.662025-09-25 04:00 @ 111,896.1612h−$40.22-1.36%stop loss
210long2025-09-28 16:00 @ 110,012.002025-10-07 08:00 @ 123,602.378d 16h$354.26+12.05%signal
211long2025-10-12 18:00 @ 113,752.152025-10-14 04:00 @ 113,418.211d 10h−$11.68-0.39%signal
212long2025-10-19 16:00 @ 108,451.292025-10-21 04:00 @ 108,983.301d 12h$11.99+0.40%signal
213long2025-10-21 16:00 @ 113,377.872025-10-21 20:00 @ 110,603.294h−$77.05-2.54%stop loss
214long2025-10-26 10:00 @ 112,500.502025-10-27 22:00 @ 114,235.151d 12h$42.33+1.41%signal
215long2025-11-02 12:00 @ 111,167.632025-11-02 16:00 @ 109,661.704h−$44.09-1.46%stop loss
216long2025-11-09 20:00 @ 104,785.052025-11-11 14:00 @ 104,329.231d 18h−$16.74-0.56%signal
217long2025-11-24 18:00 @ 88,332.662025-11-25 14:00 @ 86,100.3320h−$78.82-2.62%stop loss
218long2025-11-26 18:00 @ 89,810.362025-12-01 00:00 @ 90,302.444d 6h$12.56+0.42%signal
219long2025-12-02 18:00 @ 91,435.782025-12-05 14:00 @ 90,415.512d 20h−$37.00-1.24%signal
220long2025-12-07 18:00 @ 90,922.382025-12-07 22:00 @ 89,247.524h−$57.84-1.94%stop loss
221long2025-12-09 16:00 @ 92,695.442025-12-11 02:00 @ 90,618.871d 10h−$69.83-2.36%signal
222long2025-12-22 10:00 @ 89,803.262025-12-22 18:00 @ 88,500.028h−$45.90-1.56%stop loss
223long2025-12-25 16:00 @ 88,356.672025-12-25 22:00 @ 87,229.086h−$40.63-1.38%stop loss
224long2025-12-26 04:00 @ 88,813.962025-12-26 14:00 @ 87,447.5410h−$48.08-1.64%stop loss
225long2025-12-29 02:00 @ 88,436.982025-12-29 10:00 @ 87,507.558h−$33.81-1.16%stop loss
226long2026-01-02 10:00 @ 89,447.892026-01-02 14:00 @ 88,490.704h−$33.98-1.17%stop loss
227long2026-01-02 18:00 @ 90,338.062026-01-06 18:00 @ 91,529.194d$33.61+1.16%signal
228long2026-01-12 02:00 @ 91,388.172026-01-12 08:00 @ 90,361.556h−$35.61-1.23%stop loss
229long2026-01-13 16:00 @ 93,426.582026-01-16 16:00 @ 94,518.693d$30.13+1.04%signal
230long2026-01-23 18:00 @ 90,594.122026-01-25 02:00 @ 88,834.131d 8h−$59.75-2.06%stop loss
231long2026-01-27 22:00 @ 89,057.412026-01-29 02:00 @ 88,543.991d 4h−$20.22-0.70%signal
232long2026-02-13 16:00 @ 68,665.832026-02-15 14:00 @ 68,893.421d 22h$6.56+0.23%signal
233long2026-02-25 16:00 @ 67,375.872026-02-26 16:00 @ 67,339.831d−$4.31-0.15%signal
234long2026-03-02 16:00 @ 69,102.922026-03-03 08:00 @ 66,604.0016h−$107.16-3.71%stop loss
235long2026-03-04 10:00 @ 71,501.402026-03-05 16:00 @ 71,597.381d 6h$0.59+0.02%signal
236long2026-03-09 14:00 @ 68,953.792026-03-11 12:00 @ 69,130.171d 22h$5.00+0.17%signal
237long2026-03-13 02:00 @ 71,644.332026-03-18 12:00 @ 72,891.825d 10h$47.32+1.65%signal
238long2026-04-04 16:00 @ 67,370.872026-04-05 06:00 @ 66,601.9614h−$35.74-1.24%stop loss
239long2026-04-06 00:00 @ 69,011.702026-04-07 14:00 @ 68,015.971d 14h−$44.61-1.56%stop loss
240long2026-04-08 00:00 @ 71,904.582026-04-12 02:00 @ 71,584.384d 2h−$15.17-0.53%signal
241long2026-04-13 20:00 @ 73,286.752026-04-15 08:00 @ 73,690.461d 12h$13.34+0.47%signal
242long2026-04-17 10:00 @ 75,761.252026-04-18 12:00 @ 75,986.801d 2h$6.39+0.22%signal
243long2026-04-20 20:00 @ 76,267.752026-04-21 18:00 @ 74,836.8522h−$55.83-1.96%stop loss
244long2026-04-22 04:00 @ 77,503.902026-04-27 16:00 @ 76,744.655d 12h−$29.18-1.03%signal
245long2026-05-01 14:00 @ 78,707.042026-05-07 14:00 @ 80,441.516d$61.03+2.16%signal
246long2026-05-10 16:00 @ 81,397.782026-05-10 20:00 @ 80,667.854h−$28.52-1.00%stop loss
247long2026-05-11 00:00 @ 82,194.142026-05-11 02:00 @ 81,051.622h−$42.45-1.50%stop loss
248long2026-05-14 18:00 @ 81,636.322026-05-15 04:00 @ 80,253.4910h−$50.60-1.79%stop loss
249long2026-06-08 00:00 @ 63,311.662026-06-09 14:00 @ 62,231.951d 14h−$51.05-1.81%signal
250long2026-06-11 18:00 @ 63,626.922026-06-14 18:00 @ 63,693.463d$0.24+0.01%signal
251long2026-06-14 22:00 @ 65,297.462026-06-17 10:00 @ 64,867.022d 12h−$21.03-0.75%signal
252long2026-06-20 16:00 @ 64,152.232026-06-21 22:00 @ 63,765.341d 6h−$20.00-0.71%signal
253long2026-06-22 02:00 @ 64,587.412026-06-23 04:00 @ 63,528.401d 2h−$48.85-1.75%stop loss
254long2026-07-02 14:00 @ 61,925.982026-07-06 12:00 @ 62,448.713d 22h$17.89+0.64%signal
255long2026-07-10 10:00 @ 64,373.272026-07-13 02:00 @ 63,369.422d 16h−$47.43-1.70%signal
256long2026-07-14 16:00 @ 64,740.352026-07-16 08:00 @ 64,187.261d 16h−$27.35-0.99%signal
257long2026-07-20 16:00 @ 65,583.212026-07-22 08:00 @ 65,800.241d 16h$5.64+0.20%signal
258long2026-07-26 16:00 @ 64,746.452026-07-27 16:00 @ 64,504.301d−$13.63-0.49%signal
259long2026-07-30 14:00 @ 65,008.802026-07-31 06:00 @ 64,006.0516h−$45.91-1.66%stop loss
260long2026-08-09 14:00 @ 65,208.042026-08-09 22:00 @ 64,818.428h−$19.39-0.70%stop loss
261long2026-08-17 04:00 @ 63,422.382026-08-23 06:00 @ 76,049.796d 2h$539.92+19.65%signal
262long2026-08-24 12:00 @ 78,445.092026-08-28 16:00 @ 78,293.344d 4h−$11.20-0.39%signal
263long2026-08-30 14:00 @ 78,833.462026-08-30 22:00 @ 77,969.868h−$34.62-1.20%stop loss

How this was run

Orders fill at the next bar’s open, never at the close that produced the signal. When one bar’s range covered both the stop and the target, the stop was taken, because the data cannot say which came first. Fees, slippage and funding are all charged.

Warmup history was loaded from before 2022-01-01 so the requested window is fully tradable.

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