TREND-15 · Trend Following

Darvas Box

Identifies a rolling price box using recent highs and lows. Goes long on a breakout above the box and exits when price falls below the box floor.

TrendBreakout

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At a glance

Best onAssets with clean breakouts

Signal frequencyDaily

Typical holding periodWeeks

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 3 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 7 of 10 markets.
Best market by Sharpe ratio: GLD (Sharpe 0.83, CAGR 12.4%).
Weakest market: UNG (Sharpe -0.07, CAGR -12.2%).

Equity curve

Darvas Box Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 53.5SPY, 5 years

Return quality · 30%60

Drawdown control · 25%31

Consistency · 20%34

Robustness · 15%79

Significance · 10%89

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market62%

Ulcer index8.7%

Longest drawdown801 days

Daily VaR (95%)-1.12%

Probability Sharpe > 089%

Beta vs buy & hold0.36

Alpha (annual)+1.1%

Positive months43%

CAGR after 10 bp costs4.5%

Deflated Sharpe (luck-adjusted)39%

CAGR, 90% bootstrap range-2.1% to 13.1%

Max drawdown, 90% bootstrap range-29.5% to -9.7%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-4.6%	-19.2%
COVID crash (Feb–Mar 2020)	-7.6%	-33.7%
2022 bear market	-11.3%	-24.5%
Market above its 200-day average (annualized) · 81%	+6.6%	+12.5%
Market below its 200-day average (annualized) · 19%	+7.8%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	0.89
Same parameters in the following 6 months, when traded (Sharpe)	0.67
Default parameters over the same months (Sharpe)	0.77
Parameter re-selections / changes	28 / 12
Parameter settings with a positive Sharpe (full history)	3 of 3
Sharpe across settings: worst / median / best	0.67 / 0.70 / 0.79

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 3 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
GLDSPDR Gold Shares	12.4%	16.4%	0.83	-19.5%	-28.3%	16.0%	67
USOUnited States Oil Fund	13.6%	20.2%	0.57	-50.7%	-36.2%	30.4%	68
DBCInvesco DB Commodity Index	7.0%	10.8%	0.53	-38.4%	-27.3%	15.0%	61
SPYSPDR S&P 500	5.2%	11.6%	0.52	-18.8%	-24.5%	10.4%	54
DBAInvesco DB Agriculture	2.6%	8.8%	0.32	-20.8%	-15.9%	10.4%	43
EURUSD=XEUR/USD	1.0%	-0.7%	0.21	-8.2%	-17.2%	5.1%	66
ETH-USDEthereum	0.2%	-15.1%	0.18	-52.2%	-79.0%	38.0%	58
SLViShares Silver Trust	0.1%	15.2%	0.17	-47.4%	-57.8%	29.3%	31
BTC-USDBitcoin	-1.8%	2.6%	0.08	-59.0%	-75.9%	28.3%	36
UNGUnited States Natural Gas	-12.2%	-30.7%	-0.07	-79.2%	-93.3%	44.5%	52

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+3.2%	3.2%	0.55	0.63	-5.4%	31%	9
3 years	+42.1%	12.4%	1.27	1.45	-7.7%	40%	21
5 years	+28.8%	5.2%	0.52	0.58	-18.8%	33%	35
Full history	+203.9%	6.8%	0.70	0.72	-18.8%	35%	110

Rules

Entry

Go long when close > BoxHigh

Exit

Exit when close < BoxLow

Indicators

BoxHigh = rolling high
BoxLow = rolling low

Inputs

Box_Period = 20

Position sizing

Fixed 100% allocation

Risk controls

Uses recent range as stop reference

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Classic box breakout system
Works best after consolidation

Related strategies

KC-01 · SPY 5Y Sharpe 0.67Keltner Channel Breakout TREND-02 · GLD 5Y Sharpe 0.72Donchian Breakout TREND-14 · SPY 5Y Sharpe -0.17Linear Regression Channel TURTLE-01 · SPY 5Y Sharpe 0.62Turtle Trading ADX-01 · SPY 5Y Sharpe 0.43ADX Trend Filter COMBO-01 · SPY 5Y Sharpe 0.03Bollinger-Keltner Squeeze

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.