Davos believes he lost his luck when he lost his finger bones, but I believe this was a necessary act so he can fully serve as Lightbringer (more on this part in a bit). As the original Lightbringer was forged three times, so has Davos (well two so far with the third forging being a very likely possibility). When a sword is forged, it is at the mercy of its surroundings, shaped by things around it. This is what Davos has been the two times he has ended up as a prisoner.