Does ATR Low Volatility help MACD Cross?
Commodities ยท 30 backtest runs ยท As of 13 Jul 2026 ยท Methodology
HurtsDSR โ not confirmed
This filter reduces median CAGR by more than 1 percentage point โ either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
5.5%
no filter
Filtered CAGR
1.4%
ATR Low Volatility
ฮ CAGR
-4.05%
Sample
30
runs
Baseline Net CAGR
5.3%
after costs
Filtered Net CAGR
1.3%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.277
median
Filtered Sharpe
0.202
ฮ Sharpe
-0.07
DSR
2.3%
not confirmed
How does this filter work?
Signals only in low ATR regime
DSR Methodology
DSR = PSR(SRฬโ) per Bailey & Lรณpez de Prado (2014). SRฬโ = 0.4715 (expected best Sharpe from 7 random filter trials).
Testing multiple filters on the same data increases the chance of finding a good result by luck. DSR measures whether this result clears the multiple-testing threshold. Pass threshold: DSR โฅ 90%. Current: 2.3%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison โ available after sign-in.
โ All edge reportsComputed 13 Jul 2026 ยท Methodology