Does ATR High Volatility help OBV-MACD?
Commodities · 34 backtest runs · As of 6 Jul 2026 · Methodology
HurtsDSR ✗ not confirmed
This filter reduces median CAGR by more than 1 percentage point — either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
4.4%
no filter
Filtered CAGR
1.6%
ATR High Volatility
Δ CAGR
-2.75%
Sample
34
runs
Baseline Net CAGR
4.1%
after costs
Filtered Net CAGR
1.4%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.332
median
Filtered Sharpe
0.046
Δ Sharpe
-0.29
DSR
0.0%
not confirmed
How does this filter work?
Signals only in high ATR regime
DSR Methodology
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.9426 (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 ≥ 90%. Current: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 6 Jul 2026 · Methodology