Does ATR Low Volatility help Smoothed Heiken Ashi?
Commodities · 30 backtest runs · As of 29 Jun 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
5.5%
no filter
Filtered CAGR
0.5%
ATR Low Volatility
Δ CAGR
-5.00%
Sample
30
runs
Baseline Net CAGR
5.3%
after costs
Filtered Net CAGR
0.2%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.159
median
Filtered Sharpe
0.043
Δ Sharpe
-0.12
DSR
1.4%
not confirmed
How does this filter work?
Signals only in low ATR regime
DSR Methodology
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.3652 (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: 1.4%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 29 Jun 2026 · Methodology