Does ATR Expansion help BB + RSI?
Crypto · 98 backtest runs · As of 31 Aug 2026 · Methodology
Not DecidableDSR ✗ not confirmed
Enough runs, but they disagree: the effect's 90% interval straddles the ±1 percentage-point line. Claiming a direction would assert more precision than the data supports.
CAGR Comparison
Baseline CAGR
0.0%
no filter
Filtered CAGR
-2.2%
ATR Expansion
Δ CAGR
-3.20%
Sample
98
runs
Baseline Net CAGR
-0.2%
after costs
Filtered Net CAGR
-2.4%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.091
median
Filtered Sharpe
-0.061
Δ Sharpe
-0.19
DSR
0.0%
not confirmed
How does this filter work?
Signals only during ATR expansion (trend onset)
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.7212 (expected best Sharpe from 9 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 31 Aug 2026 · Methodology