Does ATR Expansion help BTC Signal RSI/SMA?
Crypto · 331 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
1.3%
no filter
Filtered CAGR
0.8%
ATR Expansion
Δ CAGR
-5.78%
Sample
331
runs
Filtered Net CAGR
0.3%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.305
median
Filtered Sharpe
0.025
Δ Sharpe
-0.03
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 = 1.1473 (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
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← All edge reportsComputed 31 Aug 2026 · Methodology