Does ATR High Volatility help BTC Signal RSI/SMA?
Crypto · 49 backtest runs · As of 9 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
18.6%
no filter
Filtered CAGR
-5.1%
ATR High Volatility
Δ CAGR
-23.70%
Sample
49
runs
Risk-Adjusted Performance
Baseline Sharpe
0.784
median
Filtered Sharpe
-0.141
Δ Sharpe
-0.92
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 = 0.6089 (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.
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