Does ATR Expansion help Capitulation Finder?
Crypto · 89 backtest runs · As of 28 Jul 2026 · Methodology
HelpsDSR ✗ not confirmed
This filter increases median CAGR by more than 1 percentage point vs. the baseline.
CAGR Comparison
Baseline CAGR
-7.1%
no filter
Filtered CAGR
0.4%
ATR Expansion
Δ CAGR
+7.50%
Sample
89
runs
Baseline Net CAGR
-7.3%
after costs
Filtered Net CAGR
0.1%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.108
median
Filtered Sharpe
0.025
Δ Sharpe
-0.08
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 = 0.7847 (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.
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