Does ATR Expansion help Fibonacci?
Crypto · 146 backtest runs · As of 9 Jun 2026 · Methodology
HelpsDSR ✗ not confirmed
This filter increases median CAGR by more than 1 percentage point vs. the baseline.
CAGR Comparison
Baseline CAGR
-7.7%
no filter
Filtered CAGR
-4.4%
ATR Expansion
Δ CAGR
+3.25%
Sample
146
runs
Risk-Adjusted Performance
Baseline Sharpe
0.309
median
Filtered Sharpe
-0.226
Δ Sharpe
-0.54
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 = 0.3201 (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.
← All edge reportsComputed 9 Jun 2026 · Methodology