Does ATR Expansion help Ichimoku Cloud?
Crypto · 220 backtest runs · As of 12 Sept 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
-8.5%
no filter
Filtered CAGR
1.4%
ATR Expansion
Δ CAGR
+0.08%
Sample
220
runs
Baseline Net CAGR
-9.2%
after costs
Filtered Net CAGR
1.0%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.281
median
Filtered Sharpe
0.026
Δ Sharpe
-0.02
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 = 1.0177 (expected best Sharpe from 10 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 12 Sept 2026 · Methodology