Does ATR High Volatility help Ichimoku Cloud?
Crypto · 50 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
24.6%
no filter
Filtered CAGR
5.5%
ATR High Volatility
Δ CAGR
-19.10%
Sample
50
runs
Risk-Adjusted Performance
Baseline Sharpe
0.591
median
Filtered Sharpe
0.180
Δ Sharpe
-0.41
DSR
59.5%
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 = 0.4362 (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: 59.5%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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