Does ATR Low Volatility help OBV-MACD?
Crypto ยท 150 backtest runs ยท As of 6 Jul 2026 ยท Methodology
NeutralDSR โ not confirmed
No material CAGR effect (ยฑ1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
1.6%
no filter
Filtered CAGR
0.8%
ATR Low Volatility
ฮ CAGR
-0.75%
Sample
150
runs
Baseline Net CAGR
1.2%
after costs
Filtered Net CAGR
0.6%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.116
median
Filtered Sharpe
0.010
ฮ Sharpe
-0.11
DSR
0.0%
not confirmed
How does this filter work?
Signals only in low ATR regime
DSR Methodology
DSR = PSR(SRฬโ) per Bailey & Lรณpez de Prado (2014). SRฬโ = 0.8213 (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 โฅ 90%. Current: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison โ available after sign-in.
โ All edge reportsComputed 6 Jul 2026 ยท Methodology