Does ATR Expansion help RSI(2) Mean Reversion?
Crypto · 65 backtest runs · As of 27 Jul 2026 · Methodology
HelpsDSR ✓ confirmed
This filter increases median CAGR by more than 1 percentage point vs. the baseline.
CAGR Comparison
Baseline CAGR
1.4%
no filter
Filtered CAGR
3.8%
ATR Expansion
Δ CAGR
+2.40%
Sample
65
runs
Baseline Net CAGR
0.4%
after costs
Filtered Net CAGR
3.2%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.041
median
Filtered Sharpe
0.214
Δ Sharpe
+0.17
DSR
95.7%
confirmed ≥90%
How does this filter work?
Signals only during ATR expansion (trend onset)
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.4229 (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: 95.7%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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