Does ATR Low Volatility help RSI(2) Mean Reversion?
Crypto · 171 backtest runs · As of 31 Aug 2026 · Methodology
HurtsDSR ✗ not confirmed
This filter reduces median CAGR, with the entire 90% interval below −1 percentage point — either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
0.6%
no filter
Filtered CAGR
-0.6%
ATR Low Volatility
Δ CAGR
-2.95%
Sample
171
runs
Baseline Net CAGR
-0.1%
after costs
Filtered Net CAGR
-1.2%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.051
median
Filtered Sharpe
-0.050
Δ Sharpe
-0.14
DSR
0.0%
not confirmed
How does this filter work?
Signals only in low ATR regime
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.6630 (expected best Sharpe from 9 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 31 Aug 2026 · Methodology