Does ATR Low Volatility help RSI(2) Mean Reversion?
Crypto · 171 backtest runs · As of 19 Oct 2026 · Methodology
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
Risk-Adjusted Performance
How does this filter work?
Signals only in low ATR regime
Multiple-testing threshold
▼
Testing several filters on the same data raises the chance that one looks good by luck. SR̂₀ = 0.119 is the Sharpe the best of 11 trials (no filter + every filter of this strategy) would reach by chance alone — computed from the spread of these trials' Sharpe values (extreme-value formula per Bailey & López de Prado 2014).
The filter passes when its Sharpe (-0.043) lies above SR̂₀. This is a threshold test, not a probability: a true Deflated Sharpe would need each run's period count, skew and kurtosis. All Sharpe values are annualized over 365 calendar days.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.