Does ATR Expansion help RSI / SMA Cross?
Crypto · 320 backtest runs · As of 31 Aug 2026 · Methodology
Not DecidableDSR ✗ not confirmed
Enough runs, but they disagree: the effect's 90% interval straddles the ±1 percentage-point line. Claiming a direction would assert more precision than the data supports.
CAGR Comparison
Baseline CAGR
-23.7%
no filter
Filtered CAGR
4.8%
ATR Expansion
Δ CAGR
+3.45%
Sample
320
runs
Baseline Net CAGR
-25.1%
after costs
Filtered Net CAGR
4.2%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.374
median
Filtered Sharpe
0.226
Δ Sharpe
+0.12
DSR
0.0%
not confirmed
How does this filter work?
Signals only during ATR expansion (trend onset)
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 1.5448 (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