Does ATR Expansion help Smoothed Heiken Ashi?
Crypto · 128 backtest runs · As of 29 Jun 2026 · Methodology
NeutralDSR ✗ not confirmed
No material CAGR effect (±1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
1.1%
no filter
Filtered CAGR
0.8%
ATR Expansion
Δ CAGR
-0.35%
Sample
128
runs
Baseline Net CAGR
0.3%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.068
median
Filtered Sharpe
0.016
Δ Sharpe
+0.08
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 = 0.6893 (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: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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