Question 1

Does the ATR Low Volatility improve Smoothed Heiken Ashi performance on Crypto?

Accepted Answer

Not decidable — the runs disagree: the 90% interval of the effect straddles the ±1 percentage-point line, so claiming a direction would assert more precision than the data supports. Based on 323 independent backtest runs, the ATR Low Volatility changes median CAGR by -3.70% vs. a no-filter baseline. Deflated Sharpe Ratio (DSR): 0.0% — does not pass the 90% multiple-testing threshold.

Question 2

What is the Deflated Sharpe Ratio (DSR)?

Accepted Answer

The DSR (PSR(SR̂₀)) per Bailey & López de Prado (2014) corrects for multiple testing: when 9 filters are tested on the same backtest data, the probability of a lucky result increases. SR̂₀ = 1.2852 is the expected best Sharpe under this inflation. DSR measures whether the observed result clears this inflated threshold. Pass threshold: ≥90%.

Question 3

How is this analysis survivorship-bias-free?

Accepted Answer

Each filter is evaluated in isolation across all real backtest runs saved by users on the platform — with no look-ahead in trade signals. Sample size is shown transparently; verdicts with fewer than 30 runs are marked as insufficient and excluded from search indexing.

Backtesting Arena

Does ATR Low Volatility help Smoothed Heiken Ashi?

CAGR Comparison

Risk-Adjusted Performance

How does this filter work?

DSR Methodology