Does ATR Expansion help Supertrend?
Crypto · 261 backtest runs · As of 31 Aug 2026 · Methodology
HelpsDSR ✗ not confirmed
This filter increases median CAGR — clearly enough that the entire 90% interval sits above +1 percentage point, not just the point estimate.
CAGR Comparison
Baseline CAGR
-22.6%
no filter
Filtered CAGR
-0.7%
ATR Expansion
Δ CAGR
+6.50%
Sample
261
runs
Baseline Net CAGR
-22.8%
after costs
Filtered Net CAGR
-1.1%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.451
median
Filtered Sharpe
-0.055
Δ Sharpe
+0.01
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 = 1.1577 (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