Does Bullmarket (Confirmed) help Supertrend?
Crypto · 50 backtest runs · As of 9 Jun 2026 · Methodology
HurtsDSR ✓ confirmed
This filter reduces median CAGR by more than 1 percentage point — either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
23.4%
no filter
Filtered CAGR
21.6%
Bullmarket (Confirmed)
Δ CAGR
-1.80%
Sample
50
runs
Risk-Adjusted Performance
Baseline Sharpe
0.710
median
Filtered Sharpe
0.283
Δ Sharpe
-0.43
DSR
90.8%
confirmed ≥90%
How does this filter work?
BUY signals only in confirmed bull market
DSR Methodology
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.4351 (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: 90.8%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 9 Jun 2026 · Methodology