Does ATR Expansion help Triple Strike Reversal?
Crypto · 112 backtest runs · As of 14 Sept 2026 · Methodology
HurtsDSR ✗ not confirmed
This filter reduces median CAGR, with the entire 90% interval below −1 percentage point — either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
4.3%
no filter
Filtered CAGR
0.5%
ATR Expansion
Δ CAGR
-2.85%
Sample
112
runs
Baseline Net CAGR
4.1%
after costs
Filtered Net CAGR
0.2%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.174
median
Filtered Sharpe
0.026
Δ Sharpe
-0.10
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 = 0.6267 (expected best Sharpe from 10 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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