Does ATR High Volatility help Triple Strike Reversal?
Crypto · 70 backtest runs · As of 14 Sept 2026 · Methodology
Not DecidableDSR ✗ not confirmed
Enough runs, but they disagree: the effect's 90% interval straddles the ±1 percentage-point line. Claiming a direction would assert more precision than the data supports.
CAGR Comparison
Baseline CAGR
4.3%
no filter
Filtered CAGR
1.8%
ATR High Volatility
Δ CAGR
-0.90%
Sample
70
runs
Baseline Net CAGR
4.1%
after costs
Filtered Net CAGR
1.0%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.174
median
Filtered Sharpe
0.122
Δ Sharpe
-0.10
DSR
0.7%
not confirmed
How does this filter work?
Signals only in high ATR regime
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.6275 (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: 0.7%.
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