Does ATR High Volatility help Triple Strike Reversal?
Crypto · 66 backtest runs · As of 3 Aug 2026 · Methodology
NeutralDSR ✗ not confirmed
No material CAGR effect (±1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
3.8%
no filter
Filtered CAGR
3.7%
ATR High Volatility
Δ CAGR
-0.05%
Sample
66
runs
Baseline Net CAGR
3.6%
after costs
Filtered Net CAGR
3.0%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.162
median
Filtered Sharpe
0.191
Δ Sharpe
+0.03
DSR
5.7%
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 = 0.5562 (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: 5.7%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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