Does ATR Low Volatility help Triple Strike Reversal?
Crypto · 159 backtest runs · As of 3 Aug 2026 · Methodology
HurtsDSR ✗ not 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
3.8%
no filter
Filtered CAGR
2.0%
ATR Low Volatility
Δ CAGR
-1.75%
Sample
159
runs
Baseline Net CAGR
3.6%
after costs
Filtered Net CAGR
1.8%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.162
median
Filtered Sharpe
0.085
Δ Sharpe
-0.08
DSR
0.3%
not confirmed
How does this filter work?
Signals only in low ATR regime
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.5570 (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: 0.3%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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