Does ATR Expansion help OBV-MACD?
Etf ยท 30 backtest runs ยท As of 6 Jul 2026 ยท Methodology
HurtsDSR โ confirmed
This filter reduces median CAGR by more than 1 percentage point โ either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
7.4%
no filter
Filtered CAGR
3.2%
ATR Expansion
ฮ CAGR
-4.20%
Sample
30
runs
Baseline Net CAGR
6.9%
after costs
Filtered Net CAGR
3.1%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.444
median
Filtered Sharpe
0.394
ฮ Sharpe
-0.05
DSR
99.9%
confirmed โฅ90%
How does this filter work?
Signals only during ATR expansion (trend onset)
DSR Methodology
DSR = PSR(SRฬโ) per Bailey & Lรณpez de Prado (2014). SRฬโ = 0.4975 (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 โฅ 90%. Current: 99.9%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison โ available after sign-in.
โ All edge reportsComputed 6 Jul 2026 ยท Methodology