Backtesting Arena

Backtesting Arena

Does ATR Expansion help OBV-MACD?

Etf · 30 backtest runs · As of 6 Jul 2026 · Methodology

HurtsDSR ✓ 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
7.4%
no filter
Filtered CAGR
3.2%
ATR Expansion
Δ 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
Δ Sharpe
-0.05
DSR
99.9%
confirmed ≥90%

How does this filter work?

Signals only during ATR expansion (trend onset)

DSR Methodology

DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.4975 (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 ≥ 90%. Current: 99.9%.

Full analysis in Edge Library

Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.

← All edge reportsComputed 6 Jul 2026 · Methodology