Does ATR Low Volatility help EMA Cross?
Forex ยท 30 backtest runs ยท As of 13 Jul 2026 ยท Methodology
NeutralDSR โ not confirmed
No material CAGR effect (ยฑ1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
0.2%
no filter
Filtered CAGR
-0.6%
ATR Low Volatility
ฮ CAGR
-0.70%
Sample
30
runs
Baseline Net CAGR
0.0%
after costs
Filtered Net CAGR
-0.7%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.055
median
Filtered Sharpe
-0.245
ฮ Sharpe
-0.19
DSR
0.0%
not confirmed
How does this filter work?
Signals only in low ATR regime
DSR Methodology
DSR = PSR(SRฬโ) per Bailey & Lรณpez de Prado (2014). SRฬโ = 0.4447 (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: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison โ available after sign-in.
โ All edge reportsComputed 13 Jul 2026 ยท Methodology