Does ATR Expansion help Stoch-RSI / SMA?
Forex · 56 backtest runs · As of 22 Jun 2026 · Methodology
NeutralDSR ✗ not confirmed
No material CAGR effect (±1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
0.1%
no filter
Filtered CAGR
0.5%
ATR Expansion
Δ CAGR
+0.40%
Sample
56
runs
Risk-Adjusted Performance
Baseline Sharpe
0.008
median
Filtered Sharpe
0.201
Δ Sharpe
+0.19
DSR
29.4%
not confirmed
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: 29.4%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 22 Jun 2026 · Methodology