Does ATR Expansion help EMA Cross?
Stocks ยท 75 backtest runs ยท As of 13 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
9.1%
no filter
Filtered CAGR
2.3%
ATR Expansion
ฮ CAGR
-6.80%
Sample
75
runs
Baseline Net CAGR
9.0%
after costs
Filtered Net CAGR
2.2%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.296
median
Filtered Sharpe
0.282
ฮ Sharpe
-0.01
DSR
96.4%
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 = 0.5397 (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: 96.4%.
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