Does ATR Low Volatility help MACD Cross?
Stocks ยท 60 backtest runs ยท As of 13 Jul 2026 ยท Methodology
HurtsDSR โ not 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
7.5%
no filter
Filtered CAGR
2.5%
ATR Low Volatility
ฮ CAGR
-5.10%
Sample
60
runs
Baseline Net CAGR
7.3%
after costs
Filtered Net CAGR
2.2%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.350
median
Filtered Sharpe
0.265
ฮ Sharpe
-0.09
DSR
87.5%
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 = 0.5212 (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: 87.5%.
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