Does ATR Low Volatility help Smoothed Heiken Ashi?
Stocks · 59 backtest runs · As of 29 Jun 2026 · Methodology
HurtsDSR ✗ not 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
9.0%
no filter
Filtered CAGR
2.8%
ATR Low Volatility
Δ CAGR
-6.20%
Sample
59
runs
Baseline Net CAGR
8.8%
after costs
Filtered Net CAGR
2.6%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.270
median
Filtered Sharpe
0.224
Δ Sharpe
-0.05
DSR
51.5%
not confirmed
How does this filter work?
Signals only in low ATR regime
DSR Methodology
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.5304 (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: 51.5%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 29 Jun 2026 · Methodology