Does ATR Expansion help WMA Trend?
Stocks · 64 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
8.4%
no filter
Filtered CAGR
1.6%
ATR Expansion
Δ CAGR
-6.75%
Sample
64
runs
Baseline Net CAGR
8.3%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.278
median
Filtered Sharpe
0.166
Δ Sharpe
-0.11
DSR
16.8%
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 = 0.5549 (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: 16.8%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 29 Jun 2026 · Methodology