Does ATR Expansion help MACD Cross?
Crypto · 737 backtest runs · As of 21 Sept 2026 · Methodology
Not DecidableDSR ✗ not confirmed
Enough runs, but they disagree: the effect's 90% interval straddles the ±1 percentage-point line. Claiming a direction would assert more precision than the data supports.
CAGR Comparison
Baseline CAGR
-23.3%
no filter
Filtered CAGR
1.2%
ATR Expansion
Δ CAGR
+6.42%
Sample
737
runs
Baseline Net CAGR
-24.2%
after costs
Filtered Net CAGR
0.7%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.356
median
Filtered Sharpe
0.031
Δ Sharpe
-0.01
DSR
0.0%
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 = 1.0623 (expected best Sharpe from 10 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: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 21 Sept 2026 · Methodology