Does ATR High Volatility help Supertrend?
Crypto · 579 backtest runs · As of 21 Sept 2026 · Methodology
HelpsDSR ✗ not confirmed
This filter increases median CAGR — clearly enough that the entire 90% interval sits above +1 percentage point, not just the point estimate.
CAGR Comparison
Baseline CAGR
-22.1%
no filter
Filtered CAGR
-4.9%
ATR High Volatility
Δ CAGR
+5.28%
Sample
579
runs
Baseline Net CAGR
-22.4%
after costs
Filtered Net CAGR
-5.4%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.439
median
Filtered Sharpe
-0.302
Δ Sharpe
-0.09
DSR
0.0%
not confirmed
How does this filter work?
Signals only in high ATR regime
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 1.1265 (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.
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