Does ATR High Volatility help Supertrend?
Crypto · 129 backtest runs · As of 20 Jul 2026 · Methodology
NeutralDSR ✗ not confirmed
No material CAGR effect (±1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
-3.1%
no filter
Filtered CAGR
-3.9%
ATR High Volatility
Δ CAGR
-0.80%
Sample
129
runs
Baseline Net CAGR
-3.3%
after costs
Filtered Net CAGR
-4.1%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.014
median
Filtered Sharpe
-0.114
Δ Sharpe
-0.10
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 = 0.7562 (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: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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