Trend + Volatility Filter Combinations

Nik's request: "test various combinations of the trend + volatile filters — e.g. MACD+ATR, ADX+ATR, MA+ATR. For example, trade when volatility (ATR) is low and the trade direction corresponds to the direction of the MA (or the MACD-histogram)."

Method. Each algo's trades are sliced by daily, causal regimes (the last fully-closed prior day — no look-ahead). Direction axes: MA(50)-slope sign, MACD(12/26/9)-histogram sign, ADX/DI(14). Level axis: ATR vs its rolling median (calm/active). aligned = trade direction matches the indicator direction (long only if up, short only if down). Shown alongside our existing single-axis matrix (ATR / ER / LR-slope) as the baseline. Net of fees, ETH+SOL, 2024+, % of balance = R. ret/DD (return ÷ max-drawdown) is the headline metric; * = n<20 (noise).

What holds — and what doesn't:

Robust across ALL 5 algos: ATR-low > base > ATR-high, and ADX-weak > base > ADX-strong. The ATR part confirms Nik's intuition (trade the calm state). The ADX part reverses the usual reading: ADX-strong means the trend is already extended → breakout fails; enter when ADX is weak.
MACD direction-alignment is a big win on CHANNEL-breakout algos (HHV ret/DD 5.7→10.9, Donchian 3.1→6.6) but neutral/negative on MA-cross algos (SuperTrend, SOL) — they already embed a direction, so the gate is redundant there. Algo-specific, not universal.
Long/short split matters: e.g. SOL MA-cross longs are dead (~0 ret/DD) while shorts carry the book (+4.6) — invisible in the combined view.

Caveats: 2024+ only (3 years, up-biased — so pure MA-rising gates flatter long). Some combined cells are thin (n<20, flagged *). This is a regime-attribution study on historical trades, not a re-optimization — the point is which filters help consistently, not the single best cell.

Headline: ret/DD by filter × algo (combined book)

Green = high ret/DD, red = negative. Hover a cell for n + total%.

filter ↓ / algo →	hhv llv	supertrend 10 3	supertrend 7 2	donchian20	sol ma cross
base	+5.7	+0.8	-0.4	+3.1	+2.4
ATR_low	+5.3	+2.2	+0.7	+3.9	+2.6
ATR_high	+1.0	-0.8	-1.0	+0.9	-0.2
ER_low	+2.3	+0.2	+0.2	+0.8	+3.8
ER_high	+5.2	+0.7	-1.0	+4.2	+0.5
LRslope_up	+6.7	+1.6	+0.2	+2.8	+4.1
ADX_weak	+6.3	+2.9	+0.9	+4.5	+2.8
ADX_strong	+2.0	-0.8	-0.9	+0.1	+0.0
MA_aligned	+5.3	+2.1	-0.3	+3.1	-0.1
MACD_aligned	+10.9	+0.8	-0.7	+6.6	+0.9
DI_aligned	+5.7	+0.5	-0.7	+2.9	+0.6
MA_aln·ATRlow	+3.4	+2.4	+0.5	+1.4	+0.8
MACD_aln·ATRlow	+6.9	+0.1	-0.2	+6.3	+1.4
ADXweak·ATRlow	+5.4	+3.2	+0.8	+3.2	+1.7
ADXstrong·ATRhigh	+0.4	-1.1	-1.0	-0.6	-0.9

Per-algo detail (Combined / Long / Short + by-year)

hhv_llv ETH 1h · channel breakout · long 200 / short 262

filter	n	Cmb rDD	tot%	Lng rDD	tot%	Sht rDD	tot%
Existing single-axis matrix (baseline)
base (all)	462	+5.7	+216%	+1.8	+62%	+8.0	+153%
ATR low	260	+5.3	+187%	+2.1	+55%	+12.5	+132%
ATR high	202	+1.0	+29%	+0.3	+7%	+0.9	+22%
ER low	226	+2.3	+105%	+2.0	+47%	+2.4	+58%
ER high	236	+5.2	+111%	+0.8	+15%	+5.9	+95%
LR-slope up	225	+6.7	+122%	+2.3	+48%	+4.1	+75%
LR-slope dn	237	+3.3	+93%	+0.5	+14%	+4.8	+79%
New direction axes (single)
MACD hist >0	223	+2.8	+101%	+2.9	+63%	+1.7	+38%
MACD hist <0	239	+6.2	+115%	-0.0	-1%	+12.0	+116%
MA rising	224	+11.7	+161%	+4.4	+76%	+4.7	+85%
MA falling	238	+1.6	+55%	-0.4	-13%	+3.7	+68%
+DI > -DI	183	+6.3	+108%	+3.3	+63%	+2.5	+45%
-DI > +DI	279	+3.5	+108%	-0.0	-1%	+6.8	+109%
ADX >= 25 (strong)	266	+2.0	+49%	-0.3	-9%	+2.5	+58%
ADX < 25 (weak)	196	+6.3	+167%	+3.3	+71%	+10.7	+96%
Direction-ALIGNED (trade dir = indicator dir)
MA-aligned (dir=MA)	240	+5.3	+144%	+4.4	+76%	+3.7	+68%
MACD-aligned (dir=hist)	225	+10.9	+179%	+2.9	+63%	+12.0	+116%
DI-aligned (dir=+DI/-DI)	247	+5.7	+172%	+3.3	+63%	+6.8	+109%
Combined: direction × ATR level
MA-aln + ATR low	129	+3.4	+90%	+4.0	+48%	+1.9	+42%
MA-aln + ATR high	111	+2.7	+53%	+1.3	+27%	+2.6	+26%
MACD-aln + ATR low	114	+6.9	+141%	+4.7	+63%	+10.4	+78%
MACD-aln + ATR high	111	+1.4	+38%	+0.0	+0%	+1.9	+37%
DI-aln + ATR low	134	+3.2	+108%	+1.6	+29%	+5.0	+79%
DI-aln + ATR high	113	+4.4	+64%	+2.3	+34%	+2.7	+30%
ADX-strong + ATR low	121	+2.5	+37%	-0.7	-15%	+5.1	+52%
ADX-strong + ATR high	145	+0.4	+12%	+0.3	+6%	+0.3	+6%
ADX-weak + ATR low	139	+5.4	+150%	+3.9	+70%	+7.3	+80%
ADX-weak + ATR high	57	+1.4	+17%	+0.1 *	+1%	+2.5	+16%
ADX-strong + DI-aligned	141	+4.3	+70%	+1.1	+20%	+3.6	+50%

By-year (combined total %, curated)

filter (combined)	2024	2025	2026
base	+133	+110	-28
ATR_low	+91	+118	-22
ATR_high	+42	-8	-6
ER_low	+92	+44	-30
ER_high	+42	+67	+2
LRslope_up	+99	+32	-8
ADX_weak	+96	+93	-22
ADX_strong	+37	+18	-6
MA_aligned	+86	+78	-20
MACD_aligned	+101	+91	-13
DI_aligned	+96	+102	-26
MA_aln·ATRlow	+45	+65	-19
MACD_aln·ATRlow	+55	+101	-15
ADXweak·ATRlow	+77	+95	-22
ADXstrong·ATRhigh	+23	-5	-6

supertrend_10_3 ETH 4h · trend flip · long 60 / short 60

filter	n	Cmb rDD	tot%	Lng rDD	tot%	Sht rDD	tot%
Existing single-axis matrix (baseline)
base (all)	120	+0.8	+11%	-0.8	-19%	+4.2	+30%
ATR low	74	+2.2	+23%	-0.6	-11%	+10.6	+34%
ATR high	46	-0.8	-12%	-1.0	-8%	-0.6	-4%
ER low	67	+0.2	+3%	-0.4	-6%	+1.3	+9%
ER high	53	+0.7	+8%	-1.0	-12%	+5.1	+21%
LR-slope up	61	+1.6	+12%	+0.2	+2%	+1.9	+10%
LR-slope dn	59	-0.0	-0%	-1.0	-20%	+4.9	+20%
New direction axes (single)
MACD hist >0	56	-0.1	-1%	-1.1 *	-13%	+1.9	+11%
MACD hist <0	64	+1.9	+13%	-0.5	-6%	+6.2	+18%
MA rising	58	+3.5	+24%	+0.9	+6%	+3.5	+18%
MA falling	62	-1.1	-13%	-1.0	-24%	+5.5	+12%
+DI > -DI	45	+1.2	+7%	-1.1 *	-10%	+4.3	+17%
-DI > +DI	75	+0.3	+4%	-0.6	-9%	+3.2	+13%
ADX >= 25 (strong)	70	-0.8	-11%	-1.0	-27%	+3.3	+16%
ADX < 25 (weak)	50	+2.9	+22%	+1.4	+8%	+4.4	+14%
Direction-ALIGNED (trade dir = indicator dir)
MA-aligned (dir=MA)	52	+2.1	+17%	+0.9	+6%	+5.5	+12%
MACD-aligned (dir=hist)	40	+0.8	+6%	-1.1 *	-13%	+6.2	+18%
DI-aligned (dir=+DI/-DI)	45	+0.5	+3%	-1.1 *	-10%	+3.2	+13%
Combined: direction × ATR level
MA-aln + ATR low	33	+2.4	+17%	+1.2 *	+6%	+2.8 *	+11%
MA-aln + ATR high	19	+0.1 *	+0%	-0.0 *	-0%	+0.2 *	+1%
MACD-aln + ATR low	27	+0.1	+1%	-1.1 *	-10%	+4.9 *	+10%
MACD-aln + ATR high	13	+1.3 *	+5%	-1.5 *	-3%	+2.7 *	+8%
DI-aln + ATR low	28	+1.4	+8%	-1.3 *	-5%	+3.4	+13%
DI-aln + ATR high	17	-0.8 *	-5%	-1.2 *	-5%	-0.3 *	-1%
ADX-strong + ATR low	38	+0.0	+0%	-1.0	-16%	+4.2 *	+16%
ADX-strong + ATR high	32	-1.1	-11%	-1.1 *	-11%	-0.1 *	-0%
ADX-weak + ATR low	36	+3.2	+23%	+0.9 *	+5%	+5.5 *	+18%
ADX-weak + ATR high	14	-0.2 *	-1%	+1.3 *	+3%	-1.2 *	-4%
ADX-strong + DI-aligned	27	+0.6	+3%	-1.1 *	-5%	+3.9 *	+8%

By-year (combined total %, curated)

filter (combined)	2024	2025	2026
base	+14	+2	-4
ATR_low	+24	-1	+1
ATR_high	-10	+3	-5
ER_low	+21	-10	-9
ER_high	-8	+11	+5
LRslope_up	+8	+4	-0
ADX_weak	+14	+15	-7
ADX_strong	-1	-13	+3
MA_aligned	+12	+6	+0
MACD_aligned	+5	+2	-1
DI_aligned	+4	+0	-1
MA_aln·ATRlow	+18	-3	+2
MACD_aln·ATRlow	+3	-2	-0
ADXweak·ATRlow	+20	+10	-7
ADXstrong·ATRhigh	-5	-1	-5

supertrend_7_2 ETH 4h · trend flip · long 96 / short 104

filter	n	Cmb rDD	tot%	Lng rDD	tot%	Sht rDD	tot%
Existing single-axis matrix (baseline)
base (all)	200	-0.4	-12%	-0.7	-24%	+1.0	+12%
ATR low	118	+0.7	+14%	-0.1	-2%	+1.7	+16%
ATR high	82	-1.0	-26%	-1.0	-22%	-0.5	-5%
ER low	100	+0.2	+5%	-0.2	-3%	+0.8	+8%
ER high	100	-1.0	-17%	-0.8	-21%	+0.4	+4%
LR-slope up	100	+0.2	+4%	-0.5	-8%	+1.6	+12%
LR-slope dn	100	-0.7	-16%	-0.7	-16%	-0.0	-0%
New direction axes (single)
MACD hist >0	99	-0.0	-0%	-1.1	-13%	+1.1	+12%
MACD hist <0	101	-0.4	-12%	-0.5	-12%	-0.1	-1%
MA rising	100	+0.2	+3%	-0.5	-7%	+1.5	+11%
MA falling	100	-0.9	-16%	-0.7	-17%	+0.1	+1%
+DI > -DI	81	-0.6	-10%	-1.0	-18%	+1.3	+9%
-DI > +DI	119	-0.2	-3%	-0.3	-6%	+0.3	+3%
ADX >= 25 (strong)	130	-0.9	-27%	-1.0	-39%	+0.9	+12%
ADX < 25 (weak)	70	+0.9	+15%	+1.2	+14%	+0.0	+0%
Direction-ALIGNED (trade dir = indicator dir)
MA-aligned (dir=MA)	96	-0.3	-6%	-0.5	-7%	+0.1	+1%
MACD-aligned (dir=hist)	69	-0.7	-13%	-1.1	-13%	-0.1	-1%
DI-aligned (dir=+DI/-DI)	79	-0.7	-15%	-1.0	-18%	+0.3	+3%
Combined: direction × ATR level
MA-aln + ATR low	57	+0.5	+6%	-0.1	-1%	+0.9	+7%
MA-aln + ATR high	39	-0.8	-12%	-0.8	-7%	-0.7 *	-6%
MACD-aln + ATR low	38	-0.2	-2%	-0.8	-7%	+1.8 *	+5%
MACD-aln + ATR high	31	-0.8	-12%	-1.2 *	-6%	-0.6	-6%
DI-aln + ATR low	46	-0.0	-0%	-1.1 *	-11%	+1.8	+11%
DI-aln + ATR high	33	-0.9	-15%	-1.0 *	-7%	-0.7 *	-8%
ADX-strong + ATR low	70	+0.1	+1%	-0.9	-16%	+3.0	+17%
ADX-strong + ATR high	60	-1.0	-28%	-1.0	-23%	-0.5	-5%
ADX-weak + ATR low	48	+0.8	+13%	+1.3	+13%	-0.0	-0%
ADX-weak + ATR high	22	+0.2	+1%	+0.3 *	+1%	+0.1 *	+1%
ADX-strong + DI-aligned	55	-0.2	-3%	-1.1 *	-10%	+1.0	+7%

By-year (combined total %, curated)

filter (combined)	2024	2025	2026
base	+10	-17	-5
ATR_low	+17	-1	-2
ATR_high	-7	-16	-4
ER_low	+17	-7	-5
ER_high	-8	-9	-0
LRslope_up	+11	-5	-2
ADX_weak	+17	+8	-11
ADX_strong	-7	-25	+5
MA_aligned	-3	-2	-2
MACD_aligned	+3	-14	-3
DI_aligned	-4	-9	-3
MA_aln·ATRlow	+6	+1	-1
MACD_aln·ATRlow	+1	-2	-1
ADXweak·ATRlow	+22	+2	-11
ADXstrong·ATRhigh	-2	-22	-4

donchian20 ETH 4h · channel breakout · long 121 / short 177

filter	n	Cmb rDD	tot%	Lng rDD	tot%	Sht rDD	tot%
Existing single-axis matrix (baseline)
base (all)	298	+3.1	+82%	+0.4	+10%	+3.4	+72%
ATR low	169	+3.9	+72%	+0.6	+10%	+5.9	+62%
ATR high	129	+0.9	+10%	-0.0	-0%	+0.7	+10%
ER low	153	+0.8	+19%	+0.5	+7%	+0.7	+12%
ER high	145	+4.2	+63%	+0.2	+3%	+7.4	+60%
LR-slope up	152	+2.8	+51%	+0.9	+16%	+3.3	+36%
LR-slope dn	146	+2.1	+31%	-0.4	-6%	+3.2	+37%
New direction axes (single)
MACD hist >0	137	+2.4	+35%	+1.8	+19%	+1.0	+16%
MACD hist <0	161	+3.4	+47%	-0.5	-9%	+7.9	+57%
MA rising	150	+5.3	+69%	+2.0	+23%	+3.9	+46%
MA falling	148	+0.8	+13%	-0.7	-13%	+2.5	+26%
+DI > -DI	116	+2.1	+32%	+0.4	+6%	+1.3	+26%
-DI > +DI	182	+3.3	+51%	+0.3	+4%	+4.9	+46%
ADX >= 25 (strong)	173	+0.1	+1%	-0.6	-18%	+1.0	+19%
ADX < 25 (weak)	125	+4.5	+82%	+1.5	+28%	+9.7	+54%
Direction-ALIGNED (trade dir = indicator dir)
MA-aligned (dir=MA)	155	+3.1	+50%	+2.0	+23%	+2.5	+26%
MACD-aligned (dir=hist)	144	+6.6	+76%	+1.8	+19%	+7.9	+57%
DI-aligned (dir=+DI/-DI)	161	+2.9	+52%	+0.4	+6%	+4.9	+46%
Combined: direction × ATR level
MA-aln + ATR low	87	+1.4	+23%	+1.2	+12%	+0.8	+11%
MA-aln + ATR high	68	+2.9	+27%	+1.3	+12%	+2.9	+15%
MACD-aln + ATR low	74	+6.3	+56%	+2.3	+18%	+10.3	+38%
MACD-aln + ATR high	70	+1.5	+20%	+0.1	+1%	+1.9	+19%
DI-aln + ATR low	88	+1.9	+26%	-0.1	-2%	+4.0	+28%
DI-aln + ATR high	73	+3.7	+25%	+0.8	+7%	+3.5	+18%
ADX-strong + ATR low	82	+0.9	+10%	-0.6	-10%	+1.8	+20%
ADX-strong + ATR high	91	-0.6	-10%	-0.5	-8%	-0.2	-2%
ADX-weak + ATR low	87	+3.2	+62%	+1.3	+20%	+8.9	+42%
ADX-weak + ATR high	38	+4.0	+20%	+2.5 *	+8%	+1.6	+12%
ADX-strong + DI-aligned	94	+1.8	+18%	-0.0	-0%	+2.1	+18%

By-year (combined total %, curated)

filter (combined)	2024	2025	2026
base	+72	+23	-13
ATR_low	+56	+22	-6
ATR_high	+16	+1	-7
ER_low	+36	-0	-17
ER_high	+36	+23	+4
LRslope_up	+43	+14	-6
ADX_weak	+69	+27	-15
ADX_strong	+3	-4	+2
MA_aligned	+29	+27	-7
MACD_aligned	+60	+17	-1
DI_aligned	+34	+29	-11
MA_aln·ATRlow	+17	+11	-6
MACD_aln·ATRlow	+33	+25	-2
ADXweak·ATRlow	+55	+21	-15
ADXstrong·ATRhigh	+2	-5	-7

sol_ma_cross SOL 1h · MA cross · long 160 / short 288

filter	n	Cmb rDD	tot%	Lng rDD	tot%	Sht rDD	tot%
Existing single-axis matrix (baseline)
base (all)	448	+2.4	+79%	-0.3	-14%	+4.6	+93%
ATR low	247	+2.6	+87%	-0.1	-4%	+4.5	+92%
ATR high	201	-0.2	-8%	-0.3	-10%	+0.1	+2%
ER low	217	+3.8	+63%	-0.6	-19%	+5.4	+81%
ER high	231	+0.5	+17%	+0.2	+5%	+0.3	+12%
LR-slope up	235	+4.1	+70%	-0.3	-10%	+4.8	+79%
LR-slope dn	213	+0.2	+10%	-0.2	-4%	+0.5	+14%
New direction axes (single)
MACD hist >0	210	+2.2	+47%	-0.6	-14%	+4.6	+60%
MACD hist <0	238	+1.4	+33%	-0.0	-0%	+2.0	+33%
MA rising	238	+3.2	+55%	-0.6	-21%	+4.0	+75%
MA falling	210	+0.8	+25%	+0.2	+7%	+0.9	+18%
+DI > -DI	166	+2.5	+53%	-0.7	-12%	+3.7	+65%
-DI > +DI	282	+0.6	+26%	-0.1	-2%	+1.1	+28%
ADX >= 25 (strong)	233	+0.0	+2%	-1.0	-54%	+3.1	+55%
ADX < 25 (weak)	215	+2.8	+78%	+2.3	+40%	+2.2	+38%
Direction-ALIGNED (trade dir = indicator dir)
MA-aligned (dir=MA)	208	-0.1	-3%	-0.6	-21%	+0.9	+18%
MACD-aligned (dir=hist)	176	+0.9	+19%	-0.6	-14%	+2.0	+33%
DI-aligned (dir=+DI/-DI)	194	+0.6	+16%	-0.7	-12%	+1.1	+28%
Combined: direction × ATR level
MA-aln + ATR low	122	+0.8	+19%	-0.2	-4%	+1.3	+22%
MA-aln + ATR high	86	-0.6	-21%	-0.6	-17%	-0.4	-5%
MACD-aln + ATR low	95	+1.4	+29%	-1.0	-17%	+4.5	+46%
MACD-aln + ATR high	81	-0.4	-10%	+0.4	+3%	-0.7	-13%
DI-aln + ATR low	104	+0.9	+24%	-1.3 *	-5%	+1.2	+29%
DI-aln + ATR high	90	-0.3	-8%	-0.4	-7%	-0.0	-1%
ADX-strong + ATR low	100	+1.4	+43%	-0.6	-13%	+3.3	+56%
ADX-strong + ATR high	133	-0.9	-41%	-1.0	-40%	-0.1	-1%
ADX-weak + ATR low	147	+1.7	+44%	+0.6	+9%	+2.3	+35%
ADX-weak + ATR high	68	+2.2	+33%	+5.9	+31%	+0.1	+3%
ADX-strong + DI-aligned	111	-0.2	-8%	-1.0	-16%	+0.4	+8%

By-year (combined total %, curated)

filter (combined)	2024	2025	2026
base	+33	+46	+0
ATR_low	+41	+49	-3
ATR_high	-8	-3	+3
ER_low	+19	+39	+4
ER_high	+14	+7	-4
LRslope_up	+33	+16	+21
ADX_weak	+48	+53	-23
ADX_strong	-15	-7	+23
MA_aligned	-22	+13	+7
MACD_aligned	+12	+6	+1
DI_aligned	+6	+16	-6
MA_aln·ATRlow	-9	+26	+1
MACD_aln·ATRlow	+5	+30	-6
ADXweak·ATRlow	+32	+34	-21
ADXstrong·ATRhigh	-25	-22	+5

All filters causal (regime as of the last fully-closed prior day). Source: run_trend_combo_filters.py → trend_combo_filters.json. ret/DD = total return ÷ |max drawdown|; tot% = cumulative % of balance (1% risk per trade = 1R).