Please add a volatility based (ATR) entry filter to "what if simulations" options under "cross-checks robustness" in re-tester module.
Rationale:
With an ATR entry filter, traders can check their system's performance during high/mid/low volatility periods. Most of systems I've built so far show a very strong dependency on the market volatility. For example: by being able to exclude trades taken during a low volatility market, I can greatly improve system performance. Ideally, in the end I could build a portfolio with mixed 'low' and 'high' volatility systems.