Does 200 WMA Filter help MACD Cross?
Commodities ยท 30 backtest runs ยท As of 13 Jul 2026 ยท Methodology
HurtsDSR โ not confirmed
This filter reduces median CAGR by more than 1 percentage point โ either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
5.5%
no filter
Filtered CAGR
2.0%
200 WMA Filter
ฮ CAGR
-3.50%
Sample
30
runs
Baseline Net CAGR
5.3%
after costs
Filtered Net CAGR
1.8%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.277
median
Filtered Sharpe
0.156
ฮ Sharpe
-0.12
DSR
24.1%
not confirmed
How does this filter work?
BUY signals only when price > 200-week MA
DSR Methodology
DSR = PSR(SRฬโ) per Bailey & Lรณpez de Prado (2014). SRฬโ = 0.4750 (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 โฅ 90%. Current: 24.1%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison โ available after sign-in.
โ All edge reportsComputed 13 Jul 2026 ยท Methodology