Question 1

Does the 200 WMA Filter improve RSI / SMA Cross performance on Commodities?

Accepted Answer

No — it hurts performance. Based on 50 independent backtest runs, the 200 WMA Filter changes median CAGR by -5.20% vs. a no-filter baseline. Deflated Sharpe Ratio (DSR): — — does not pass the 90% multiple-testing threshold.

Question 2

What is the Deflated Sharpe Ratio (DSR)?

Accepted Answer

The DSR (PSR(SR̂₀)) per Bailey & López de Prado (2014) corrects for multiple testing: when 7 filters are tested on the same backtest data, the probability of a lucky result increases. SR̂₀ = ? is the expected best Sharpe under this inflation. DSR measures whether the observed result clears this inflated threshold. Pass threshold: ≥90%.

Question 3

How is this analysis survivorship-bias-free?

Accepted Answer

Each filter is evaluated in isolation across all real backtest runs saved by users on the platform — with no look-ahead in trade signals. Sample size is shown transparently; verdicts with fewer than 30 runs are marked as insufficient and excluded from search indexing.

Backtesting Arena

Does 200 WMA Filter help RSI / SMA Cross?

CAGR Comparison

Risk-Adjusted Performance

How does this filter work?