Does 200 WMA Filter help WMA Trend?
Commodities · 40 backtest runs · As of 22 Jun 2026 · Methodology
HurtsDSR ✗ not confirmed
This filter reduces median CAGR by more than 1 percentage point — either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
5.6%
no filter
Filtered CAGR
2.8%
200 WMA Filter
Δ CAGR
-2.80%
Sample
40
runs
Risk-Adjusted Performance
Baseline Sharpe
0.158
median
Filtered Sharpe
0.152
Δ Sharpe
-0.01
DSR
68.9%
not confirmed
How does this filter work?
BUY signals only when price > 200-week MA
DSR Methodology
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.4556 (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: 68.9%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 22 Jun 2026 · Methodology