Does 200 WMA Filter help Ichimoku Cloud?
Crypto · 268 backtest runs · As of 12 Sept 2026 · Methodology
NeutralDSR ✗ not confirmed
No material CAGR effect: the entire 90% interval lies within ±1 percentage point. The filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
-8.5%
no filter
Filtered CAGR
9.3%
200 WMA Filter
Δ CAGR
+0.10%
Sample
268
runs
Baseline Net CAGR
-9.2%
after costs
Filtered Net CAGR
8.3%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.281
median
Filtered Sharpe
0.116
Δ Sharpe
+0.03
DSR
0.0%
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 = 1.0251 (expected best Sharpe from 10 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: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 12 Sept 2026 · Methodology