Does 200 WMA Filter help RSI(2) Mean Reversion?
Crypto · 196 backtest runs · As of 31 Aug 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
0.6%
no filter
Filtered CAGR
1.3%
200 WMA Filter
Δ CAGR
0.00%
Sample
196
runs
Baseline Net CAGR
-0.1%
after costs
Filtered Net CAGR
0.1%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.051
median
Filtered Sharpe
0.076
Δ Sharpe
0.00
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 = 0.6651 (expected best Sharpe from 9 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 31 Aug 2026 · Methodology