Does 200 WMA Filter help Stoch-RSI / SMA?
Crypto · 150 backtest runs · As of 20 Jul 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
-0.3%
no filter
Filtered CAGR
-1.4%
200 WMA Filter
Δ CAGR
-1.05%
Sample
150
runs
Baseline Net CAGR
-2.3%
after costs
Filtered Net CAGR
-3.3%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.013
median
Filtered Sharpe
-0.028
Δ Sharpe
-0.01
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 = 0.6693 (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: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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