Does Altcoin Season Filter help WMA Trend?
Crypto · 150 backtest runs · As of 15 Jun 2026 · Methodology
HelpsDSR ✗ not confirmed
This filter increases median CAGR by more than 1 percentage point vs. the baseline.
CAGR Comparison
Baseline CAGR
4.8%
no filter
Filtered CAGR
16.7%
Altcoin Season Filter
Δ CAGR
+11.95%
Sample
150
runs
Risk-Adjusted Performance
Baseline Sharpe
0.547
median
Filtered Sharpe
0.218
Δ Sharpe
-0.33
DSR
28.4%
not confirmed
How does this filter work?
BUY signals only during altcoin season
DSR Methodology
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.7524 (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: 28.4%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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