Does Bullmarket (Strict) help WMA Trend?
Crypto · 50 backtest runs · As of 15 Jun 2026 · Methodology
HelpsDSR ✓ 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
32.7%
Bullmarket (Strict)
Δ CAGR
+27.90%
Sample
50
runs
Risk-Adjusted Performance
Baseline Sharpe
0.547
median
Filtered Sharpe
0.379
Δ Sharpe
-0.17
DSR
98.1%
confirmed ≥90%
How does this filter work?
BUY signals only under strict bull market criterion
DSR Methodology
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.7395 (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: 98.1%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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