Does 200 WMA Filter help EMA Cross?
Etf ยท 30 backtest runs ยท As of 13 Jul 2026 ยท Methodology
NeutralDSR โ confirmed
No material CAGR effect (ยฑ1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
9.5%
no filter
Filtered CAGR
8.6%
200 WMA Filter
ฮ CAGR
-0.95%
Sample
30
runs
Baseline Net CAGR
9.4%
after costs
Filtered Net CAGR
8.4%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.278
median
Filtered Sharpe
0.507
ฮ Sharpe
+0.23
DSR
100.0%
confirmed โฅ90%
How does this filter work?
BUY signals only when price > 200-week MA
DSR Methodology
DSR = PSR(SRฬโ) per Bailey & Lรณpez de Prado (2014). SRฬโ = 0.4937 (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 โฅ 90%. Current: 100.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison โ available after sign-in.
โ All edge reportsComputed 13 Jul 2026 ยท Methodology