Does 200 WMA Filter help WMA Trend?
Etf · 40 backtest runs · As of 22 Jun 2026 · Methodology
NeutralDSR ✓ confirmed
No material CAGR effect (±1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
5.4%
no filter
Filtered CAGR
6.3%
200 WMA Filter
Δ CAGR
+0.85%
Sample
40
runs
Risk-Adjusted Performance
Baseline Sharpe
0.298
median
Filtered Sharpe
0.398
Δ Sharpe
+0.10
DSR
100.0%
confirmed ≥90%
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 = 0.4501 (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: 100.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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