Does 200 WMA Filter help OBV-MACD?
Forex · 30 backtest runs · As of 6 Jul 2026 · Methodology
NeutralDSR ✗ not confirmed
No material CAGR effect (±1pp vs. baseline). Filter may still reduce drawdown.
CAGR Comparison
Baseline CAGR
0.3%
no filter
Filtered CAGR
0.1%
200 WMA Filter
Δ CAGR
-0.25%
Sample
30
runs
Baseline Net CAGR
0.0%
after costs
Filtered Net CAGR
-0.1%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.108
median
Filtered Sharpe
0.001
Δ Sharpe
-0.11
DSR
0.6%
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 = 0.4468 (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: 0.6%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
← All edge reportsComputed 6 Jul 2026 · Methodology