Does 200 WMA Filter help MACD Cross?
Stocks ยท 90 backtest runs ยท As of 13 Jul 2026 ยท Methodology
HurtsDSR โ confirmed
This filter reduces median CAGR by more than 1 percentage point โ either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
7.5%
no filter
Filtered CAGR
6.5%
200 WMA Filter
ฮ CAGR
-1.10%
Sample
90
runs
Baseline Net CAGR
7.3%
after costs
Filtered Net CAGR
6.2%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.350
median
Filtered Sharpe
0.339
ฮ Sharpe
-0.01
DSR
99.7%
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 = 0.5226 (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: 99.7%.
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