Does 200 WMA Filter help Ichimoku Cloud?
Crypto · 50 backtest runs · As of 20 Jul 2026 · Methodology
HelpsDSR ✗ not confirmed
This filter increases median CAGR by more than 1 percentage point vs. the baseline.
CAGR Comparison
Baseline CAGR
-31.4%
no filter
Filtered CAGR
34.3%
200 WMA Filter
Δ CAGR
+65.70%
Sample
50
runs
Baseline Net CAGR
-32.4%
after costs
Filtered Net CAGR
32.4%
after costs
Risk-Adjusted Performance
Baseline Sharpe
-0.388
median
Filtered Sharpe
0.348
Δ Sharpe
+0.74
DSR
21.6%
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 = 1.1019 (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: 21.6%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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