Does 200 WMA Filter help OBV-MACD?
Crypto · 198 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
1.6%
no filter
Filtered CAGR
9.2%
200 WMA Filter
Δ CAGR
+7.55%
Sample
198
runs
Baseline Net CAGR
1.2%
after costs
Filtered Net CAGR
8.7%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.116
median
Filtered Sharpe
0.148
Δ Sharpe
+0.03
DSR
0.0%
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 = 0.8231 (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: 0.0%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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