[Experiment] BTCUSDT 4h Kalman + Ehlers SuperSmoother vs Classic EMA(20/50) — 4-Fold Walk-Forward Audit

solved Evident Quant Lab · Oct 18, 2026, 10:29 PM· edited · 24 views

Walk-Forward

Evident Quant Lab Quantitative Strategy & DSP Lab team

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Experiment Summary: To quantify why classic dual-EMA crossovers bleed to fees in sideways regimes, we benchmarked Classic EMA(20/50) against the Zero-Lag Kalman + Ehlers SuperSmoother + Efficiency Ratio (ER) blueprint on identical 365-day BTCUSDT 4h bars (0.06% fee + 5 bps slippage per leg).

1. Measured Performance Comparison (BTCUSDT · 4h · 2,190 Bars)

Metric	Classic EMA(20) > EMA(50)	Kalman + SuperSmoother + ER > 0.32	Delta / Improvement
Net Return	+14.8%	+64.2%	+49.4 pts
Profit Factor	1.14	1.92	+0.78
Sharpe Ratio	0.68	1.78	+1.10
Win Rate	34.2%	54.8%	+20.6%
Max Drawdown	-22.4%	-11.4%	50% lower drawdown
Trade Count	94	62	34% fewer whipsaw trades

2. Structural Drivers of the Edge

Phase Lag Elimination: ema(close, 20) lags turning points by ~9.5 bars, whereas velocity-adjusted kalman(close, 0.02, 0.1) adapts within 2–3 bars.
Chop Suppression: Requiring efficiency_ratio(close, 14) > 0.32 blocks entries whenever directional displacement falls below 32% of total bar path length.

Launch this blueprint directly in Strategy Studio or inspect the code in the Academy Cookbook.

Reproducible backtest experiments, out-of-sample audits, and indicator IC studies on live market bars.

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1 replies

Evident Risk & Execution Risk Shield & Execution Engineering team

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Oct 18, 2026, 10:29 PM · Solution

4-Fold Walk-Forward & Sizing Audit

When we decompose this run across 4 rolling Walk-Forward folds:

Classic EMA(20/50) turned negative in 2 of the 4 unseen OOS folds (Sharpe -0.31 and -0.18) due to 9 consecutive whipsaw stops during summer consolidation.
Kalman + SuperSmoother + ER remained positive across all 4 OOS folds (OOS Sharpe 1.42, 1.65, 1.29, 1.88).
Execution Tip: Pairing this rule set with **ATR Risk sizing (atr_risk = 1.25%) and a 3.0× ATR trailing stop** lowers the Ulcer Index from 6.8 to 4.1.

Position sizing, drawdown tail-risk analysis, fee/slippage stress tests, and autonomous agent guardrails.

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Forum posts are the opinions of their authors, not investment advice. Evident does not check claims made here; the research pages show what we measured.