Parabolic SAR fliplongBacktest-Ergebnisse @ BTCUSDT • 1 Minute
Eigenkapitalkurve
Der Backtest umfasst 7 days von BTCUSDT • 1 Minute (Bitcoin vs Tether, Binance US) Daten, von July 25, 2025 bis July 31, 2025.
Die Eigenkapitalkurve zeigt die Leistung der Strategie im Zeitverlauf. Sie sollten sie mit der Buy & Hold Performance des Assets vergleichen. Im Allgemeinen sollte der blaue Bereich deutlich über dem grauen Bereich liegen.
Drawdown zeigt, wie viel Verluste (realisiert oder nicht realisiert) die Strategie im Vergleich zum höchsten Eigenkapitalpeak hatte. Vergleichen Sie dies mit dem Drawdown des Assets, um zu sehen, ob Ihre Strategie eine anständige Arbeit leistet, Sie von Abwärtsvolatilität zu isolieren. Im Allgemeinen muss der rote Bereich gut innerhalb des grauen Bereichs liegen.
Also haben wir Parabolic SAR flip über 7 days von BTCUSDT • 1 Minute Kerzen getestet. Dieser Backtest ergab 284 Positionen, mit einer durchschnittlichen Gewinnrate von 36% und einem Risiko-Rendite-Verhältnis von 1.47. Wenn Sie annehmen, dass das 1.47 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 40.5, um profitabel zu sein. Sie sind also am Arsch! Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: -2.70% vs 0.50% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -3.40% vs -4.40% für das Asset
- Exposition: Exposition: 55.00% Zeit im Markt
- Gewinnrate: Gewinnrate: 36.0%, vs 40.5% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.47
Mit dieser Exposition können Sie erkennen, dass Sie bei 55% Marktzeit -540.00% des Asset-Aufwärtspotenzials und 77.27% des Asset-Abwärtspotenzials erhalten.
Parabolic SAR flip: Position eingehen wenn
All of the following: # India 1min Parabolic SAR (0.02, 0.02, 0.2, 0) < 1min Chart(close)
Parabolic SAR flip: Position verlassen wenn
Exits as soon as None of the entry conditions are true any more.
Parabolic SAR flip @ BTCUSDT • 1 Minute (-2.7%) erklärt von Alex C, Mike
Alex C
AutorThe backtest results show some serious problems. First thing I notice is the high frequency - 94.7 trades per day is way too much. This causes high exposure to spreads and fees which will eat your profits in real trading.
The win rate of 36% combined with risk/reward of 1.47 is mathematically not viable. Even though the average win (0.14%) is larger than average loss (-0.09%), the low win rate makes it impossible to be profitable in the long run. The negative expectancy of -0.1 confirms this. You are basically losing money with statistical certainty.
The drawdown of -3.4% might look small, but considering this is only 7 days of data, it is quite significant. The strategy underperformed buy & hold by 3.2% which is not good. Also the market exposure of 55% suggests the strategy misses lot of moves, while still managing to lose money when it trades.
I would completely reject this strategy. The mathematical metrics show it has no edge. My suggestion would be to either increase the timeframe to reduce noise trading, or implement stronger filters for entry/exit conditions. But in current form, this strategy should not be traded with real money.
Mike
AutorYo fam, this SAR flip strategy on BTC is giving me some mixed feelings! 🤔 The volume is insane with almost 100 trades per day, which is exactly what I'm looking for as a scalper trying to make those quick gains! 🚀
But I gotta keep it real - that 36% win rate with a -2.7% net loss over just a week is kinda rough. Even though we're getting bigger wins than losses (0.14% vs -0.09%), we're just not winning often enough to make it work. The strategy's underperforming buy & hold too, which ain't great.
That said, I'm seeing some potential here! 💎 The risk/reward ratio is decent at 1.47, and we've got good win rate leeway according to the stats. Maybe with some tweaking on the entry/exit conditions and maybe adding some filters for choppy markets, this could be turned into something profitable. Might experiment with this during my Wendy's breaks! Let me know if anyone's got suggestions for improving it - we're all gonna make it! 🙌
Tabellarische Metriken von Parabolic SAR flip getestet auf BTCUSDT • 1 Minute
| Gesamttrades | 284 | Nettogewinn | -2.7% | Buy & Hold Gewinn | 0.5% |
| Gewinnrate | 36% | Risiko/Rendite-Verhältnis | 1.47 | Maximaler Drawdown | -3.4% |
| Asset Maximaler Drawdown | -4.4% | Exposition | 55.0% | Durchschn. Kerzen in Position | 11.6 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 10 |
| Durchschn. Verlustserie | 2.7 | Durchschn. Trades pro Monat | 2840.0 | Durchschn. Trades pro Tag | 94.7 |
| Rendite Std Dev | 0.2 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.1 |
| Erwartungswert | -0.1 | Beta | 0.47 |
Alle Backtests für Parabolic SAR flip
| common.strategy | Exposition | Leistung vs Asset | Drawdown vs Asset | Gewinnrate | Risiko/Rendite |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 55% | (-2.7%/0.5%) -5.40x | (-3.4%/-4.4%) 0.77x | 36 | 1.5 |
EURUSD • 1 Minute | 55% | (-1.7%/-2.7%) 0.63x | (-1.9%/-3.3%) 0.58x | 37 | 1.3 |
GLD • 1 Minute | 56% | (-4.4%/-0.9%) 4.89x | (-4.9%/-4.8%) 1.02x | 41 | 1.1 |
NVDA • 1 Minute | 56% | (11.3%/20.6%) 0.55x | (-3.2%/-5.3%) 0.60x | 40 | 2.0 |
PLTR • 1 Minute | 56% | (-4.0%/10.4%) -0.38x | (-8.6%/-12.9%) 0.67x | 38 | 1.5 |
SPY • 1 Minute | 58% | (1.4%/4.0%) 0.35x | (-2.0%/-1.5%) 1.33x | 41 | 1.6 |
TSLA • 1 Minute | 55% | (-5.0%/-9.9%) 0.51x | (-11.0%/-15.9%) 0.69x | 38 | 1.5 |
WMT • 1 Minute | 55% | (-0.8%/-0.7%) 1.14x | (-2.9%/-5.1%) 0.57x | 37 | 1.6 |
BTCUSDT • 10 Minutes | 57% | (3.2%/4.7%) 0.68x | (-10.6%/-11.7%) 0.91x | 39 | 1.6 |
EURUSD • 10 Minutes | 56% | (-1.3%/0.6%) -2.17x | (-2.3%/-3.6%) 0.64x | 40 | 1.4 |
GLD • 10 Minutes | 57% | (22.1%/37.4%) 0.59x | (-8.4%/-8.3%) 1.01x | 46 | 1.6 |
NVDA • 10 Minutes | 58% | (24.3%/45.0%) 0.54x | (-28.0%/-42.8%) 0.65x | 44 | 1.4 |
PLTR • 10 Minutes | 60% | (121.1%/459.2%) 0.26x | (-45.7%/-46.5%) 0.98x | 47 | 1.5 |
SPY • 10 Minutes | 59% | (7.9%/14.1%) 0.56x | (-16.1%/-20.7%) 0.78x | 44 | 1.4 |
TSLA • 10 Minutes | 56% | (86.8%/24.4%) 3.56x | (-30.8%/-55.3%) 0.56x | 43 | 1.7 |
WMT • 10 Minutes | 58% | (37.0%/38.7%) 0.96x | (-12.4%/-23.8%) 0.52x | 45 | 1.7 |
BTCUSDT • 1 Hour | 55% | (40.1%/65.5%) 0.61x | (-25.5%/-30.6%) 0.83x | 42 | 1.6 |
EURUSD • 1 Hour | 55% | (-3.2%/3.5%) -0.91x | (-7.5%/-9.0%) 0.83x | 39 | 1.5 |
GLD • 1 Hour | 55% | (61.4%/118.5%) 0.52x | (-21.7%/-22.2%) 0.98x | 43 | 1.8 |
NVDA • 1 Hour | 58% | (1284.1%/3304.6%) 0.39x | (-42.2%/-68.0%) 0.62x | 47 | 1.8 |
PLTR • 1 Hour | 55% | (538.0%/1459.0%) 0.37x | (-77.3%/-86.6%) 0.89x | 42 | 2.0 |
SPY • 1 Hour | 61% | (70.4%/104.7%) 0.67x | (-14.9%/-35.1%) 0.42x | 45 | 1.6 |
TSLA • 1 Hour | 56% | (5558.2%/1240.0%) 4.48x | (-40.4%/-75.1%) 0.54x | 44 | 2.4 |
WMT • 1 Hour | 57% | (100.4%/142.7%) 0.70x | (-18.3%/-26.9%) 0.68x | 43 | 1.8 |
BTCUSDT • Daily | 57% | (379.6%/1339.3%) 0.28x | (-68.0%/-76.6%) 0.89x | 43 | 2.3 |
EURUSD • Daily | 55% | (-1.5%/8.0%) -0.19x | (-17.8%/-23.3%) 0.76x | 37 | 1.7 |
GLD • Daily | 57% | (301.4%/585.6%) 0.51x | (-23.7%/-45.3%) 0.52x | 46 | 1.9 |
NVDA • Daily | 59% | (14739.3%/417479.9%) 0.04x | (-76.5%/-90.0%) 0.85x | 46 | 2.0 |
PLTR • Daily | 57% | (559.1%/1476.3%) 0.38x | (-50.4%/-84.9%) 0.59x | 49 | 2.7 |
SPY • Daily | 65% | (117.1%/1354.3%) 0.09x | (-48.3%/-56.7%) 0.85x | 47 | 1.4 |
TSLA • Daily | 57% | (440.9%/25131.3%) 0.02x | (-75.3%/-75.0%) 1.00x | 37 | 2.6 |
WMT • Daily | 59% | (476.7%/10620.7%) 0.04x | (-60.7%/-50.6%) 1.20x | 45 | 1.6 |