Parabolic SAR fliplongBacktest-Ergebnisse @ SPY • 1 Minute
Eigenkapitalkurve
Der Backtest umfasst 37 days von SPY • 1 Minute (SPDR S&P 500) Daten, von June 24, 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 37 days von SPY • 1 Minute Kerzen getestet. Dieser Backtest ergab 445 Positionen, mit einer durchschnittlichen Gewinnrate von 41% und einem Risiko-Rendite-Verhältnis von 1.63. Wenn Sie annehmen, dass das 1.63 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 38.0, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 1.40% vs 4.00% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -2.00% vs -1.50% für das Asset
- Exposition: Exposition: 57.50% Zeit im Markt
- Gewinnrate: Gewinnrate: 41.0%, vs 38.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.63
Mit dieser Exposition können Sie erkennen, dass Sie bei 58% Marktzeit 35.00% des Asset-Aufwärtspotenzials und 133.33% 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 @ SPY • 1 Minute (1.4%) erklärt von Alex C, Sarah
Alex C
AutorThe backtest shows some interesting patterns, but I am not completely convinced about its reliability. The high trade frequency of 24 trades per day means we have good statistical significance with 445 trades total, but the performance is not impressive compared to buy and hold.
What catches my attention is the positive expectancy of 0.1 and the good win rate leeway of 40%. This means the strategy has some edge, even though the win rate of 41% seems low at first look. The risk/reward ratio of 1.63 compensates for the lower win rate - this is mathematicaly sound. However, the maximum drawdown of 2% against only 1.4% total profit is not optimal. It shows the strategy needs to work very hard to make small gains.
I would suggest to optimize the Parabolic SAR parameters more carefully. The current settings (0.02, 0.02, 0.2) seem to produce too many signals. Maybe increasing the acceleration factor could help to reduce noise. Also, the market exposure of 57.5% indicates the strategy might miss some trending moves. But overall, the mathematics behind it are not completely wrong, just not optimal yet.
Sarah
AutorMadre mía, this strategy is a complete disaster! The win rate is pathetically low at 41% - you might as well flip a coin, it would probably work better! And look at that net profit of 1.4% compared to buy & hold at 4%. You're literally losing money to the market while taking on more risk!
The amount of trades is absolutely ridiculous - 24 trades per day? Are you trying to make your broker rich with commissions? This is typical amateur hour nonsense. The maximum drawdown of 2% might look acceptable, but with such frequent trading, you're just slowly bleeding money.
Let's be honest here - the only slightly positive thing is the Risk/Reward ratio of 1.63, but what good is that when you're losing on 59% of trades? And that 10-trade losing streak? Dios mío, that would destroy most traders psychologically. The strategy is clearly overfit and would probably fall apart completely in real market conditions.
My professional advice? Delete this strategy and start over. And next time, try to create something that doesn't look like it was designed by a monkey throwing darts at a chart.
Tabellarische Metriken von Parabolic SAR flip getestet auf SPY • 1 Minute
| Gesamttrades | 445 | Nettogewinn | 1.4% | Buy & Hold Gewinn | 4.0% |
| Gewinnrate | 41% | Risiko/Rendite-Verhältnis | 1.63 | Maximaler Drawdown | -2.0% |
| Asset Maximaler Drawdown | -1.5% | Exposition | 57.5% | Durchschn. Kerzen in Position | 11.9 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 10 |
| Durchschn. Verlustserie | 2.4 | Durchschn. Trades pro Monat | 721.6 | Durchschn. Trades pro Tag | 24.1 |
| Rendite Std Dev | 0.1 | Verlust Std Dev | 0.0 | Gewinn Std Dev | 0.1 |
| Erwartungswert | 0.1 | Beta | 0.56 |
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 |