Parabolic SAR fliplongBacktest-Ergebnisse @ SPY • 10 Minutes
Eigenkapitalkurve
Der Backtest umfasst 12.5 months von SPY • 10 Minutes (SPDR S&P 500) Daten, von July 22, 2024 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 12.5 months von SPY • 10 Minutes Kerzen getestet. Dieser Backtest ergab 437 Positionen, mit einer durchschnittlichen Gewinnrate von 44% und einem Risiko-Rendite-Verhältnis von 1.42. Wenn Sie annehmen, dass das 1.42 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 41.3, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 7.90% vs 14.10% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -16.10% vs -20.70% für das Asset
- Exposition: Exposition: 58.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 44.0%, vs 41.3% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.42
Mit dieser Exposition können Sie erkennen, dass Sie bei 59% Marktzeit 56.03% des Asset-Aufwärtspotenzials und 77.78% des Asset-Abwärtspotenzials erhalten.
Parabolic SAR flip: Position eingehen wenn
All of the following: # India 10min Parabolic SAR (0.02, 0.02, 0.2, 0) < 10min 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 • 10 Minutes (7.9%) erklärt von Mike
Mike
AutorYo fam, this Parabolic SAR strategy is looking kinda interesting! 🤔 Not gonna lie, that 7.9% profit isn't gonna get us a Lambo right away, especially when SPY itself did 14.1%, but there's some pretty sweet stuff under the hood.
The risk metrics are actually pretty solid - that 1.42 Risk/Reward ratio is lit 🔥, and we're running with way less drawdown than SPY (-16.1% vs -20.7%). Plus, that win rate leeway is absolutely massive at 43.59%, meaning this strategy has some serious breathing room! The Sharpe and Sortino ratios being above 1 tells me we're not just YOLOing our Wendy's checks away.
What really gets me hyped is the consistency - we're getting about 2.3 trades per day with decent exposure time, and those winning streaks can hit 7 in a row! Sure, the losing streaks can stretch to 12, but hey, that's part of the game. With that solid expectancy of 0.1 and beta of 0.51, this could be a decent way to play SPY with less risk than just holding. Not financial advice tho, just a dude who loves his tendies! 🍗💎🙌
Tabellarische Metriken von Parabolic SAR flip getestet auf SPY • 10 Minutes
| Gesamttrades | 437 | Nettogewinn | 7.9% | Buy & Hold Gewinn | 14.1% |
| Gewinnrate | 44% | Risiko/Rendite-Verhältnis | 1.42 | Maximaler Drawdown | -16.1% |
| Asset Maximaler Drawdown | -20.7% | Exposition | 58.9% | Durchschn. Kerzen in Position | 12.5 |
| Sharpe-Ratio | 1.11 | Sortino-Ratio | 1.42 | Realisierte Volatilität | 12.87% |
| Max. Gewinnserie | 7 | Durchschn. Gewinnserie | 2.0 | Max. Verlustserie | 12 |
| Durchschn. Verlustserie | 2.5 | Durchschn. Trades pro Monat | 70.1 | Durchschn. Trades pro Tag | 2.3 |
| Rendite Std Dev | 0.6 | Verlust Std Dev | 0.4 | Gewinn Std Dev | 0.6 |
| Erwartungswert | 0.1 | Beta | 0.51 |
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 |