Parabolic SAR fliplongBacktest-Ergebnisse @ WMT • 10 Minutes
Eigenkapitalkurve
Der Backtest umfasst 12.5 months von WMT • 10 Minutes (Walmart Inc.) 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 WMT • 10 Minutes Kerzen getestet. Dieser Backtest ergab 424 Positionen, mit einer durchschnittlichen Gewinnrate von 45% und einem Risiko-Rendite-Verhältnis von 1.68. Wenn Sie annehmen, dass das 1.68 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 37.3, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 37.00% vs 38.70% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -12.40% vs -23.80% für das Asset
- Exposition: Exposition: 58.10% Zeit im Markt
- Gewinnrate: Gewinnrate: 45.0%, vs 37.3% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.68
Mit dieser Exposition können Sie erkennen, dass Sie bei 58% Marktzeit 95.61% des Asset-Aufwärtspotenzials und 52.10% 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 @ WMT • 10 Minutes (37.0%) erklärt von Alex C, Sarah
Alex C
AutorThe backtest results look quite solid from mathematical perspective. The strategy shows good statistical robustness with 424 trades over 12.5 months - this gives us enough sample size to make meaningful conclusions.
The win rate of 45% combined with risk/reward ratio of 1.68 creates positive expectancy of 0.2, which is mathematicaly viable. What I find particularly compelling is the win rate leeway of 44.63% above the minimal required win rate - this provides significant buffer against strategy deterioration. The Sharpe ratio of 2.82 and Sortino of 2.62 indicate good risk-adjusted returns, especially considering the moderate market exposure of 58.1%.
However, I notice some potential concerns. The strategy slightly underperforms buy & hold (37% vs 38.7%), which suggests it might not be optimal in strong uptrends. Also the maximum drawdown of 12.4% could be problematic depending on ones risk tolerance. But the beta of 0.42 shows good downside protection compared to holding the asset directly. The average trade duration of 12.7 candles seems reasonable for a medium-term strategy.
Sarah
AutorMadre mia, this strategy is like putting lipstick on a pig! The net profit is actually LOWER than buy & hold - what a joke! 37% vs 38.7%? You're literally better off sleeping through the year than trading this nonsense.
Look at those pathetic numbers - 45% win rate with a 1.68 risk/reward? Si, matematically it works because you need only 37.3% wins to break even, but why would anyone want to lose more than half their trades? It's like choosing to get punched in the face 55% of the time! The market exposure of 58.1% shows you're missing almost half the moves too.
The only decent thing here are the Sharpe and Sortino ratios above 2.5, pero even a broken clock is right twice per day. With 424 trades generating barely any alpha, you're just giving money to your broker! And that 12.4% drawdown? Dios mio, that's painful for such mediocre returns.
My brutal honest opinion? This strategy is pure basura. Either hold the stock or find something that actually beats the market instead of this overengineered mess that makes less money with more work. You're basically paying to get worse results than a simple buy and hold!
Tabellarische Metriken von Parabolic SAR flip getestet auf WMT • 10 Minutes
| Gesamttrades | 424 | Nettogewinn | 37.0% | Buy & Hold Gewinn | 38.7% |
| Gewinnrate | 45% | Risiko/Rendite-Verhältnis | 1.68 | Maximaler Drawdown | -12.4% |
| Asset Maximaler Drawdown | -23.8% | Exposition | 58.1% | Durchschn. Kerzen in Position | 12.7 |
| Sharpe-Ratio | 2.82 | Sortino-Ratio | 2.62 | Realisierte Volatilität | 14.65% |
| Max. Gewinnserie | 10 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.1 | Durchschn. Trades pro Monat | 68.0 | Durchschn. Trades pro Tag | 2.3 |
| Rendite Std Dev | 0.8 | Verlust Std Dev | 0.4 | Gewinn Std Dev | 0.7 |
| Erwartungswert | 0.2 | Beta | 0.42 |
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 |