Parabolic SAR fliplongBacktest-Ergebnisse @ GLD • 1 Hour
Eigenkapitalkurve
Der Backtest umfasst 5.7 years von GLD • 1 Hour (SPDR Gold Trust) Daten, von November 14, 2019 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 5.7 years von GLD • 1 Hour Kerzen getestet. Dieser Backtest ergab 335 Positionen, mit einer durchschnittlichen Gewinnrate von 43% und einem Risiko-Rendite-Verhältnis von 1.78. Wenn Sie annehmen, dass das 1.78 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 36.0, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 61.40% vs 118.50% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -21.70% vs -22.20% für das Asset
- Exposition: Exposition: 55.20% Zeit im Markt
- Gewinnrate: Gewinnrate: 43.0%, vs 36.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.78
Mit dieser Exposition können Sie erkennen, dass Sie bei 55% Marktzeit 51.81% des Asset-Aufwärtspotenzials und 97.75% des Asset-Abwärtspotenzials erhalten.
Parabolic SAR flip: Position eingehen wenn
All of the following: # India 60min Parabolic SAR (0.02, 0.02, 0.2, 0) < 60min Chart(close)
Parabolic SAR flip: Position verlassen wenn
Exits as soon as None of the entry conditions are true any more.
Parabolic SAR flip @ GLD • 1 Hour (61.4%) erklärt von Mike
Mike
AutorYo fam, this Parabolic SAR strategy on GLD is giving me some mixed vibes! 🤔
The good news first - we're looking at a solid 61.4% profit over 5.7 years, and that Risk/Reward ratio of 1.78 is pretty sweet! Plus, that win rate leeway is thicc AF at 42.64% above what we need - means the strategy has some serious breathing room. Love to see that the max drawdown (-21.7%) is actually better than the asset's drawdown (-22.2%) too! 💪
But here's where it gets a bit sus - the win rate is only 43% and we're underperforming buy & hold by quite a bit (61.4% vs 118.5%). Those losing streaks can go up to 8 trades, which might make some paper hands shake! The Sharpe and Sortino ratios are also kinda meh, telling us the risk-adjusted returns aren't exactly crushing it. 📉
Overall, I'd say this strategy could work if you're cool with more frequent trading (about 10 trades per month) and can handle those losing streaks emotionally. It's not gonna make us Lambo-rich overnight, but it's definitely not garbage either. Might be worth paper trading first before yoloing the Wendy's paycheck! 🚀
Tabellarische Metriken von Parabolic SAR flip getestet auf GLD • 1 Hour
| Gesamttrades | 335 | Nettogewinn | 61.4% | Buy & Hold Gewinn | 118.5% |
| Gewinnrate | 43% | Risiko/Rendite-Verhältnis | 1.78 | Maximaler Drawdown | -21.7% |
| Asset Maximaler Drawdown | -22.2% | Exposition | 55.2% | Durchschn. Kerzen in Position | 15.5 |
| Sharpe-Ratio | 0.40 | Sortino-Ratio | 0.15 | Realisierte Volatilität | 10.87% |
| Max. Gewinnserie | 7 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 8 |
| Durchschn. Verlustserie | 2.3 | Durchschn. Trades pro Monat | 9.6 | Durchschn. Trades pro Tag | 0.3 |
| Rendite Std Dev | 1.5 | Verlust Std Dev | 0.6 | Gewinn Std Dev | 1.3 |
| Erwartungswert | 0.2 | Beta | 0.53 |
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 |