Parabolic SAR fliplongBacktest-Ergebnisse @ PLTR • 1 Hour
Eigenkapitalkurve
Der Backtest umfasst 4.8 years von PLTR • 1 Hour (Palantir Technologies Inc.) Daten, von September 30, 2020 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 4.8 years von PLTR • 1 Hour Kerzen getestet. Dieser Backtest ergab 314 Positionen, mit einer durchschnittlichen Gewinnrate von 42% und einem Risiko-Rendite-Verhältnis von 2.05. Wenn Sie annehmen, dass das 2.05 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 32.8, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 538.00% vs 1459.00% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -77.30% vs -86.60% für das Asset
- Exposition: Exposition: 54.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 42.0%, vs 32.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.05
Mit dieser Exposition können Sie erkennen, dass Sie bei 55% Marktzeit 36.87% des Asset-Aufwärtspotenzials und 89.26% 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 @ PLTR • 1 Hour (538.0%) erklärt von Alex C
Alex C
AutorThe backtest shows some interesting patterns, but I have several concerns about the strategy's robustness. The win rate of 42% combined with a 2.05 risk/reward ratio mathematically makes sense - it's well above the minimal sufficient win rate of 32.8%. This is actually quite good.
However, the maximum drawdown of 77.3% is extremely problematic. No professional trader would accept such a high drawdown - it's simply too risky. The strategy also underperforms buy & hold significantly (538% vs 1459%), while still exposing you to substantial risk. The Sharpe ratio of 0.50 and Sortino of 0.24 are both quite poor, indicating bad risk-adjusted returns.
I notice the strategy produces relatively few trades - only 0.4 per day on average. This makes me worry about statistical significance, even though we have 314 trades total over the period. The correlation with the underlying asset is 0.68, which suggests this strategy is basically just giving you leveraged exposure to PLTR's movements rather than finding truly independent trading opportunities. In my experience, you want correlation below 0.3 for a truly robust strategy.
Tabellarische Metriken von Parabolic SAR flip getestet auf PLTR • 1 Hour
| Gesamttrades | 314 | Nettogewinn | 538.0% | Buy & Hold Gewinn | 1459.0% |
| Gewinnrate | 42% | Risiko/Rendite-Verhältnis | 2.05 | Maximaler Drawdown | -77.3% |
| Asset Maximaler Drawdown | -86.6% | Exposition | 54.9% | Durchschn. Kerzen in Position | 13.8 |
| Sharpe-Ratio | 0.50 | Sortino-Ratio | 0.24 | Realisierte Volatilität | 46.10% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 9 |
| Durchschn. Verlustserie | 2.5 | Durchschn. Trades pro Monat | 10.7 | Durchschn. Trades pro Tag | 0.4 |
| Rendite Std Dev | 6.8 | Verlust Std Dev | 2.5 | Gewinn Std Dev | 7.4 |
| Erwartungswert | 0.3 | Beta | 0.49 |
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 |