Parabolic SAR fliplongBacktest-Ergebnisse @ SPY • 1 Hour
Eigenkapitalkurve
Der Backtest umfasst 5.7 years von SPY • 1 Hour (SPDR S&P 500) 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 SPY • 1 Hour Kerzen getestet. Dieser Backtest ergab 445 Positionen, mit einer durchschnittlichen Gewinnrate von 45% und einem Risiko-Rendite-Verhältnis von 1.58. Wenn Sie annehmen, dass das 1.58 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 38.8, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 70.40% vs 104.70% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -14.90% vs -35.10% für das Asset
- Exposition: Exposition: 60.60% Zeit im Markt
- Gewinnrate: Gewinnrate: 45.0%, vs 38.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.58
Mit dieser Exposition können Sie erkennen, dass Sie bei 61% Marktzeit 67.24% des Asset-Aufwärtspotenzials und 42.45% 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 @ SPY • 1 Hour (70.4%) erklärt von Mike
Mike
AutorYo fam, let me break down this Parabolic SAR strategy on SPY! 🚀
Looking at these numbers, it's giving some decent vibes! That 70.4% total profit might not beat buy & hold, but check this out - we're only exposed to the market 60.6% of the time, which means less stress and more time to flip burgers at Wendy's 😅. The risk metrics are actually pretty solid, with a max drawdown of only -14.9% compared to the asset's -35.1%. That's some serious protection during rough times! 💪
What's really got me hyped is that Win Rate Leeway - we're crushing the minimal required win rate by over 4000%! Even though the win rate is 45%, our winners are bigger than our losers (1.32% vs -0.84%), giving us that sweet 1.58 risk/reward ratio. Plus, averaging about 13 trades per month means we're not overtrading or getting killed by fees. The Sharpe and Sortino ratios aren't gonna blow anyone's mind, but they're respectable enough to show this isn't just a YOLO strategy! 📈
This could be a solid base for a longer-term portfolio play, especially if you're not trying to diamond hands through every market crash. Just gotta remember that past performance isn't guaranteed, but these numbers are giving me some serious hopium! 🌙
Tabellarische Metriken von Parabolic SAR flip getestet auf SPY • 1 Hour
| Gesamttrades | 445 | Nettogewinn | 70.4% | Buy & Hold Gewinn | 104.7% |
| Gewinnrate | 45% | Risiko/Rendite-Verhältnis | 1.58 | Maximaler Drawdown | -14.9% |
| Asset Maximaler Drawdown | -35.1% | Exposition | 60.6% | Durchschn. Kerzen in Position | 12.6 |
| Sharpe-Ratio | 1.00 | Sortino-Ratio | 1.35 | Realisierte Volatilität | 11.51% |
| Max. Gewinnserie | 7 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 8 |
| Durchschn. Verlustserie | 2.2 | Durchschn. Trades pro Monat | 12.8 | Durchschn. Trades pro Tag | 0.4 |
| Rendite Std Dev | 1.5 | Verlust Std Dev | 0.7 | Gewinn Std Dev | 1.2 |
| 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 |