Parabolic SAR fliplongBacktest-Ergebnisse @ WMT • 1 Hour
Eigenkapitalkurve
Der Backtest umfasst 5.7 years von WMT • 1 Hour (Walmart Inc.) 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 WMT • 1 Hour Kerzen getestet. Dieser Backtest ergab 402 Positionen, mit einer durchschnittlichen Gewinnrate von 43% und einem Risiko-Rendite-Verhältnis von 1.79. Wenn Sie annehmen, dass das 1.79 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 35.8, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 100.40% vs 142.70% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -18.30% vs -26.90% für das Asset
- Exposition: Exposition: 56.70% Zeit im Markt
- Gewinnrate: Gewinnrate: 43.0%, vs 35.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.79
Mit dieser Exposition können Sie erkennen, dass Sie bei 57% Marktzeit 70.36% des Asset-Aufwärtspotenzials und 68.03% 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 @ WMT • 1 Hour (100.4%) erklärt von Alex C, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I am not totally convinced about its robustness. Let me explain why.
The positive aspects are the good Risk/Reward ratio of 1.79 and the healthy win rate leeway of 42.64% above the minimal required win rate. This gives the strategy some mathematical room for error, which is good. Also having 402 trades over 5.7 years gives us enough statistical significance to make proper conclusions about the behaviour.
However, there are some red flags that worry me from mathematical perspective. The strategy underperforms buy & hold by about 42%, which is not optimal for such a long timeframe. The Sharpe ratio of 0.75 and especially Sortino ratio of 0.48 are below what I would consider acceptable for a robust strategy. Also the correlation of 0.7 to the underlying asset suggests this strategy might just be capturing general market movements rather than finding unique opportunities.
My recommendation would be to either optimize the parameters further or consider combining this with other indicators to create more selective entry conditions. The basic concept seems workable but needs refinement to achieve better risk-adjusted returns.
Sarah
AutorDios mío, this strategy is like a mediocre student who somehow manages to pass - but just barely!
The win rate of 43% is technically acceptable since you only need 35.8% to break even with that risk/reward ratio. But come on, it's still pretty pathetic! You're basically losing more than half your trades. The strategy underperforms buy & hold by quite a margin (100.4% vs 142.7%) - what's even the point then?
The exposure is decent at 56.7%, but those drawdowns... madre mía! An 18.3% drawdown is no joke - that's going to make most traders cry in their sleep. And those losing streaks! 10 losses in a row? That would break most people's psychology, if not their account.
Looking at the recent performance makes me want to throw up - negative returns in 1M, 3M and 6M periods. Sure, the longer timeframes look better, but who has the patience to wait years while bleeding money in the short term? The volatility metrics aren't great either - Sharpe of 0.75 is mediocre at best.
If you're determined to trade this mess, at least try to optimize those entry conditions. Right now it looks like you're just flipping a coin with extra steps. And por favor, do something about those pathetic short-term returns!
Tabellarische Metriken von Parabolic SAR flip getestet auf WMT • 1 Hour
| Gesamttrades | 402 | Nettogewinn | 100.4% | Buy & Hold Gewinn | 142.7% |
| Gewinnrate | 43% | Risiko/Rendite-Verhältnis | 1.79 | Maximaler Drawdown | -18.3% |
| Asset Maximaler Drawdown | -26.9% | Exposition | 56.7% | Durchschn. Kerzen in Position | 13.1 |
| Sharpe-Ratio | 0.75 | Sortino-Ratio | 0.48 | Realisierte Volatilität | 13.70% |
| Max. Gewinnserie | 7 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 10 |
| Durchschn. Verlustserie | 2.4 | Durchschn. Trades pro Monat | 11.6 | Durchschn. Trades pro Tag | 0.4 |
| Rendite Std Dev | 1.9 | Verlust Std Dev | 1.0 | Gewinn Std Dev | 1.8 |
| Erwartungswert | 0.2 | Beta | 0.54 |
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 |