Parabolic SAR fliplongBacktest-Ergebnisse @ BTCUSDT • Daily
Eigenkapitalkurve
Der Backtest umfasst 5.8 years von BTCUSDT • Daily (Bitcoin vs Tether, Binance US) Daten, von October 8, 2019 bis July 30, 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 5.8 years von BTCUSDT • Daily Kerzen getestet. Dieser Backtest ergab 88 Positionen, mit einer durchschnittlichen Gewinnrate von 43% und einem Risiko-Rendite-Verhältnis von 2.31. Wenn Sie annehmen, dass das 2.31 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 30.2, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 88 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 379.60% vs 1339.30% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -68.00% vs -76.60% für das Asset
- Exposition: Exposition: 57.00% Zeit im Markt
- Gewinnrate: Gewinnrate: 43.0%, vs 30.2% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.31
Mit dieser Exposition können Sie erkennen, dass Sie bei 57% Marktzeit 28.34% des Asset-Aufwärtspotenzials und 88.77% des Asset-Abwärtspotenzials erhalten.
Parabolic SAR flip: Position eingehen wenn
All of the following: # India D Parabolic SAR (0.02, 0.02, 0.2, 0) < D Chart(close)
Parabolic SAR flip: Position verlassen wenn
Exits as soon as None of the entry conditions are true any more.
Parabolic SAR flip @ BTCUSDT • Daily (379.6%) erklärt von Alex C, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I have concerns about its real-world applicability. Let me explain why.
The win rate of 43% combined with a risk/reward ratio of 2.31 gives us acceptable expectancy of 0.4, which is mathematically viable. However, the maximum drawdown of 68% is extremely problematic - this would be psychologically very difficult to trade through, and most professional risk management frameworks would not allow such deep drawdowns. The market exposure of 57% suggests this is not fully utilizing available trading opportunities.
What really catches my attention is the volatility metrics. The strategy's realized volatility of 40.67% compared to asset volatility of 60.75% shows it's not doing a great job of reducing risk compared to simply holding Bitcoin. The Sharpe ratio of 0.53 is quite poor - we typically want to see values above 1.0 for a strategy to be considered efficient from a risk-adjusted returns perspective. Also the massive difference between short-term and long-term CAGR numbers rings alarm bells about consistency.
My recommendation would be to either implement additional risk management rules to reduce the drawdown or continue optimizing the entry/exit conditions. The mathematical foundation is there but the risk metrics need significant improvement before I would consider this production-ready.
Sarah
AutorMadre de Dios, this strategy is a complete disaster! Let me tell you why you should never touch this with a 10-foot pole.
First off, the strategy severely underperforms buy & hold (379.6% vs 1339.3%). That's pathetic! You're basically losing money by being too clever instead of just holding. And with a 57% loss rate? Por favor, you're losing more often than winning - that's not a strategy, that's masochism!
The max drawdown of 68% is absolutely horrifying. Have you lost your mind? This could wipe out your account! And don't even get me started on that miserable Sharpe ratio of 0.53 - it's suggesting your risk-adjusted returns are about as impressive as a wet tortilla.
The only remotely decent thing here is the Risk/Reward ratio of 2.31, but it's like putting lipstick on a cerdo - it's still a pig! You're only making 2.5 trades per month, which means you're sitting around waiting for signals that mostly lead to losses anyway. What's the point?
Mira, if you want to throw away money, there are much faster ways to do it than this strategy. Either stick to buy & hold or go back to the drawing board. This is embarassing!
Tabellarische Metriken von Parabolic SAR flip getestet auf BTCUSDT • Daily
| Gesamttrades | 88 | Nettogewinn | 379.6% | Buy & Hold Gewinn | 1339.3% |
| Gewinnrate | 43% | Risiko/Rendite-Verhältnis | 2.31 | Maximaler Drawdown | -68.0% |
| Asset Maximaler Drawdown | -76.6% | Exposition | 57.0% | Durchschn. Kerzen in Position | 12.7 |
| Sharpe-Ratio | 0.53 | Sortino-Ratio | 1.03 | Realisierte Volatilität | 40.67% |
| Max. Gewinnserie | 4 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 5 |
| Durchschn. Verlustserie | 2.3 | Durchschn. Trades pro Monat | 2.5 | Durchschn. Trades pro Tag | 0.1 |
| Rendite Std Dev | 13.8 | Verlust Std Dev | 3.3 | Gewinn Std Dev | 14.1 |
| Erwartungswert | 0.4 | Beta | 0.44 |
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 |