Parabolic SAR fliplongBacktest-Ergebnisse @ GLD • Daily
Eigenkapitalkurve
Der Backtest umfasst 20.7 years von GLD • Daily (SPDR Gold Trust) Daten, von November 18, 2004 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 20.7 years von GLD • Daily Kerzen getestet. Dieser Backtest ergab 213 Positionen, mit einer durchschnittlichen Gewinnrate von 46% und einem Risiko-Rendite-Verhältnis von 1.89. Wenn Sie annehmen, dass das 1.89 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 34.6, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 301.40% vs 585.60% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -23.70% vs -45.30% für das Asset
- Exposition: Exposition: 57.10% Zeit im Markt
- Gewinnrate: Gewinnrate: 46.0%, vs 34.6% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.89
Mit dieser Exposition können Sie erkennen, dass Sie bei 57% Marktzeit 51.47% des Asset-Aufwärtspotenzials und 52.32% 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 @ GLD • Daily (301.4%) erklärt von Alex C, Mike
Alex C
AutorThe backtest shows some interesting characteristics, but I am not completely convinced about its robustness. Let me explain why.
The strategy shows decent risk metrics with a Sharpe of 0.37 and Sortino of 0.84, which is not terrible but also not great. The win rate of 46% combined with a risk/reward ratio of 1.89 gives us positive expectancy of 0.3, which mathematically makes sense. I particularly like that the strategy needs only 34.6% win rate to break even - this gives us good safety margin of 45.65% above the minimal required win rate.
However, I see some red flags here. The strategy underperforms buy & hold significantly (301.4% vs 585.6%) while still having notable drawdown of 23.7%. The trade frequency is quite low with only 1.7 trades per month - this makes me worried about statistical significance over the 20.7 year period. Also the performance varies drastically between different timeframes - for example -12.9% CAGR in 3M but +96.2% CAGR in 6M. This high variance suggests the strategy might not be very stable. I would recommend doing more robustness testing with different parameters before risking real money.
Mike
AutorYo fam, this Parabolic SAR strategy on GLD is giving me some mixed vibes! 🤔 The 301.4% total gain over 20 years looks decent, but we're underperforming buy & hold by quite a bit. Still, that lower drawdown (-23.7% vs -45.3%) means we're sleeping better at night! 😴
The win rate at 46% might look meh at first, but check this out - our winners are almost twice as big as our losers (4.23% vs -2.23%)! That's the secret sauce right there! 🔥 And peep that win rate leeway - we're crushing the minimal required win rate by 45.65%, which means this strategy is pretty robust. The recent performance is looking juicy too, with that 57.1% gain in the last year! 📈
I'm actually kinda hyped about this one for a Wendy's warrior like me - it's not too active (just 1.7 trades per month), so I can keep flipping burgers without watching charts 24/7. Plus, that lower market exposure (57.1%) means we're not always at risk. Might throw some of my next paycheck at this! To the moon! 🚀 Just gotta be ready for those 6-trade losing streaks when they come... 💎🙌
Tabellarische Metriken von Parabolic SAR flip getestet auf GLD • Daily
| Gesamttrades | 213 | Nettogewinn | 301.4% | Buy & Hold Gewinn | 585.6% |
| Gewinnrate | 46% | Risiko/Rendite-Verhältnis | 1.89 | Maximaler Drawdown | -23.7% |
| Asset Maximaler Drawdown | -45.3% | Exposition | 57.1% | Durchschn. Kerzen in Position | 13.0 |
| Sharpe-Ratio | 0.37 | Sortino-Ratio | 0.84 | Realisierte Volatilität | 11.56% |
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 6 |
| Durchschn. Verlustserie | 2.1 | Durchschn. Trades pro Monat | 1.7 | Durchschn. Trades pro Tag | 0.1 |
| Rendite Std Dev | 4.2 | Verlust Std Dev | 1.6 | Gewinn Std Dev | 3.6 |
| Erwartungswert | 0.3 | Beta | 0.51 |
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 |