Parabolic SAR fliplongBacktest-Ergebnisse @ NVDA • Daily
Eigenkapitalkurve
Der Backtest umfasst 26.5 years von NVDA • Daily (NVIDIA Corporation) Daten, von January 22, 1999 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 26.5 years von NVDA • Daily Kerzen getestet. Dieser Backtest ergab 282 Positionen, mit einer durchschnittlichen Gewinnrate von 46% und einem Risiko-Rendite-Verhältnis von 2.04. Wenn Sie annehmen, dass das 2.04 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 32.9, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 14739.30% vs 417479.90% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -76.50% vs -90.00% für das Asset
- Exposition: Exposition: 58.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 46.0%, vs 32.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.04
Mit dieser Exposition können Sie erkennen, dass Sie bei 59% Marktzeit 3.53% des Asset-Aufwärtspotenzials und 85.00% 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 @ NVDA • Daily (14739.3%) erklärt von Alex C
Alex C
AutorThe strategy shows some interesting characteristics, but I am not fully convinced about its robustness. Let me explain why.
The win rate of 46% combined with a risk-reward ratio of 2.04 gives us a positive expectancy of 0.4, which is mathematically viable. The win rate leeway of 45.67% above the minimal required win rate is quite comfortable. However, the maximum drawdown of 76.5% is extremely concerning - this would be very difficult to stomach in real trading situations, even if one has perfect discipline.
The market exposure of 58.9% with average position duration of 12.9 candles suggests this is a medium-term strategy, but the trading frequency is quite low with only 1.7 trades per month. This makes me worried about the statistical significance, especially when we look at the extremely volatile performance across different timeframes. For example, the 1-year performance shows -172.8% while the 2-year shows +6660% - such extreme variations suggest the strategy might be unstable or highly dependent on specific market conditions.
I would recommend doing further testing with different parameter settings to check for robustness. Also, the fact that it significantly underperforms buy & hold (14739% vs 417479%) over the full period makes me question if this complexity is worth it compared to simpler approaches. Nevertheless, the positive expectancy and good win rate leeway suggest there might be something here worth optimizing further.
Tabellarische Metriken von Parabolic SAR flip getestet auf NVDA • Daily
| Gesamttrades | 282 | Nettogewinn | 14739.3% | Buy & Hold Gewinn | 417479.9% |
| Gewinnrate | 46% | Risiko/Rendite-Verhältnis | 2.04 | Maximaler Drawdown | -76.5% |
| Asset Maximaler Drawdown | -90.0% | Exposition | 58.9% | Durchschn. Kerzen in Position | 12.9 |
| Sharpe-Ratio | 0.62 | Sortino-Ratio | 1.35 | Realisierte Volatilität | 39.21% |
| Max. Gewinnserie | 8 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.1 | Durchschn. Trades pro Monat | 1.7 | Durchschn. Trades pro Tag | 0.1 |
| Rendite Std Dev | 14.9 | Verlust Std Dev | 6.0 | Gewinn Std Dev | 13.7 |
| Erwartungswert | 0.4 | 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 |