Parabolic SAR fliplongBacktest-Ergebnisse @ WMT • Daily
Eigenkapitalkurve
Der Backtest umfasst 38.8 years von WMT • Daily (Walmart Inc.) Daten, von October 20, 1986 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 38.8 years von WMT • Daily Kerzen getestet. Dieser Backtest ergab 426 Positionen, mit einer durchschnittlichen Gewinnrate von 45% und einem Risiko-Rendite-Verhältnis von 1.63. Wenn Sie annehmen, dass das 1.63 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 38.0, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 476.70% vs 10620.70% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -60.70% vs -50.60% für das Asset
- Exposition: Exposition: 59.00% Zeit im Markt
- Gewinnrate: Gewinnrate: 45.0%, vs 38.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.63
Mit dieser Exposition können Sie erkennen, dass Sie bei 59% Marktzeit 4.49% des Asset-Aufwärtspotenzials und 119.96% 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 @ WMT • Daily (476.7%) erklärt von Alex C, Sarah
Alex C
AutorThe numbers show some interesting patterns here. The strategy has a decent win rate leeway of 44.62% above the minimal required win rate, which is mathematically significant. However, I notice some concerning issues with the risk metrics.
The Sharpe ratio of 0.16 is quite poor - we typically want to see at least 1.0 for a strategy to be considered mathematically sound. The maximum drawdown of -60.7% is also problematic, as it exceeds even the asset's own drawdown of -50.6%. This suggests the strategy is actually amplifying risk rather than managing it effectively.
What really catches my attention is that despite having 426 trades over nearly 39 years (which is statistically significant sample size), the strategy significantly underperforms buy & hold (476.7% vs 10620.7%). The market exposure of 59% suggests this is meant to be a trend-following system, but the Beta of 0.49 indicates it's not capturing the upside moves effectively. I would classify this as a sub-optimal implementation of the Parabolic SAR concept.
Sarah
AutorMadre mía, this strategy is absolute garbage! A net profit of 476.7% over 38 years when buy & hold did 10,620%? That's pathetic! You would have made 22 times more money by simply buying and holding.
The win rate is terrible - only 45%! Even though you have a decent risk/reward ratio of 1.63, your maximum drawdown is -60.7%, which is worse than the asset's drawdown of -50.6%. This means your strategy is actually adding more risk than just holding the asset! And that Sharpe ratio of 0.16? Mi dios, that's embarrasingly bad.
The most alarming thing is that you're only right 45% of the time with a strategy that needs to be right 38% of the time to break even. That's cutting it way too close for comfort. Yes, technically you have "leeway" but it's like trying to cross a highway blindfolded - just because you can doesn't mean you should!
Look, if you want to lose money slower than throwing it directly into trash, maybe this strategy works for you. But with only 1.8 trades per month, horrible risk-adjusted returns, and massive underperformance versus buy & hold, you should seriously reconsider your life choices if you think this is worth trading.
Tabellarische Metriken von Parabolic SAR flip getestet auf WMT • Daily
| Gesamttrades | 426 | Nettogewinn | 476.7% | Buy & Hold Gewinn | 10620.7% |
| Gewinnrate | 45% | Risiko/Rendite-Verhältnis | 1.63 | Maximaler Drawdown | -60.7% |
| Asset Maximaler Drawdown | -50.6% | Exposition | 59.0% | Durchschn. Kerzen in Position | 12.5 |
| Sharpe-Ratio | 0.16 | Sortino-Ratio | 0.54 | Realisierte Volatilität | 17.10% |
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.9 | Max. Verlustserie | 11 |
| Durchschn. Verlustserie | 2.3 | Durchschn. Trades pro Monat | 1.8 | Durchschn. Trades pro Tag | 0.1 |
| Rendite Std Dev | 5.1 | Verlust Std Dev | 2.4 | Gewinn Std Dev | 4.5 |
| Erwartungswert | 0.2 | 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 |