Parabolic SAR fliplongBacktest Results @ SPY • 1 Minute
Equity Curve
Backtest covers 37 days of SPY • 1 Minute (SPDR S&P 500) data, from June 24, 2025 to July 31, 2025.
Equity curve is the strategy's performance over time. You should compare it to the asset's Buy & Hold performance. In general, you want the blue area to be well above the gray area.
Drawdown is how much losses (realized or unrealized) the strategy has had if compared to the highest equity peak. Compare this to the asset's drawdown to see whether your strategy does a decent job of isolating you from downside volatility. In general, the red area must be well within the gray area.
So, we have backtested Parabolic SAR flip on 37 days of SPY • 1 Minute candles. This backtest resulted in 445 positions, with the average win rate of 41% and reward-risk ratio of 1.63. If you assume that 1.63 reward-to-risk ratio holds, you need a minimum win rate of 38.0 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 1.40% vs 4.00% for the asset
- Max Drawdown: Max Drawdown: -2.00% vs -1.50% for the asset
- Exposure: Exposure: 57.50% time in the market
- Win Rate: Win Rate: 41.0%, vs 38.0% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.63
With that exposure in mind, you can tell that for 58% time-in-market, you get 35.00% of the asset upside potential, and 133.33% of the asset downside potential.
Parabolic SAR flip: enter a position when
All of the following: # India 1min Parabolic SAR (0.02, 0.02, 0.2, 0) < 1min Chart(close)
Parabolic SAR flip: exit a position when
Exits as soon as None of the entry conditions are true any more.
Parabolic SAR flip @ SPY • 1 Minute (1.4%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe backtest shows some interesting patterns, but I am not completely convinced about its reliability. The high trade frequency of 24 trades per day means we have good statistical significance with 445 trades total, but the performance is not impressive compared to buy and hold.
What catches my attention is the positive expectancy of 0.1 and the good win rate leeway of 40%. This means the strategy has some edge, even though the win rate of 41% seems low at first look. The risk/reward ratio of 1.63 compensates for the lower win rate - this is mathematicaly sound. However, the maximum drawdown of 2% against only 1.4% total profit is not optimal. It shows the strategy needs to work very hard to make small gains.
I would suggest to optimize the Parabolic SAR parameters more carefully. The current settings (0.02, 0.02, 0.2) seem to produce too many signals. Maybe increasing the acceleration factor could help to reduce noise. Also, the market exposure of 57.5% indicates the strategy might miss some trending moves. But overall, the mathematics behind it are not completely wrong, just not optimal yet.
Sarah
AuthorMadre mía, this strategy is a complete disaster! The win rate is pathetically low at 41% - you might as well flip a coin, it would probably work better! And look at that net profit of 1.4% compared to buy & hold at 4%. You're literally losing money to the market while taking on more risk!
The amount of trades is absolutely ridiculous - 24 trades per day? Are you trying to make your broker rich with commissions? This is typical amateur hour nonsense. The maximum drawdown of 2% might look acceptable, but with such frequent trading, you're just slowly bleeding money.
Let's be honest here - the only slightly positive thing is the Risk/Reward ratio of 1.63, but what good is that when you're losing on 59% of trades? And that 10-trade losing streak? Dios mío, that would destroy most traders psychologically. The strategy is clearly overfit and would probably fall apart completely in real market conditions.
My professional advice? Delete this strategy and start over. And next time, try to create something that doesn't look like it was designed by a monkey throwing darts at a chart.
Tabular metrics of Parabolic SAR flip backtested on SPY • 1 Minute
| Total Trades | 445 | Net Profit | 1.4% | Buy & Hold Profit | 4.0% |
| Win Rate | 41% | Reward/Risk Ratio | 1.63 | Max Drawdown | -2.0% |
| Asset Max Drawdown | -1.5% | Exposure | 57.5% | Avg Candles in Position | 11.9 |
| Sharpe Ratio | Sortino Ratio | Realized Volatility | — | ||
| Max Winning Streak | 5 | Avg Winning Streak | 1.7 | Max Losing Streak | 10 |
| Avg Losing Streak | 2.4 | Avg Trades per Month | 721.6 | Avg Trades per Day | 24.1 |
| Return Std Dev | 0.1 | Loss Std Dev | 0.0 | Win Std Dev | 0.1 |
| Expectancy | 0.1 | Beta | 0.56 |
All backtests for Parabolic SAR flip
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
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 |