Parabolic SAR fliplongBacktest Results @ GLD • 10 Minutes
Equity Curve
Backtest covers 12.5 months of GLD • 10 Minutes (SPDR Gold Trust) data, from July 22, 2024 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 12.5 months of GLD • 10 Minutes candles. This backtest resulted in 339 positions, with the average win rate of 46% and reward-risk ratio of 1.56. If you assume that 1.56 reward-to-risk ratio holds, you need a minimum win rate of 39.1 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 22.10% vs 37.40% for the asset
- Max Drawdown: Max Drawdown: -8.40% vs -8.30% for the asset
- Exposure: Exposure: 57.10% time in the market
- Win Rate: Win Rate: 46.0%, vs 39.1% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.56
With that exposure in mind, you can tell that for 57% time-in-market, you get 59.09% of the asset upside potential, and 101.20% of the asset downside potential.
Parabolic SAR flip: enter a position when
All of the following: # India 10min Parabolic SAR (0.02, 0.02, 0.2, 0) < 10min 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 @ GLD • 10 Minutes (22.1%) backtest results explained by Mike
Mike
AuthorYo fam, this Parabolic SAR strategy on GLD is looking pretty decent! 🚀 Not gonna lie, the 22.1% net profit isn't crushing the buy & hold (37.4%), but there's some juicy stuff under the hood.
The risk metrics are what's getting me hyped here! That 1.56 risk/reward ratio is sweet, and we're running with a 46% win rate when we only need 39.1% to break even - that's a fat cushion right there! 💪 The max drawdown of -8.4% is totally manageable, especially for us Wendy's warriors who are used to seeing way scarier numbers in our portfolios lol.
The thing I'm really digging is the consistency - we're getting like 1.8 trades per day on average, so plenty of action without being too crazy. Plus that Sharpe ratio of 1.38 shows we're not just YOLOing here. Only thing that makes me a bit nervous is that 11-trade losing streak, but hey, that's what stop losses are for, right? If you're playing this with proper position sizing, this could be a solid addition to the portfolio! 🎯 Not financial advice though, just what I'd do with my tendies! 🍗
Tabular metrics of Parabolic SAR flip backtested on GLD • 10 Minutes
| Total Trades | 339 | Net Profit | 22.1% | Buy & Hold Profit | 37.4% |
| Win Rate | 46% | Reward/Risk Ratio | 1.56 | Max Drawdown | -8.4% |
| Asset Max Drawdown | -8.3% | Exposure | 57.1% | Avg Candles in Position | 15.8 |
| Sharpe Ratio | 1.38 | Sortino Ratio | 1.06 | Realized Volatility | 11.46% |
| Max Winning Streak | 7 | Avg Winning Streak | 1.9 | Max Losing Streak | 11 |
| Avg Losing Streak | 2.2 | Avg Trades per Month | 54.4 | Avg Trades per Day | 1.8 |
| Return Std Dev | 0.7 | Loss Std Dev | 0.4 | Win Std Dev | 0.6 |
| Expectancy | 0.2 | Beta | 0.51 |
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 |