Parabolic SAR fliplongBacktest Results @ SPY • 10 Minutes
Equity Curve
Backtest covers 12.5 months of SPY • 10 Minutes (SPDR S&P 500) 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 SPY • 10 Minutes candles. This backtest resulted in 437 positions, with the average win rate of 44% and reward-risk ratio of 1.42. If you assume that 1.42 reward-to-risk ratio holds, you need a minimum win rate of 41.3 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 7.90% vs 14.10% for the asset
- Max Drawdown: Max Drawdown: -16.10% vs -20.70% for the asset
- Exposure: Exposure: 58.90% time in the market
- Win Rate: Win Rate: 44.0%, vs 41.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.42
With that exposure in mind, you can tell that for 59% time-in-market, you get 56.03% of the asset upside potential, and 77.78% 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 @ SPY • 10 Minutes (7.9%) backtest results explained by Mike
Mike
AuthorYo fam, this Parabolic SAR strategy is looking kinda interesting! 🤔 Not gonna lie, that 7.9% profit isn't gonna get us a Lambo right away, especially when SPY itself did 14.1%, but there's some pretty sweet stuff under the hood.
The risk metrics are actually pretty solid - that 1.42 Risk/Reward ratio is lit 🔥, and we're running with way less drawdown than SPY (-16.1% vs -20.7%). Plus, that win rate leeway is absolutely massive at 43.59%, meaning this strategy has some serious breathing room! The Sharpe and Sortino ratios being above 1 tells me we're not just YOLOing our Wendy's checks away.
What really gets me hyped is the consistency - we're getting about 2.3 trades per day with decent exposure time, and those winning streaks can hit 7 in a row! Sure, the losing streaks can stretch to 12, but hey, that's part of the game. With that solid expectancy of 0.1 and beta of 0.51, this could be a decent way to play SPY with less risk than just holding. Not financial advice tho, just a dude who loves his tendies! 🍗💎🙌
Tabular metrics of Parabolic SAR flip backtested on SPY • 10 Minutes
| Total Trades | 437 | Net Profit | 7.9% | Buy & Hold Profit | 14.1% |
| Win Rate | 44% | Reward/Risk Ratio | 1.42 | Max Drawdown | -16.1% |
| Asset Max Drawdown | -20.7% | Exposure | 58.9% | Avg Candles in Position | 12.5 |
| Sharpe Ratio | 1.11 | Sortino Ratio | 1.42 | Realized Volatility | 12.87% |
| Max Winning Streak | 7 | Avg Winning Streak | 2.0 | Max Losing Streak | 12 |
| Avg Losing Streak | 2.5 | Avg Trades per Month | 70.1 | Avg Trades per Day | 2.3 |
| Return Std Dev | 0.6 | Loss Std Dev | 0.4 | Win Std Dev | 0.6 |
| Expectancy | 0.1 | 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 |