Parabolic SAR fliplongBacktest Results @ WMT • 10 Minutes
Equity Curve
Backtest covers 12.5 months of WMT • 10 Minutes (Walmart Inc.) 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 WMT • 10 Minutes candles. This backtest resulted in 424 positions, with the average win rate of 45% and reward-risk ratio of 1.68. If you assume that 1.68 reward-to-risk ratio holds, you need a minimum win rate of 37.3 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 37.00% vs 38.70% for the asset
- Max Drawdown: Max Drawdown: -12.40% vs -23.80% for the asset
- Exposure: Exposure: 58.10% time in the market
- Win Rate: Win Rate: 45.0%, vs 37.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.68
With that exposure in mind, you can tell that for 58% time-in-market, you get 95.61% of the asset upside potential, and 52.10% 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 @ WMT • 10 Minutes (37.0%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe backtest results look quite solid from mathematical perspective. The strategy shows good statistical robustness with 424 trades over 12.5 months - this gives us enough sample size to make meaningful conclusions.
The win rate of 45% combined with risk/reward ratio of 1.68 creates positive expectancy of 0.2, which is mathematicaly viable. What I find particularly compelling is the win rate leeway of 44.63% above the minimal required win rate - this provides significant buffer against strategy deterioration. The Sharpe ratio of 2.82 and Sortino of 2.62 indicate good risk-adjusted returns, especially considering the moderate market exposure of 58.1%.
However, I notice some potential concerns. The strategy slightly underperforms buy & hold (37% vs 38.7%), which suggests it might not be optimal in strong uptrends. Also the maximum drawdown of 12.4% could be problematic depending on ones risk tolerance. But the beta of 0.42 shows good downside protection compared to holding the asset directly. The average trade duration of 12.7 candles seems reasonable for a medium-term strategy.
Sarah
AuthorMadre mia, this strategy is like putting lipstick on a pig! The net profit is actually LOWER than buy & hold - what a joke! 37% vs 38.7%? You're literally better off sleeping through the year than trading this nonsense.
Look at those pathetic numbers - 45% win rate with a 1.68 risk/reward? Si, matematically it works because you need only 37.3% wins to break even, but why would anyone want to lose more than half their trades? It's like choosing to get punched in the face 55% of the time! The market exposure of 58.1% shows you're missing almost half the moves too.
The only decent thing here are the Sharpe and Sortino ratios above 2.5, pero even a broken clock is right twice per day. With 424 trades generating barely any alpha, you're just giving money to your broker! And that 12.4% drawdown? Dios mio, that's painful for such mediocre returns.
My brutal honest opinion? This strategy is pure basura. Either hold the stock or find something that actually beats the market instead of this overengineered mess that makes less money with more work. You're basically paying to get worse results than a simple buy and hold!
Tabular metrics of Parabolic SAR flip backtested on WMT • 10 Minutes
| Total Trades | 424 | Net Profit | 37.0% | Buy & Hold Profit | 38.7% |
| Win Rate | 45% | Reward/Risk Ratio | 1.68 | Max Drawdown | -12.4% |
| Asset Max Drawdown | -23.8% | Exposure | 58.1% | Avg Candles in Position | 12.7 |
| Sharpe Ratio | 2.82 | Sortino Ratio | 2.62 | Realized Volatility | 14.65% |
| Max Winning Streak | 10 | Avg Winning Streak | 1.8 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.1 | Avg Trades per Month | 68.0 | Avg Trades per Day | 2.3 |
| Return Std Dev | 0.8 | Loss Std Dev | 0.4 | Win Std Dev | 0.7 |
| Expectancy | 0.2 | Beta | 0.42 |
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 |