Parabolic SAR fliplongBacktest Results @ GLD • 1 Hour
Equity Curve
Backtest covers 5.7 years of GLD • 1 Hour (SPDR Gold Trust) data, from November 14, 2019 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 5.7 years of GLD • 1 Hour candles. This backtest resulted in 335 positions, with the average win rate of 43% and reward-risk ratio of 1.78. If you assume that 1.78 reward-to-risk ratio holds, you need a minimum win rate of 36.0 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 61.40% vs 118.50% for the asset
- Max Drawdown: Max Drawdown: -21.70% vs -22.20% for the asset
- Exposure: Exposure: 55.20% time in the market
- Win Rate: Win Rate: 43.0%, vs 36.0% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.78
With that exposure in mind, you can tell that for 55% time-in-market, you get 51.81% of the asset upside potential, and 97.75% of the asset downside potential.
Parabolic SAR flip: enter a position when
All of the following: # India 60min Parabolic SAR (0.02, 0.02, 0.2, 0) < 60min 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 • 1 Hour (61.4%) backtest results explained by Mike
Mike
AuthorYo fam, this Parabolic SAR strategy on GLD is giving me some mixed vibes! 🤔
The good news first - we're looking at a solid 61.4% profit over 5.7 years, and that Risk/Reward ratio of 1.78 is pretty sweet! Plus, that win rate leeway is thicc AF at 42.64% above what we need - means the strategy has some serious breathing room. Love to see that the max drawdown (-21.7%) is actually better than the asset's drawdown (-22.2%) too! 💪
But here's where it gets a bit sus - the win rate is only 43% and we're underperforming buy & hold by quite a bit (61.4% vs 118.5%). Those losing streaks can go up to 8 trades, which might make some paper hands shake! The Sharpe and Sortino ratios are also kinda meh, telling us the risk-adjusted returns aren't exactly crushing it. 📉
Overall, I'd say this strategy could work if you're cool with more frequent trading (about 10 trades per month) and can handle those losing streaks emotionally. It's not gonna make us Lambo-rich overnight, but it's definitely not garbage either. Might be worth paper trading first before yoloing the Wendy's paycheck! 🚀
Tabular metrics of Parabolic SAR flip backtested on GLD • 1 Hour
| Total Trades | 335 | Net Profit | 61.4% | Buy & Hold Profit | 118.5% |
| Win Rate | 43% | Reward/Risk Ratio | 1.78 | Max Drawdown | -21.7% |
| Asset Max Drawdown | -22.2% | Exposure | 55.2% | Avg Candles in Position | 15.5 |
| Sharpe Ratio | 0.40 | Sortino Ratio | 0.15 | Realized Volatility | 10.87% |
| Max Winning Streak | 7 | Avg Winning Streak | 1.8 | Max Losing Streak | 8 |
| Avg Losing Streak | 2.3 | Avg Trades per Month | 9.6 | Avg Trades per Day | 0.3 |
| Return Std Dev | 1.5 | Loss Std Dev | 0.6 | Win Std Dev | 1.3 |
| Expectancy | 0.2 | Beta | 0.53 |
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 |