Parabolic SAR fliplongBacktest Results @ WMT • 1 Hour
Equity Curve
Backtest covers 5.7 years of WMT • 1 Hour (Walmart Inc.) 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 WMT • 1 Hour candles. This backtest resulted in 402 positions, with the average win rate of 43% and reward-risk ratio of 1.79. If you assume that 1.79 reward-to-risk ratio holds, you need a minimum win rate of 35.8 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 100.40% vs 142.70% for the asset
- Max Drawdown: Max Drawdown: -18.30% vs -26.90% for the asset
- Exposure: Exposure: 56.70% time in the market
- Win Rate: Win Rate: 43.0%, vs 35.8% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.79
With that exposure in mind, you can tell that for 57% time-in-market, you get 70.36% of the asset upside potential, and 68.03% 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 @ WMT • 1 Hour (100.4%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe strategy shows some interesting characteristics, but I am not totally convinced about its robustness. Let me explain why.
The positive aspects are the good Risk/Reward ratio of 1.79 and the healthy win rate leeway of 42.64% above the minimal required win rate. This gives the strategy some mathematical room for error, which is good. Also having 402 trades over 5.7 years gives us enough statistical significance to make proper conclusions about the behaviour.
However, there are some red flags that worry me from mathematical perspective. The strategy underperforms buy & hold by about 42%, which is not optimal for such a long timeframe. The Sharpe ratio of 0.75 and especially Sortino ratio of 0.48 are below what I would consider acceptable for a robust strategy. Also the correlation of 0.7 to the underlying asset suggests this strategy might just be capturing general market movements rather than finding unique opportunities.
My recommendation would be to either optimize the parameters further or consider combining this with other indicators to create more selective entry conditions. The basic concept seems workable but needs refinement to achieve better risk-adjusted returns.
Sarah
AuthorDios mío, this strategy is like a mediocre student who somehow manages to pass - but just barely!
The win rate of 43% is technically acceptable since you only need 35.8% to break even with that risk/reward ratio. But come on, it's still pretty pathetic! You're basically losing more than half your trades. The strategy underperforms buy & hold by quite a margin (100.4% vs 142.7%) - what's even the point then?
The exposure is decent at 56.7%, but those drawdowns... madre mía! An 18.3% drawdown is no joke - that's going to make most traders cry in their sleep. And those losing streaks! 10 losses in a row? That would break most people's psychology, if not their account.
Looking at the recent performance makes me want to throw up - negative returns in 1M, 3M and 6M periods. Sure, the longer timeframes look better, but who has the patience to wait years while bleeding money in the short term? The volatility metrics aren't great either - Sharpe of 0.75 is mediocre at best.
If you're determined to trade this mess, at least try to optimize those entry conditions. Right now it looks like you're just flipping a coin with extra steps. And por favor, do something about those pathetic short-term returns!
Tabular metrics of Parabolic SAR flip backtested on WMT • 1 Hour
| Total Trades | 402 | Net Profit | 100.4% | Buy & Hold Profit | 142.7% |
| Win Rate | 43% | Reward/Risk Ratio | 1.79 | Max Drawdown | -18.3% |
| Asset Max Drawdown | -26.9% | Exposure | 56.7% | Avg Candles in Position | 13.1 |
| Sharpe Ratio | 0.75 | Sortino Ratio | 0.48 | Realized Volatility | 13.70% |
| Max Winning Streak | 7 | Avg Winning Streak | 1.8 | Max Losing Streak | 10 |
| Avg Losing Streak | 2.4 | Avg Trades per Month | 11.6 | Avg Trades per Day | 0.4 |
| Return Std Dev | 1.9 | Loss Std Dev | 1.0 | Win Std Dev | 1.8 |
| Expectancy | 0.2 | Beta | 0.54 |
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 |