Parabolic SAR fliplongBacktest Results @ BTCUSDT • Daily
Equity Curve
Backtest covers 5.8 years of BTCUSDT • Daily (Bitcoin vs Tether, Binance US) data, from October 8, 2019 to July 30, 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 5.8 years of BTCUSDT • Daily candles. This backtest resulted in 88 positions, with the average win rate of 43% and reward-risk ratio of 2.31. If you assume that 2.31 reward-to-risk ratio holds, you need a minimum win rate of 30.2 to be profitable. So you're looking good so far. However, 88 positions is a small sample size, so take the results with a huge grain of salt. The key metrics are as follows:
- Total Return: Total Return: 379.60% vs 1339.30% for the asset
- Max Drawdown: Max Drawdown: -68.00% vs -76.60% for the asset
- Exposure: Exposure: 57.00% time in the market
- Win Rate: Win Rate: 43.0%, vs 30.2% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.31
With that exposure in mind, you can tell that for 57% time-in-market, you get 28.34% of the asset upside potential, and 88.77% of the asset downside potential.
Parabolic SAR flip: enter a position when
All of the following: # India D Parabolic SAR (0.02, 0.02, 0.2, 0) < D 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 @ BTCUSDT • Daily (379.6%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe strategy shows some interesting characteristics, but I have concerns about its real-world applicability. Let me explain why.
The win rate of 43% combined with a risk/reward ratio of 2.31 gives us acceptable expectancy of 0.4, which is mathematically viable. However, the maximum drawdown of 68% is extremely problematic - this would be psychologically very difficult to trade through, and most professional risk management frameworks would not allow such deep drawdowns. The market exposure of 57% suggests this is not fully utilizing available trading opportunities.
What really catches my attention is the volatility metrics. The strategy's realized volatility of 40.67% compared to asset volatility of 60.75% shows it's not doing a great job of reducing risk compared to simply holding Bitcoin. The Sharpe ratio of 0.53 is quite poor - we typically want to see values above 1.0 for a strategy to be considered efficient from a risk-adjusted returns perspective. Also the massive difference between short-term and long-term CAGR numbers rings alarm bells about consistency.
My recommendation would be to either implement additional risk management rules to reduce the drawdown or continue optimizing the entry/exit conditions. The mathematical foundation is there but the risk metrics need significant improvement before I would consider this production-ready.
Sarah
AuthorMadre de Dios, this strategy is a complete disaster! Let me tell you why you should never touch this with a 10-foot pole.
First off, the strategy severely underperforms buy & hold (379.6% vs 1339.3%). That's pathetic! You're basically losing money by being too clever instead of just holding. And with a 57% loss rate? Por favor, you're losing more often than winning - that's not a strategy, that's masochism!
The max drawdown of 68% is absolutely horrifying. Have you lost your mind? This could wipe out your account! And don't even get me started on that miserable Sharpe ratio of 0.53 - it's suggesting your risk-adjusted returns are about as impressive as a wet tortilla.
The only remotely decent thing here is the Risk/Reward ratio of 2.31, but it's like putting lipstick on a cerdo - it's still a pig! You're only making 2.5 trades per month, which means you're sitting around waiting for signals that mostly lead to losses anyway. What's the point?
Mira, if you want to throw away money, there are much faster ways to do it than this strategy. Either stick to buy & hold or go back to the drawing board. This is embarassing!
Tabular metrics of Parabolic SAR flip backtested on BTCUSDT • Daily
| Total Trades | 88 | Net Profit | 379.6% | Buy & Hold Profit | 1339.3% |
| Win Rate | 43% | Reward/Risk Ratio | 2.31 | Max Drawdown | -68.0% |
| Asset Max Drawdown | -76.6% | Exposure | 57.0% | Avg Candles in Position | 12.7 |
| Sharpe Ratio | 0.53 | Sortino Ratio | 1.03 | Realized Volatility | 40.67% |
| Max Winning Streak | 4 | Avg Winning Streak | 1.7 | Max Losing Streak | 5 |
| Avg Losing Streak | 2.3 | Avg Trades per Month | 2.5 | Avg Trades per Day | 0.1 |
| Return Std Dev | 13.8 | Loss Std Dev | 3.3 | Win Std Dev | 14.1 |
| Expectancy | 0.4 | Beta | 0.44 |
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 |