Parabolic SAR fliplongBacktest Results @ EURUSD • Daily
Equity Curve
Backtest covers 9.7 years of EURUSD • Daily (Euro vs USD spot (Interactive Brokers)) data, from December 2, 2015 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 9.7 years of EURUSD • Daily candles. This backtest resulted in 108 positions, with the average win rate of 37% and reward-risk ratio of 1.69. If you assume that 1.69 reward-to-risk ratio holds, you need a minimum win rate of 37.2 to be profitable. So you're screwed! The key metrics are as follows:
- Total Return: Total Return: -1.50% vs 8.00% for the asset
- Max Drawdown: Max Drawdown: -17.80% vs -23.30% for the asset
- Exposure: Exposure: 55.40% time in the market
- Win Rate: Win Rate: 37.0%, vs 37.2% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.69
With that exposure in mind, you can tell that for 55% time-in-market, you get -18.75% of the asset upside potential, and 76.39% 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 @ EURUSD • Daily (-1.5%) backtest results explained by Mike
Mike
AuthorBruh, this strategy is giving me mixed feelings 🤔 The numbers are like a rollercoaster ride at Wendy's after-hours party!
Looking at that sweet Risk/Reward ratio of 1.69 and the massive win rate leeway (3662% above minimal, sheesh! 🚀), it's got some solid foundations. When this thing wins, it wins big - average wins are 1.48% compared to -0.88% losses. That's the kind of juice I like to see!
But here's where it gets sketch fam - that 37% win rate is barely scratching by the minimal required 37.2%, and that -17.8% max drawdown could have my manager asking for his burger spatula back 💀 Plus that 12-trade losing streak? Bruh, that's enough to make anyone's diamond hands turn to paper. The overall -1.5% net profit over 9.7 years ain't exactly lambos and yachts material either, especially when buy & hold did 8%.
I'm not saying it's completely trash, but maybe it needs some tweaking before I YOLO my next paycheck into it. Could be worth experimenting with tighter stop losses or adding some confirmation indicators to bump up that win rate. Just my two tendies worth! 🍗
Tabular metrics of Parabolic SAR flip backtested on EURUSD • Daily
| Total Trades | 108 | Net Profit | -1.5% | Buy & Hold Profit | 8.0% |
| Win Rate | 37% | Reward/Risk Ratio | 1.69 | Max Drawdown | -17.8% |
| Asset Max Drawdown | -23.3% | Exposure | 55.4% | Avg Candles in Position | 11.1 |
| Sharpe Ratio | -0.54 | Sortino Ratio | -0.44 | Realized Volatility | 5.28% |
| Max Winning Streak | 4 | Avg Winning Streak | 1.6 | Max Losing Streak | 12 |
| Avg Losing Streak | 2.6 | Avg Trades per Month | 1.8 | Avg Trades per Day | 0.1 |
| Return Std Dev | 1.5 | Loss Std Dev | 0.6 | Win Std Dev | 1.3 |
| Expectancy | -0.0 | 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 |