Parabolic SAR fliplongBacktest Results @ GLD • Daily
Equity Curve
Backtest covers 20.7 years of GLD • Daily (SPDR Gold Trust) data, from November 18, 2004 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 20.7 years of GLD • Daily candles. This backtest resulted in 213 positions, with the average win rate of 46% and reward-risk ratio of 1.89. If you assume that 1.89 reward-to-risk ratio holds, you need a minimum win rate of 34.6 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 301.40% vs 585.60% for the asset
- Max Drawdown: Max Drawdown: -23.70% vs -45.30% for the asset
- Exposure: Exposure: 57.10% time in the market
- Win Rate: Win Rate: 46.0%, vs 34.6% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.89
With that exposure in mind, you can tell that for 57% time-in-market, you get 51.47% of the asset upside potential, and 52.32% 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 @ GLD • Daily (301.4%) backtest results explained by Alex C, Mike
Alex C
AuthorThe backtest shows some interesting characteristics, but I am not completely convinced about its robustness. Let me explain why.
The strategy shows decent risk metrics with a Sharpe of 0.37 and Sortino of 0.84, which is not terrible but also not great. The win rate of 46% combined with a risk/reward ratio of 1.89 gives us positive expectancy of 0.3, which mathematically makes sense. I particularly like that the strategy needs only 34.6% win rate to break even - this gives us good safety margin of 45.65% above the minimal required win rate.
However, I see some red flags here. The strategy underperforms buy & hold significantly (301.4% vs 585.6%) while still having notable drawdown of 23.7%. The trade frequency is quite low with only 1.7 trades per month - this makes me worried about statistical significance over the 20.7 year period. Also the performance varies drastically between different timeframes - for example -12.9% CAGR in 3M but +96.2% CAGR in 6M. This high variance suggests the strategy might not be very stable. I would recommend doing more robustness testing with different parameters before risking real money.
Mike
AuthorYo fam, this Parabolic SAR strategy on GLD is giving me some mixed vibes! 🤔 The 301.4% total gain over 20 years looks decent, but we're underperforming buy & hold by quite a bit. Still, that lower drawdown (-23.7% vs -45.3%) means we're sleeping better at night! 😴
The win rate at 46% might look meh at first, but check this out - our winners are almost twice as big as our losers (4.23% vs -2.23%)! That's the secret sauce right there! 🔥 And peep that win rate leeway - we're crushing the minimal required win rate by 45.65%, which means this strategy is pretty robust. The recent performance is looking juicy too, with that 57.1% gain in the last year! 📈
I'm actually kinda hyped about this one for a Wendy's warrior like me - it's not too active (just 1.7 trades per month), so I can keep flipping burgers without watching charts 24/7. Plus, that lower market exposure (57.1%) means we're not always at risk. Might throw some of my next paycheck at this! To the moon! 🚀 Just gotta be ready for those 6-trade losing streaks when they come... 💎🙌
Tabular metrics of Parabolic SAR flip backtested on GLD • Daily
| Total Trades | 213 | Net Profit | 301.4% | Buy & Hold Profit | 585.6% |
| Win Rate | 46% | Reward/Risk Ratio | 1.89 | Max Drawdown | -23.7% |
| Asset Max Drawdown | -45.3% | Exposure | 57.1% | Avg Candles in Position | 13.0 |
| Sharpe Ratio | 0.37 | Sortino Ratio | 0.84 | Realized Volatility | 11.56% |
| Max Winning Streak | 6 | Avg Winning Streak | 1.8 | Max Losing Streak | 6 |
| Avg Losing Streak | 2.1 | Avg Trades per Month | 1.7 | Avg Trades per Day | 0.1 |
| Return Std Dev | 4.2 | Loss Std Dev | 1.6 | Win Std Dev | 3.6 |
| Expectancy | 0.3 | 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 |