Parabolic SAR fliplongBacktest Results @ NVDA • Daily
Equity Curve
Backtest covers 26.5 years of NVDA • Daily (NVIDIA Corporation) data, from January 22, 1999 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 26.5 years of NVDA • Daily candles. This backtest resulted in 282 positions, with the average win rate of 46% and reward-risk ratio of 2.04. If you assume that 2.04 reward-to-risk ratio holds, you need a minimum win rate of 32.9 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 14739.30% vs 417479.90% for the asset
- Max Drawdown: Max Drawdown: -76.50% vs -90.00% for the asset
- Exposure: Exposure: 58.90% time in the market
- Win Rate: Win Rate: 46.0%, vs 32.9% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.04
With that exposure in mind, you can tell that for 59% time-in-market, you get 3.53% of the asset upside potential, and 85.00% 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 @ NVDA • Daily (14739.3%) backtest results explained by Alex C
Alex C
AuthorThe strategy shows some interesting characteristics, but I am not fully convinced about its robustness. Let me explain why.
The win rate of 46% combined with a risk-reward ratio of 2.04 gives us a positive expectancy of 0.4, which is mathematically viable. The win rate leeway of 45.67% above the minimal required win rate is quite comfortable. However, the maximum drawdown of 76.5% is extremely concerning - this would be very difficult to stomach in real trading situations, even if one has perfect discipline.
The market exposure of 58.9% with average position duration of 12.9 candles suggests this is a medium-term strategy, but the trading frequency is quite low with only 1.7 trades per month. This makes me worried about the statistical significance, especially when we look at the extremely volatile performance across different timeframes. For example, the 1-year performance shows -172.8% while the 2-year shows +6660% - such extreme variations suggest the strategy might be unstable or highly dependent on specific market conditions.
I would recommend doing further testing with different parameter settings to check for robustness. Also, the fact that it significantly underperforms buy & hold (14739% vs 417479%) over the full period makes me question if this complexity is worth it compared to simpler approaches. Nevertheless, the positive expectancy and good win rate leeway suggest there might be something here worth optimizing further.
Tabular metrics of Parabolic SAR flip backtested on NVDA • Daily
| Total Trades | 282 | Net Profit | 14739.3% | Buy & Hold Profit | 417479.9% |
| Win Rate | 46% | Reward/Risk Ratio | 2.04 | Max Drawdown | -76.5% |
| Asset Max Drawdown | -90.0% | Exposure | 58.9% | Avg Candles in Position | 12.9 |
| Sharpe Ratio | 0.62 | Sortino Ratio | 1.35 | Realized Volatility | 39.21% |
| Max Winning Streak | 8 | Avg Winning Streak | 1.8 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.1 | Avg Trades per Month | 1.7 | Avg Trades per Day | 0.1 |
| Return Std Dev | 14.9 | Loss Std Dev | 6.0 | Win Std Dev | 13.7 |
| Expectancy | 0.4 | Beta | 0.49 |
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 |