Parabolic SAR fliplong

Backtest Results @ SPY • Daily

The strategy shows some interesting statistical properties, but I am not completely convinced it is ready for real trading yet. Let me explain why.

The good parts first: The Risk/Reward ratio of 1.39 combined with the 47% win rate gives us a positive expectancy of 0.1, which is mathematically viable. The win rate leeway of 46.58% above the minimal required win rate is quite healthy and provides good statistical buffer. Also worth noting is that the strategy achieves this with relatively low market exposure of 64.6%, which could be interpreted as risk-reducing.

However, there are serious concerns: The total return of 117.1% over 32.5 years is significantly below the buy & hold return of 1354.3%. This is problematic since we want to beat the market, not underperform it massively. The Sharpe ratio of 0.16 is extremely low - anything below 1.0 is considered poor, and we want to see atleast 1.5 for a robust strategy. The maximum drawdown of -48.3% is also quite high and could be difficult to stomach in real trading situations.

I would suggest to either modify the strategy parameters to improve the risk-adjusted returns, or consider developing a completely new approach. The mathematical foundation is there, but the real-world application needs significant optimization.

Yo fam, let me break down this Parabolic SAR strategy on SPY! 🚀

This backtest is giving me mixed vibes tbh. The win rate is sitting at 47% with a solid 1.39 risk/reward ratio - that's actually not bad at all! What's really juicy is that win rate leeway of 46.58%, meaning we've got plenty of cushion above the minimum needed win rate. That's some serious safety margin right there! 💪

But here's where it gets a bit sus - the overall net profit is 117% over 32.5 years, while buy & hold crushed it with 1354%. The max drawdown of -48.3% is pretty scary too ngl. The market exposure at 64.6% means we're sitting out quite a bit of the action, which might explain why we're lagging behind buy & hold so much. The recent performance looks better though - that 21.1% in 3 months is kinda fire! 📈

Overall, I'd say this strategy could be decent for swing trading if you're cool with the slower pace (only 2 trades per month on average). It's not gonna make us Lambo money, but it's got some solid risk management features. Might be worth experimenting with adding some extra confirmation signals to boost that win rate a bit higher. Just my two cents from behind the Wendy's counter! 🍔

Madre mía, this strategy is a complete disaster! You would have been better off putting your money under your mattress than trading this nonsense.

Let's look at the embarassing facts: A pathetic 117% return over 32.5 years while buy & hold made 1354%? That's not just underperformance - that's financial suicide! You're basically paying fees and taking risks to earn less than a savings account. The market exposure of 64.6% shows you're missing out on major moves while still getting hit with the drawdowns.

The win rate is below 50% which would be acceptable if your winners were significantly bigger than your losers. But no - your risk/reward is barely above 1.3! That's like playing Russian roulette with 5 bullets instead of 1. The max drawdown of 48.3% is also horrible - almost as bad as holding through a crash but with none of the recovery benefits.

The only slightly positive thing I can say is that your win rate leeway is decent, but that's like complementing someone's shoelaces while their house is on fire. This strategy needs to be completely scrapped or majorly overhauled. Anyone trading this live deserves to lose their money.