Parabolic SAR fliplongBacktest Results @ WMT • Daily
Equity Curve
Backtest covers 38.8 years of WMT • Daily (Walmart Inc.) data, from October 20, 1986 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 38.8 years of WMT • Daily candles. This backtest resulted in 426 positions, with the average win rate of 45% and reward-risk ratio of 1.63. If you assume that 1.63 reward-to-risk ratio holds, you need a minimum win rate of 38.0 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 476.70% vs 10620.70% for the asset
- Max Drawdown: Max Drawdown: -60.70% vs -50.60% for the asset
- Exposure: Exposure: 59.00% time in the market
- Win Rate: Win Rate: 45.0%, vs 38.0% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.63
With that exposure in mind, you can tell that for 59% time-in-market, you get 4.49% of the asset upside potential, and 119.96% 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 @ WMT • Daily (476.7%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe numbers show some interesting patterns here. The strategy has a decent win rate leeway of 44.62% above the minimal required win rate, which is mathematically significant. However, I notice some concerning issues with the risk metrics.
The Sharpe ratio of 0.16 is quite poor - we typically want to see at least 1.0 for a strategy to be considered mathematically sound. The maximum drawdown of -60.7% is also problematic, as it exceeds even the asset's own drawdown of -50.6%. This suggests the strategy is actually amplifying risk rather than managing it effectively.
What really catches my attention is that despite having 426 trades over nearly 39 years (which is statistically significant sample size), the strategy significantly underperforms buy & hold (476.7% vs 10620.7%). The market exposure of 59% suggests this is meant to be a trend-following system, but the Beta of 0.49 indicates it's not capturing the upside moves effectively. I would classify this as a sub-optimal implementation of the Parabolic SAR concept.
Sarah
AuthorMadre mía, this strategy is absolute garbage! A net profit of 476.7% over 38 years when buy & hold did 10,620%? That's pathetic! You would have made 22 times more money by simply buying and holding.
The win rate is terrible - only 45%! Even though you have a decent risk/reward ratio of 1.63, your maximum drawdown is -60.7%, which is worse than the asset's drawdown of -50.6%. This means your strategy is actually adding more risk than just holding the asset! And that Sharpe ratio of 0.16? Mi dios, that's embarrasingly bad.
The most alarming thing is that you're only right 45% of the time with a strategy that needs to be right 38% of the time to break even. That's cutting it way too close for comfort. Yes, technically you have "leeway" but it's like trying to cross a highway blindfolded - just because you can doesn't mean you should!
Look, if you want to lose money slower than throwing it directly into trash, maybe this strategy works for you. But with only 1.8 trades per month, horrible risk-adjusted returns, and massive underperformance versus buy & hold, you should seriously reconsider your life choices if you think this is worth trading.
Tabular metrics of Parabolic SAR flip backtested on WMT • Daily
| Total Trades | 426 | Net Profit | 476.7% | Buy & Hold Profit | 10620.7% |
| Win Rate | 45% | Reward/Risk Ratio | 1.63 | Max Drawdown | -60.7% |
| Asset Max Drawdown | -50.6% | Exposure | 59.0% | Avg Candles in Position | 12.5 |
| Sharpe Ratio | 0.16 | Sortino Ratio | 0.54 | Realized Volatility | 17.10% |
| Max Winning Streak | 6 | Avg Winning Streak | 1.9 | Max Losing Streak | 11 |
| Avg Losing Streak | 2.3 | Avg Trades per Month | 1.8 | Avg Trades per Day | 0.1 |
| Return Std Dev | 5.1 | Loss Std Dev | 2.4 | Win Std Dev | 4.5 |
| Expectancy | 0.2 | 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 |