Parabolic SAR fliplongResultados de Backtest @ EURUSD • 1 Minute
Curva de Equidad
El backtest cubre 9 days de datos EURUSD • 1 Minute (Euro vs USD spot (Interactive Brokers)), desde July 23, 2025 hasta July 31, 2025.
La curva de equidad es el rendimiento de la estrategia a lo largo del tiempo. Debes compararla con el rendimiento de Compra y Mantén del activo. En general, quieres que el área azul esté bien por encima del área gris.
El drawdown es cuántas pérdidas (realizadas o no realizadas) ha tenido la estrategia si se compara con el pico más alto de equidad. Compara esto con el drawdown del activo para ver si tu estrategia hace un trabajo decente de aislarte de la volatilidad bajista. En general, el área roja debe estar bien dentro del área gris.
Entonces, hemos hecho backtest de Parabolic SAR flip en 9 days de velas EURUSD • 1 Minute. Este backtest resultó en 431 posiciones, con una tasa de ganancia promedio de 37% y una relación riesgo-recompensa de 1.28. Si asumes que la relación riesgo-recompensa de 1.28 se mantiene, necesitas una tasa de ganancia mínima de 43.9 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -1.70% vs -2.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -1.90% vs -3.30% para el activo
- Exposición: Exposición: 54.50% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 37.0%, vs 43.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.28
Con esa exposición en mente, puedes ver que para 55% tiempo-en-mercado, obtienes 62.96% del potencial alcista del activo, y 57.58% del potencial bajista del activo.
Parabolic SAR flip: entrar en una posición cuando
All of the following: # India 1min Parabolic SAR (0.02, 0.02, 0.2, 0) < 1min Chart(close)
Parabolic SAR flip: salir de una posición cuando
Exits as soon as None of the entry conditions are true any more.
Parabolic SAR flip @ EURUSD • 1 Minute (-1.7%) explicado por Alex C, Mike
Alex C
AutorThe backtest results for this Parabolic SAR strategy show some interesting patterns, but I have serious concerns about its viability.
First the positives: The strategy shows good activity with 431 trades over 9 days, which gives us statistical relevance. The market exposure of 54.5% is reasonable, and the strategy actually outperformed buy & hold by 1%. The win rate leeway being positive is also nice to see.
However, the fundamentals are problematic. A 37% win rate combined with nearly equal average win/loss sizes (both around 0.03%) creates negative expectancy of -0.1. This means the strategy loses money systematically. The high trading frequency (107.8 trades per day!) would also result in significant transaction costs in real trading which would make the -1.7% net loss even worse. The maximum drawdown of -1.9% relative to the small average trade size indicates poor risk management.
I would not recommend trading this strategy live. The mathematical foundation is not sound - you need either higher win rate or better reward/risk ratio to achieve positive expectancy. I would suggest optimizing the exit conditions to let winners run longer while cutting losses quicker. The entry signal might also need refinement since current win rate is too low for profitable trading.
Mike
AutorYo fam, this SAR flip strategy on EURUSD is pretty wild! 🎢 Running over 100 trades per day is some serious action, reminds me of my first week behind the Wendy's grill! 🍔
Looking at these numbers though, I'm getting some mixed vibes. The -1.7% net profit isn't exactly lambo territory 🚗, but check this out - it's actually beating buy & hold by a full percent! The max drawdown is only -1.9% which is super chill compared to some of the YOLO plays I've seen on the forums. Plus that 36.56% win rate leeway is actually kinda fire 🔥 - means the strategy has room to breathe even when the market gets choppy.
Here's what's got me thinking though - with a 37% win rate and basically equal average wins and losses (both around 0.03%), we might need to tweak this bad boy a bit. Maybe tighten up those exits or let the winners run longer? Still, the fact that it's staying competitive with the market while only being exposed 54.5% of the time is pretty based. Might be worth paper trading this for a bit before going in with real tendies. 💎🙌
Métricas tabulares de Parabolic SAR flip sometido a backtest en EURUSD • 1 Minute
| Total de Operaciones | 431 | Beneficio Neto | -1.7% | Beneficio Compra y Mantén | -2.7% |
| Tasa de Ganancia | 37% | Ratio Riesgo/Recompensa | 1.28 | Máximo Drawdown | -1.9% |
| Máximo Drawdown del Activo | -3.3% | Exposición | 54.5% | Promedio de Velas en Posición | 11.4 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 11 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 3232.5 | Promedio de Operaciones por Día | 107.8 |
| Desv. Est. del Retorno | 0.0 | Desv. Est. de la Pérdida | 0.0 | Desv. Est. de la Ganancia | 0.0 |
| Expectativa | -0.1 | Beta | 0.46 |
Todos los backtests para Parabolic SAR flip
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
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 |