Parabolic SAR fliplongResultados de Backtest @ GLD • 1 Minute
Curva de Equidad
El backtest cubre 37 days de datos GLD • 1 Minute (SPDR Gold Trust), desde June 24, 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 37 days de velas GLD • 1 Minute. Este backtest resultó en 410 posiciones, con una tasa de ganancia promedio de 41% y una relación riesgo-recompensa de 1.06. Si asumes que la relación riesgo-recompensa de 1.06 se mantiene, necesitas una tasa de ganancia mínima de 48.5 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -4.40% vs -0.90% para el activo
- Máximo Drawdown: Máximo Drawdown: -4.90% vs -4.80% para el activo
- Exposición: Exposición: 56.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 41.0%, vs 48.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.06
Con esa exposición en mente, puedes ver que para 56% tiempo-en-mercado, obtienes 488.89% del potencial alcista del activo, y 102.08% 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 @ GLD • 1 Minute (-4.4%) explicado por Alex C, Mike
Alex C
AutorZe numbers look quite problematic to me. Let me explain why I think zis strategy needs serious improvement before going live with it.
Ze first red flag is ze negative expectancy of -0.1 combined with ze relatively high number of trades (22.2 per day). Zis means you are essentially bleeding money slowly but steadily. Ze win rate of 41% is too low for such tight risk/reward ratio of 1.06. Even though ze leeway looks good on paper, ze fundamental problem is that you are not getting enough edge from each trade.
I am also concerned about ze market exposure of 56.1% - zis suggests ze strategy is keeping you in trades for too long with average holding time of 12.7 candles. For a 1-minute timeframe strategy, zis seems excessive and likely causes unnecessary exposure to market noise. Ze high drawdown of -4.9% relative to ze overall performance is another warning sign that ze risk management needs improvement.
In meine opinion, you should either adjust ze entry/exit parameters to get a better win rate above 50%, or increase ze reward/risk ratio significantly above 2.0. Ze current setup appears mathematically suboptimal based on ze statistics. Consider adding more confirmation signals or tightening ze stop losses.
Mike
AutorYo fam, looking at these numbers for the Parabolic SAR flip strategy on GLD - it's giving me some mixed vibes 🤔
The activity is pretty lit with 22 trades per day on average, which means plenty of opportunities to catch those moves! That's the kind of action I'm looking for while flipping burgers at Wendy's 🍔. The win rate leeway being way above minimal is actually pretty sweet - means there's room for the strategy to breathe.
But here's where it gets kinda sus - we're looking at a -4.4% net profit over 37 days with a 41% win rate. That's not exactly the kind of gain porn I was hoping to post on WSB 😅. The max drawdown of -4.9% isn't terrible, but combined with the negative performance, it's giving me more red flags than my manager when I'm late for my shift. The risk/reward ratio of 1.06 is actually decent, but we need better execution to make this work.
Maybe with some tweaking to the entry/exit conditions, this could be turned into something more promising. The bones are there - good trade frequency, decent R/R ratio, healthy win rate leeway. But right now, it's more like eating a Baconator without the bacon, if you know what I mean 🍔. Not ready for real money yet, but definitely worth experimenting with! 🚀
Métricas tabulares de Parabolic SAR flip sometido a backtest en GLD • 1 Minute
| Total de Operaciones | 410 | Beneficio Neto | -4.4% | Beneficio Compra y Mantén | -0.9% |
| Tasa de Ganancia | 41% | Ratio Riesgo/Recompensa | 1.06 | Máximo Drawdown | -4.9% |
| Máximo Drawdown del Activo | -4.8% | Exposición | 56.1% | Promedio de Velas en Posición | 12.7 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 8 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 664.9 | Promedio de Operaciones por Día | 22.2 |
| Desv. Est. del Retorno | 0.2 | Desv. Est. de la Pérdida | 0.2 | Desv. Est. de la Ganancia | 0.1 |
| Expectativa | -0.1 | Beta | 0.59 |
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 |