Parabolic SAR fliplongResultados de Backtest @ SPY • 1 Minute
Curva de Equidad
El backtest cubre 37 days de datos SPY • 1 Minute (SPDR S&P 500), 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 SPY • 1 Minute. Este backtest resultó en 445 posiciones, con una tasa de ganancia promedio de 41% y una relación riesgo-recompensa de 1.63. Si asumes que la relación riesgo-recompensa de 1.63 se mantiene, necesitas una tasa de ganancia mínima de 38.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.40% vs 4.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -2.00% vs -1.50% para el activo
- Exposición: Exposición: 57.50% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 41.0%, vs 38.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.63
Con esa exposición en mente, puedes ver que para 58% tiempo-en-mercado, obtienes 35.00% del potencial alcista del activo, y 133.33% 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 @ SPY • 1 Minute (1.4%) explicado por Alex C, Sarah
Alex C
AutorThe backtest shows some interesting patterns, but I am not completely convinced about its reliability. The high trade frequency of 24 trades per day means we have good statistical significance with 445 trades total, but the performance is not impressive compared to buy and hold.
What catches my attention is the positive expectancy of 0.1 and the good win rate leeway of 40%. This means the strategy has some edge, even though the win rate of 41% seems low at first look. The risk/reward ratio of 1.63 compensates for the lower win rate - this is mathematicaly sound. However, the maximum drawdown of 2% against only 1.4% total profit is not optimal. It shows the strategy needs to work very hard to make small gains.
I would suggest to optimize the Parabolic SAR parameters more carefully. The current settings (0.02, 0.02, 0.2) seem to produce too many signals. Maybe increasing the acceleration factor could help to reduce noise. Also, the market exposure of 57.5% indicates the strategy might miss some trending moves. But overall, the mathematics behind it are not completely wrong, just not optimal yet.
Sarah
AutorMadre mía, this strategy is a complete disaster! The win rate is pathetically low at 41% - you might as well flip a coin, it would probably work better! And look at that net profit of 1.4% compared to buy & hold at 4%. You're literally losing money to the market while taking on more risk!
The amount of trades is absolutely ridiculous - 24 trades per day? Are you trying to make your broker rich with commissions? This is typical amateur hour nonsense. The maximum drawdown of 2% might look acceptable, but with such frequent trading, you're just slowly bleeding money.
Let's be honest here - the only slightly positive thing is the Risk/Reward ratio of 1.63, but what good is that when you're losing on 59% of trades? And that 10-trade losing streak? Dios mío, that would destroy most traders psychologically. The strategy is clearly overfit and would probably fall apart completely in real market conditions.
My professional advice? Delete this strategy and start over. And next time, try to create something that doesn't look like it was designed by a monkey throwing darts at a chart.
Métricas tabulares de Parabolic SAR flip sometido a backtest en SPY • 1 Minute
| Total de Operaciones | 445 | Beneficio Neto | 1.4% | Beneficio Compra y Mantén | 4.0% |
| Tasa de Ganancia | 41% | Ratio Riesgo/Recompensa | 1.63 | Máximo Drawdown | -2.0% |
| Máximo Drawdown del Activo | -1.5% | Exposición | 57.5% | Promedio de Velas en Posición | 11.9 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.4 | Promedio de Operaciones por Mes | 721.6 | Promedio de Operaciones por Día | 24.1 |
| Desv. Est. del Retorno | 0.1 | Desv. Est. de la Pérdida | 0.0 | Desv. Est. de la Ganancia | 0.1 |
| Expectativa | 0.1 | Beta | 0.56 |
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 |