Parabolic SAR fliplongResultados de Backtest @ EURUSD • 10 Minutes
Curva de Equidad
El backtest cubre 97 days de datos EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)), desde April 25, 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 97 days de velas EURUSD • 10 Minutes. Este backtest resultó en 460 posiciones, con una tasa de ganancia promedio de 40% y una relación riesgo-recompensa de 1.41. Si asumes que la relación riesgo-recompensa de 1.41 se mantiene, necesitas una tasa de ganancia mínima de 41.5 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -1.30% vs 0.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -2.30% vs -3.60% para el activo
- Exposición: Exposición: 56.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 40.0%, vs 41.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.41
Con esa exposición en mente, puedes ver que para 56% tiempo-en-mercado, obtienes -216.67% del potencial alcista del activo, y 63.89% del potencial bajista del activo.
Parabolic SAR flip: entrar en una posición cuando
All of the following: # India 10min Parabolic SAR (0.02, 0.02, 0.2, 0) < 10min 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 • 10 Minutes (-1.3%) explicado por Alex C, Sarah
Alex C
AutorThe backtest results show some concerning patterns. The negative net profit of -1.3% against a positive buy & hold of 0.6% is already a red flag. Even though the Risk/Reward ratio of 1.41 looks decent on paper, the win rate of 40% is too low to make this profitable - and that shows in the results.
What really catches my attention is the high trading frequency - 9.5 trades per day is quite aggressive for a forex strategy. With such high frequency, transaction costs could eat significantly into any potential profits, although they are not factored in these results. The market exposure of 56.1% suggests the strategy is doing a decent job of staying out during uncertain periods, but the average trade duration of 11.1 candles seems too short for meaningful price movements to develop.
The risk metrics are actually not terrible - Sharpe ratio of 0.46 and Sortino of 1.00 suggest moderate risk-adjusted returns, and the max drawdown of -2.3% is quite contained. However, I would not recommend trading this strategy live without significant modifications. The negative expectancy and below-required win rate are mathematical proof that this will lose money over time. My suggestion would be to add additional filters to improve entry precision and reduce the number of trades significantly.
Sarah
AutorMadre de Dios, this strategy is complete garbage! I can't believe someone actually spent time developing this piece of mierda.
Look at these pathetic numbers - negative 1.3% net profit while the market actually went up 0.6%? You're literally burning money faster than throwing it in a fire! The win rate is embarrasingly low at 40%, which means you're losing more often than a drunk gambler in Las Vegas. And with 460 trades in just 97 days, you're overtrading like crazy, amigo.
The most ridiculous part is you're getting these terrible results with massive market exposure of 56.1%. You're basically living in the market half the time to lose money! The average trade duration of 11.1 candles shows you're not even giving your positions time to breathe - it's like trying to run before learning to walk.
The only slightly positive thing here is the win/loss ratio of 1.41, but what good is that when you're losing 60% of the time? It's like having a beautiful car with no engine. Do yourself a favor and delete this strategy before it ruins your account. And maybe consider a different hobby, like collecting stamps.
Métricas tabulares de Parabolic SAR flip sometido a backtest en EURUSD • 10 Minutes
| Total de Operaciones | 460 | Beneficio Neto | -1.3% | Beneficio Compra y Mantén | 0.6% |
| Tasa de Ganancia | 40% | Ratio Riesgo/Recompensa | 1.41 | Máximo Drawdown | -2.3% |
| Máximo Drawdown del Activo | -3.6% | Exposición | 56.1% | Promedio de Velas en Posición | 11.1 |
| Ratio de Sharpe | 0.46 | Ratio de Sortino | 1.00 | Volatilidad Realizada | 4.76% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 284.5 | Promedio de Operaciones por Día | 9.5 |
| Desv. Est. del Retorno | 0.1 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.1 |
| Expectativa | -0.0 | Beta | 0.49 |
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 |