Parabolic SAR fliplongResultados de Backtest @ GLD • 10 Minutes
Curva de Equidad
El backtest cubre 12.5 months de datos GLD • 10 Minutes (SPDR Gold Trust), desde July 22, 2024 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 12.5 months de velas GLD • 10 Minutes. Este backtest resultó en 339 posiciones, con una tasa de ganancia promedio de 46% y una relación riesgo-recompensa de 1.56. Si asumes que la relación riesgo-recompensa de 1.56 se mantiene, necesitas una tasa de ganancia mínima de 39.1 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 22.10% vs 37.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -8.40% vs -8.30% para el activo
- Exposición: Exposición: 57.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 46.0%, vs 39.1% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.56
Con esa exposición en mente, puedes ver que para 57% tiempo-en-mercado, obtienes 59.09% del potencial alcista del activo, y 101.20% 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 @ GLD • 10 Minutes (22.1%) explicado por Mike
Mike
AutorYo fam, this Parabolic SAR strategy on GLD is looking pretty decent! 🚀 Not gonna lie, the 22.1% net profit isn't crushing the buy & hold (37.4%), but there's some juicy stuff under the hood.
The risk metrics are what's getting me hyped here! That 1.56 risk/reward ratio is sweet, and we're running with a 46% win rate when we only need 39.1% to break even - that's a fat cushion right there! 💪 The max drawdown of -8.4% is totally manageable, especially for us Wendy's warriors who are used to seeing way scarier numbers in our portfolios lol.
The thing I'm really digging is the consistency - we're getting like 1.8 trades per day on average, so plenty of action without being too crazy. Plus that Sharpe ratio of 1.38 shows we're not just YOLOing here. Only thing that makes me a bit nervous is that 11-trade losing streak, but hey, that's what stop losses are for, right? If you're playing this with proper position sizing, this could be a solid addition to the portfolio! 🎯 Not financial advice though, just what I'd do with my tendies! 🍗
Métricas tabulares de Parabolic SAR flip sometido a backtest en GLD • 10 Minutes
| Total de Operaciones | 339 | Beneficio Neto | 22.1% | Beneficio Compra y Mantén | 37.4% |
| Tasa de Ganancia | 46% | Ratio Riesgo/Recompensa | 1.56 | Máximo Drawdown | -8.4% |
| Máximo Drawdown del Activo | -8.3% | Exposición | 57.1% | Promedio de Velas en Posición | 15.8 |
| Ratio de Sharpe | 1.38 | Ratio de Sortino | 1.06 | Volatilidad Realizada | 11.46% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 1.9 | Racha Máxima de Pérdida | 11 |
| Racha Promedio de Pérdida | 2.2 | Promedio de Operaciones por Mes | 54.4 | Promedio de Operaciones por Día | 1.8 |
| Desv. Est. del Retorno | 0.7 | Desv. Est. de la Pérdida | 0.4 | Desv. Est. de la Ganancia | 0.6 |
| Expectativa | 0.2 | Beta | 0.51 |
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 |