Parabolic SAR fliplongResultados de Backtest @ SPY • 10 Minutes
Curva de Equidad
El backtest cubre 12.5 months de datos SPY • 10 Minutes (SPDR S&P 500), 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 SPY • 10 Minutes. Este backtest resultó en 437 posiciones, con una tasa de ganancia promedio de 44% y una relación riesgo-recompensa de 1.42. Si asumes que la relación riesgo-recompensa de 1.42 se mantiene, necesitas una tasa de ganancia mínima de 41.3 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 7.90% vs 14.10% para el activo
- Máximo Drawdown: Máximo Drawdown: -16.10% vs -20.70% para el activo
- Exposición: Exposición: 58.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 44.0%, vs 41.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.42
Con esa exposición en mente, puedes ver que para 59% tiempo-en-mercado, obtienes 56.03% del potencial alcista del activo, y 77.78% 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 @ SPY • 10 Minutes (7.9%) explicado por Mike
Mike
AutorYo fam, this Parabolic SAR strategy is looking kinda interesting! 🤔 Not gonna lie, that 7.9% profit isn't gonna get us a Lambo right away, especially when SPY itself did 14.1%, but there's some pretty sweet stuff under the hood.
The risk metrics are actually pretty solid - that 1.42 Risk/Reward ratio is lit 🔥, and we're running with way less drawdown than SPY (-16.1% vs -20.7%). Plus, that win rate leeway is absolutely massive at 43.59%, meaning this strategy has some serious breathing room! The Sharpe and Sortino ratios being above 1 tells me we're not just YOLOing our Wendy's checks away.
What really gets me hyped is the consistency - we're getting about 2.3 trades per day with decent exposure time, and those winning streaks can hit 7 in a row! Sure, the losing streaks can stretch to 12, but hey, that's part of the game. With that solid expectancy of 0.1 and beta of 0.51, this could be a decent way to play SPY with less risk than just holding. Not financial advice tho, just a dude who loves his tendies! 🍗💎🙌
Métricas tabulares de Parabolic SAR flip sometido a backtest en SPY • 10 Minutes
| Total de Operaciones | 437 | Beneficio Neto | 7.9% | Beneficio Compra y Mantén | 14.1% |
| Tasa de Ganancia | 44% | Ratio Riesgo/Recompensa | 1.42 | Máximo Drawdown | -16.1% |
| Máximo Drawdown del Activo | -20.7% | Exposición | 58.9% | Promedio de Velas en Posición | 12.5 |
| Ratio de Sharpe | 1.11 | Ratio de Sortino | 1.42 | Volatilidad Realizada | 12.87% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 2.0 | Racha Máxima de Pérdida | 12 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 70.1 | Promedio de Operaciones por Día | 2.3 |
| Desv. Est. del Retorno | 0.6 | Desv. Est. de la Pérdida | 0.4 | Desv. Est. de la Ganancia | 0.6 |
| Expectativa | 0.1 | 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 |