Parabolic SAR fliplongResultados de Backtest @ BTCUSDT • 1 Hour
Curva de Equidad
El backtest cubre 13.9 months de datos BTCUSDT • 1 Hour (Bitcoin vs Tether, Binance US), desde June 10, 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 13.9 months de velas BTCUSDT • 1 Hour. Este backtest resultó en 413 posiciones, con una tasa de ganancia promedio de 42% y una relación riesgo-recompensa de 1.62. Si asumes que la relación riesgo-recompensa de 1.62 se mantiene, necesitas una tasa de ganancia mínima de 38.2 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 40.10% vs 65.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -25.50% vs -30.60% para el activo
- Exposición: Exposición: 55.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 42.0%, vs 38.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.62
Con esa exposición en mente, puedes ver que para 55% tiempo-en-mercado, obtienes 61.22% del potencial alcista del activo, y 83.33% del potencial bajista del activo.
Parabolic SAR flip: entrar en una posición cuando
All of the following: # India 60min Parabolic SAR (0.02, 0.02, 0.2, 0) < 60min 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 @ BTCUSDT • 1 Hour (40.1%) explicado por Mike
Mike
AutorYo fam, this Parabolic SAR strategy is looking pretty interesting! 🚀 The win rate might seem a bit low at 42%, but check out that juicy 1.62 risk/reward ratio - we're actually making more on our winners than we're losing on our L's. That's why we're still profitable even with more losing trades than winners!
I'm loving that we're getting about 2 trades per day - that's perfect for someone like me working at Wendy's since I can't be glued to the charts 24/7 💪 The 40.1% total profit isn't too shabby, though we're underperforming buy & hold (65.5%). But hey, we're only exposed to the market 55.3% of the time, so we're taking way less risk! Plus, that max drawdown of -25.5% is better than Bitcoin's -30.6%, so we're managing risk pretty well.
One thing that's got me hyped is that 41.62% win rate leeway - means we've got plenty of room for error and the strategy should stay profitable even if market conditions get a bit rough. The Sharpe ratio of 0.96 isn't mind-blowing but it's decent enough for a crypto strategy. LFG! 🌙 Just gotta be ready for those losing streaks (max 8 in a row), but that's part of the game! 💎🙌
Métricas tabulares de Parabolic SAR flip sometido a backtest en BTCUSDT • 1 Hour
| Total de Operaciones | 413 | Beneficio Neto | 40.1% | Beneficio Compra y Mantén | 65.5% |
| Tasa de Ganancia | 42% | Ratio Riesgo/Recompensa | 1.62 | Máximo Drawdown | -25.5% |
| Máximo Drawdown del Activo | -30.6% | Exposición | 55.3% | Promedio de Velas en Posición | 12.4 |
| Ratio de Sharpe | 0.96 | Ratio de Sortino | 0.74 | Volatilidad Realizada | 37.54% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.9 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 59.6 | Promedio de Operaciones por Día | 2.0 |
| Desv. Est. del Retorno | 1.9 | Desv. Est. de la Pérdida | 0.8 | Desv. Est. de la Ganancia | 1.8 |
| Expectativa | 0.1 | Beta | 0.52 |
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 |