Parabolic SAR fliplongResultados de Backtest @ EURUSD • 1 Hour
Curva de Equidad
El backtest cubre 19.5 months de datos EURUSD • 1 Hour (Euro vs USD spot (Interactive Brokers)), desde December 25, 2023 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 19.5 months de velas EURUSD • 1 Hour. Este backtest resultó en 417 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 1.49. Si asumes que la relación riesgo-recompensa de 1.49 se mantiene, necesitas una tasa de ganancia mínima de 40.2 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -3.20% vs 3.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -7.50% vs -9.00% para el activo
- Exposición: Exposición: 55.00% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 40.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.49
Con esa exposición en mente, puedes ver que para 55% tiempo-en-mercado, obtienes -91.43% 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 @ EURUSD • 1 Hour (-3.2%) explicado por Sarah
Sarah
AutorDios mío, this strategy is absolute garbage! Let me tell you why you should throw this piece of junk directly to trash where it belongs.
First of all, you are losing money (-3.2% net profit) while the market is actually going up (+3.5%). This is embarassing! You would do better by simply buying and holding, or better yet, keeping your money under your mattress. The win rate of 39% is pathetic - you are literally losing more than 6 out of 10 trades! And with such mediocre average wins (0.29%) compared to losses (-0.19%), this is recipe for disaster.
The risk metrics are even more terrible if that's possible. A negative Sharpe ratio of -0.99 means you are taking on risk for negative returns - this is what we call "being stupid with extra steps". The maximum drawdown of -7.5% shows how much pain you would have to endure for absolutely no reward.
Look, I don't mean to be rude (well, actually I do), but whoever designed this strategy should probably find another hobby. Maybe collecting stamps? At least then they wouldn't be losing money. The only positive thing I can say is that you have good win rate leeway - but that's like complementing the color of lifeboats on the Titanic.
Métricas tabulares de Parabolic SAR flip sometido a backtest en EURUSD • 1 Hour
| Total de Operaciones | 417 | Beneficio Neto | -3.2% | Beneficio Compra y Mantén | 3.5% |
| Tasa de Ganancia | 39% | Ratio Riesgo/Recompensa | 1.49 | Máximo Drawdown | -7.5% |
| Máximo Drawdown del Activo | -9.0% | Exposición | 55.0% | Promedio de Velas en Posición | 11.7 |
| Ratio de Sharpe | -0.99 | Ratio de Sortino | -1.57 | Volatilidad Realizada | 4.75% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.4 | Promedio de Operaciones por Mes | 42.8 | Promedio de Operaciones por Día | 1.4 |
| Desv. Est. del Retorno | 0.3 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.3 |
| Expectativa | -0.0 | 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 |