Parabolic SAR fliplongResultados de Backtest @ GLD • 1 Hour
Curva de Equidad
El backtest cubre 5.7 years de datos GLD • 1 Hour (SPDR Gold Trust), desde November 14, 2019 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 5.7 years de velas GLD • 1 Hour. Este backtest resultó en 335 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 1.78. Si asumes que la relación riesgo-recompensa de 1.78 se mantiene, necesitas una tasa de ganancia mínima de 36.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 61.40% vs 118.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -21.70% vs -22.20% para el activo
- Exposición: Exposición: 55.20% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 36.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.78
Con esa exposición en mente, puedes ver que para 55% tiempo-en-mercado, obtienes 51.81% del potencial alcista del activo, y 97.75% 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 @ GLD • 1 Hour (61.4%) explicado por Mike
Mike
AutorYo fam, this Parabolic SAR strategy on GLD is giving me some mixed vibes! 🤔
The good news first - we're looking at a solid 61.4% profit over 5.7 years, and that Risk/Reward ratio of 1.78 is pretty sweet! Plus, that win rate leeway is thicc AF at 42.64% above what we need - means the strategy has some serious breathing room. Love to see that the max drawdown (-21.7%) is actually better than the asset's drawdown (-22.2%) too! 💪
But here's where it gets a bit sus - the win rate is only 43% and we're underperforming buy & hold by quite a bit (61.4% vs 118.5%). Those losing streaks can go up to 8 trades, which might make some paper hands shake! The Sharpe and Sortino ratios are also kinda meh, telling us the risk-adjusted returns aren't exactly crushing it. 📉
Overall, I'd say this strategy could work if you're cool with more frequent trading (about 10 trades per month) and can handle those losing streaks emotionally. It's not gonna make us Lambo-rich overnight, but it's definitely not garbage either. Might be worth paper trading first before yoloing the Wendy's paycheck! 🚀
Métricas tabulares de Parabolic SAR flip sometido a backtest en GLD • 1 Hour
| Total de Operaciones | 335 | Beneficio Neto | 61.4% | Beneficio Compra y Mantén | 118.5% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 1.78 | Máximo Drawdown | -21.7% |
| Máximo Drawdown del Activo | -22.2% | Exposición | 55.2% | Promedio de Velas en Posición | 15.5 |
| Ratio de Sharpe | 0.40 | Ratio de Sortino | 0.15 | Volatilidad Realizada | 10.87% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 9.6 | Promedio de Operaciones por Día | 0.3 |
| Desv. Est. del Retorno | 1.5 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 1.3 |
| Expectativa | 0.2 | Beta | 0.53 |
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 |