Parabolic SAR fliplongResultados de Backtest @ PLTR • 1 Hour
Curva de Equidad
El backtest cubre 4.8 years de datos PLTR • 1 Hour (Palantir Technologies Inc.), desde September 30, 2020 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 4.8 years de velas PLTR • 1 Hour. Este backtest resultó en 314 posiciones, con una tasa de ganancia promedio de 42% y una relación riesgo-recompensa de 2.05. Si asumes que la relación riesgo-recompensa de 2.05 se mantiene, necesitas una tasa de ganancia mínima de 32.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 538.00% vs 1459.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -77.30% vs -86.60% para el activo
- Exposición: Exposición: 54.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 42.0%, vs 32.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.05
Con esa exposición en mente, puedes ver que para 55% tiempo-en-mercado, obtienes 36.87% del potencial alcista del activo, y 89.26% 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 @ PLTR • 1 Hour (538.0%) explicado por Alex C
Alex C
AutorThe backtest shows some interesting patterns, but I have several concerns about the strategy's robustness. The win rate of 42% combined with a 2.05 risk/reward ratio mathematically makes sense - it's well above the minimal sufficient win rate of 32.8%. This is actually quite good.
However, the maximum drawdown of 77.3% is extremely problematic. No professional trader would accept such a high drawdown - it's simply too risky. The strategy also underperforms buy & hold significantly (538% vs 1459%), while still exposing you to substantial risk. The Sharpe ratio of 0.50 and Sortino of 0.24 are both quite poor, indicating bad risk-adjusted returns.
I notice the strategy produces relatively few trades - only 0.4 per day on average. This makes me worry about statistical significance, even though we have 314 trades total over the period. The correlation with the underlying asset is 0.68, which suggests this strategy is basically just giving you leveraged exposure to PLTR's movements rather than finding truly independent trading opportunities. In my experience, you want correlation below 0.3 for a truly robust strategy.
Métricas tabulares de Parabolic SAR flip sometido a backtest en PLTR • 1 Hour
| Total de Operaciones | 314 | Beneficio Neto | 538.0% | Beneficio Compra y Mantén | 1459.0% |
| Tasa de Ganancia | 42% | Ratio Riesgo/Recompensa | 2.05 | Máximo Drawdown | -77.3% |
| Máximo Drawdown del Activo | -86.6% | Exposición | 54.9% | Promedio de Velas en Posición | 13.8 |
| Ratio de Sharpe | 0.50 | Ratio de Sortino | 0.24 | Volatilidad Realizada | 46.10% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 10.7 | Promedio de Operaciones por Día | 0.4 |
| Desv. Est. del Retorno | 6.8 | Desv. Est. de la Pérdida | 2.5 | Desv. Est. de la Ganancia | 7.4 |
| Expectativa | 0.3 | Beta | 0.49 |
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 |