Parabolic SAR fliplongResultados de Backtest @ SPY • 1 Hour
Curva de Equidad
El backtest cubre 5.7 years de datos SPY • 1 Hour (SPDR S&P 500), 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 SPY • 1 Hour. Este backtest resultó en 445 posiciones, con una tasa de ganancia promedio de 45% y una relación riesgo-recompensa de 1.58. Si asumes que la relación riesgo-recompensa de 1.58 se mantiene, necesitas una tasa de ganancia mínima de 38.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 70.40% vs 104.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -14.90% vs -35.10% para el activo
- Exposición: Exposición: 60.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 45.0%, vs 38.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.58
Con esa exposición en mente, puedes ver que para 61% tiempo-en-mercado, obtienes 67.24% del potencial alcista del activo, y 42.45% 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 @ SPY • 1 Hour (70.4%) explicado por Mike
Mike
AutorYo fam, let me break down this Parabolic SAR strategy on SPY! 🚀
Looking at these numbers, it's giving some decent vibes! That 70.4% total profit might not beat buy & hold, but check this out - we're only exposed to the market 60.6% of the time, which means less stress and more time to flip burgers at Wendy's 😅. The risk metrics are actually pretty solid, with a max drawdown of only -14.9% compared to the asset's -35.1%. That's some serious protection during rough times! 💪
What's really got me hyped is that Win Rate Leeway - we're crushing the minimal required win rate by over 4000%! Even though the win rate is 45%, our winners are bigger than our losers (1.32% vs -0.84%), giving us that sweet 1.58 risk/reward ratio. Plus, averaging about 13 trades per month means we're not overtrading or getting killed by fees. The Sharpe and Sortino ratios aren't gonna blow anyone's mind, but they're respectable enough to show this isn't just a YOLO strategy! 📈
This could be a solid base for a longer-term portfolio play, especially if you're not trying to diamond hands through every market crash. Just gotta remember that past performance isn't guaranteed, but these numbers are giving me some serious hopium! 🌙
Métricas tabulares de Parabolic SAR flip sometido a backtest en SPY • 1 Hour
| Total de Operaciones | 445 | Beneficio Neto | 70.4% | Beneficio Compra y Mantén | 104.7% |
| Tasa de Ganancia | 45% | Ratio Riesgo/Recompensa | 1.58 | Máximo Drawdown | -14.9% |
| Máximo Drawdown del Activo | -35.1% | Exposición | 60.6% | Promedio de Velas en Posición | 12.6 |
| Ratio de Sharpe | 1.00 | Ratio de Sortino | 1.35 | Volatilidad Realizada | 11.51% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.2 | Promedio de Operaciones por Mes | 12.8 | Promedio de Operaciones por Día | 0.4 |
| Desv. Est. del Retorno | 1.5 | Desv. Est. de la Pérdida | 0.7 | Desv. Est. de la Ganancia | 1.2 |
| Expectativa | 0.2 | Beta | 0.42 |
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 |