Parabolic SAR fliplongResultados de Backtest @ WMT • 1 Hour
Curva de Equidad
El backtest cubre 5.7 years de datos WMT • 1 Hour (Walmart Inc.), 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 WMT • 1 Hour. Este backtest resultó en 402 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 1.79. Si asumes que la relación riesgo-recompensa de 1.79 se mantiene, necesitas una tasa de ganancia mínima de 35.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 100.40% vs 142.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -18.30% vs -26.90% para el activo
- Exposición: Exposición: 56.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 35.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.79
Con esa exposición en mente, puedes ver que para 57% tiempo-en-mercado, obtienes 70.36% del potencial alcista del activo, y 68.03% 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 @ WMT • 1 Hour (100.4%) explicado por Alex C, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I am not totally convinced about its robustness. Let me explain why.
The positive aspects are the good Risk/Reward ratio of 1.79 and the healthy win rate leeway of 42.64% above the minimal required win rate. This gives the strategy some mathematical room for error, which is good. Also having 402 trades over 5.7 years gives us enough statistical significance to make proper conclusions about the behaviour.
However, there are some red flags that worry me from mathematical perspective. The strategy underperforms buy & hold by about 42%, which is not optimal for such a long timeframe. The Sharpe ratio of 0.75 and especially Sortino ratio of 0.48 are below what I would consider acceptable for a robust strategy. Also the correlation of 0.7 to the underlying asset suggests this strategy might just be capturing general market movements rather than finding unique opportunities.
My recommendation would be to either optimize the parameters further or consider combining this with other indicators to create more selective entry conditions. The basic concept seems workable but needs refinement to achieve better risk-adjusted returns.
Sarah
AutorDios mío, this strategy is like a mediocre student who somehow manages to pass - but just barely!
The win rate of 43% is technically acceptable since you only need 35.8% to break even with that risk/reward ratio. But come on, it's still pretty pathetic! You're basically losing more than half your trades. The strategy underperforms buy & hold by quite a margin (100.4% vs 142.7%) - what's even the point then?
The exposure is decent at 56.7%, but those drawdowns... madre mía! An 18.3% drawdown is no joke - that's going to make most traders cry in their sleep. And those losing streaks! 10 losses in a row? That would break most people's psychology, if not their account.
Looking at the recent performance makes me want to throw up - negative returns in 1M, 3M and 6M periods. Sure, the longer timeframes look better, but who has the patience to wait years while bleeding money in the short term? The volatility metrics aren't great either - Sharpe of 0.75 is mediocre at best.
If you're determined to trade this mess, at least try to optimize those entry conditions. Right now it looks like you're just flipping a coin with extra steps. And por favor, do something about those pathetic short-term returns!
Métricas tabulares de Parabolic SAR flip sometido a backtest en WMT • 1 Hour
| Total de Operaciones | 402 | Beneficio Neto | 100.4% | Beneficio Compra y Mantén | 142.7% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 1.79 | Máximo Drawdown | -18.3% |
| Máximo Drawdown del Activo | -26.9% | Exposición | 56.7% | Promedio de Velas en Posición | 13.1 |
| Ratio de Sharpe | 0.75 | Ratio de Sortino | 0.48 | Volatilidad Realizada | 13.70% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.4 | Promedio de Operaciones por Mes | 11.6 | Promedio de Operaciones por Día | 0.4 |
| Desv. Est. del Retorno | 1.9 | Desv. Est. de la Pérdida | 1.0 | Desv. Est. de la Ganancia | 1.8 |
| Expectativa | 0.2 | Beta | 0.54 |
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 |