Parabolic SAR fliplongResultados de Backtest @ BTCUSDT • Daily
Curva de Equidad
El backtest cubre 5.8 years de datos BTCUSDT • Daily (Bitcoin vs Tether, Binance US), desde October 8, 2019 hasta July 30, 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 5.8 years de velas BTCUSDT • Daily. Este backtest resultó en 88 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 2.31. Si asumes que la relación riesgo-recompensa de 2.31 se mantiene, necesitas una tasa de ganancia mínima de 30.2 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 88 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 379.60% vs 1339.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -68.00% vs -76.60% para el activo
- Exposición: Exposición: 57.00% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 30.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.31
Con esa exposición en mente, puedes ver que para 57% tiempo-en-mercado, obtienes 28.34% del potencial alcista del activo, y 88.77% del potencial bajista del activo.
Parabolic SAR flip: entrar en una posición cuando
All of the following: # India D Parabolic SAR (0.02, 0.02, 0.2, 0) < D 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 @ BTCUSDT • Daily (379.6%) explicado por Alex C, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I have concerns about its real-world applicability. Let me explain why.
The win rate of 43% combined with a risk/reward ratio of 2.31 gives us acceptable expectancy of 0.4, which is mathematically viable. However, the maximum drawdown of 68% is extremely problematic - this would be psychologically very difficult to trade through, and most professional risk management frameworks would not allow such deep drawdowns. The market exposure of 57% suggests this is not fully utilizing available trading opportunities.
What really catches my attention is the volatility metrics. The strategy's realized volatility of 40.67% compared to asset volatility of 60.75% shows it's not doing a great job of reducing risk compared to simply holding Bitcoin. The Sharpe ratio of 0.53 is quite poor - we typically want to see values above 1.0 for a strategy to be considered efficient from a risk-adjusted returns perspective. Also the massive difference between short-term and long-term CAGR numbers rings alarm bells about consistency.
My recommendation would be to either implement additional risk management rules to reduce the drawdown or continue optimizing the entry/exit conditions. The mathematical foundation is there but the risk metrics need significant improvement before I would consider this production-ready.
Sarah
AutorMadre de Dios, this strategy is a complete disaster! Let me tell you why you should never touch this with a 10-foot pole.
First off, the strategy severely underperforms buy & hold (379.6% vs 1339.3%). That's pathetic! You're basically losing money by being too clever instead of just holding. And with a 57% loss rate? Por favor, you're losing more often than winning - that's not a strategy, that's masochism!
The max drawdown of 68% is absolutely horrifying. Have you lost your mind? This could wipe out your account! And don't even get me started on that miserable Sharpe ratio of 0.53 - it's suggesting your risk-adjusted returns are about as impressive as a wet tortilla.
The only remotely decent thing here is the Risk/Reward ratio of 2.31, but it's like putting lipstick on a cerdo - it's still a pig! You're only making 2.5 trades per month, which means you're sitting around waiting for signals that mostly lead to losses anyway. What's the point?
Mira, if you want to throw away money, there are much faster ways to do it than this strategy. Either stick to buy & hold or go back to the drawing board. This is embarassing!
Métricas tabulares de Parabolic SAR flip sometido a backtest en BTCUSDT • Daily
| Total de Operaciones | 88 | Beneficio Neto | 379.6% | Beneficio Compra y Mantén | 1339.3% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 2.31 | Máximo Drawdown | -68.0% |
| Máximo Drawdown del Activo | -76.6% | Exposición | 57.0% | Promedio de Velas en Posición | 12.7 |
| Ratio de Sharpe | 0.53 | Ratio de Sortino | 1.03 | Volatilidad Realizada | 40.67% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 5 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 2.5 | Promedio de Operaciones por Día | 0.1 |
| Desv. Est. del Retorno | 13.8 | Desv. Est. de la Pérdida | 3.3 | Desv. Est. de la Ganancia | 14.1 |
| Expectativa | 0.4 | Beta | 0.44 |
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 |