Parabolic SAR fliplongResultados de Backtest @ EURUSD • Daily
Curva de Equidad
El backtest cubre 9.7 years de datos EURUSD • Daily (Euro vs USD spot (Interactive Brokers)), desde December 2, 2015 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 9.7 years de velas EURUSD • Daily. Este backtest resultó en 108 posiciones, con una tasa de ganancia promedio de 37% y una relación riesgo-recompensa de 1.69. Si asumes que la relación riesgo-recompensa de 1.69 se mantiene, necesitas una tasa de ganancia mínima de 37.2 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -1.50% vs 8.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -17.80% vs -23.30% para el activo
- Exposición: Exposición: 55.40% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 37.0%, vs 37.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.69
Con esa exposición en mente, puedes ver que para 55% tiempo-en-mercado, obtienes -18.75% del potencial alcista del activo, y 76.39% 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 @ EURUSD • Daily (-1.5%) explicado por Mike
Mike
AutorBruh, this strategy is giving me mixed feelings 🤔 The numbers are like a rollercoaster ride at Wendy's after-hours party!
Looking at that sweet Risk/Reward ratio of 1.69 and the massive win rate leeway (3662% above minimal, sheesh! 🚀), it's got some solid foundations. When this thing wins, it wins big - average wins are 1.48% compared to -0.88% losses. That's the kind of juice I like to see!
But here's where it gets sketch fam - that 37% win rate is barely scratching by the minimal required 37.2%, and that -17.8% max drawdown could have my manager asking for his burger spatula back 💀 Plus that 12-trade losing streak? Bruh, that's enough to make anyone's diamond hands turn to paper. The overall -1.5% net profit over 9.7 years ain't exactly lambos and yachts material either, especially when buy & hold did 8%.
I'm not saying it's completely trash, but maybe it needs some tweaking before I YOLO my next paycheck into it. Could be worth experimenting with tighter stop losses or adding some confirmation indicators to bump up that win rate. Just my two tendies worth! 🍗
Métricas tabulares de Parabolic SAR flip sometido a backtest en EURUSD • Daily
| Total de Operaciones | 108 | Beneficio Neto | -1.5% | Beneficio Compra y Mantén | 8.0% |
| Tasa de Ganancia | 37% | Ratio Riesgo/Recompensa | 1.69 | Máximo Drawdown | -17.8% |
| Máximo Drawdown del Activo | -23.3% | Exposición | 55.4% | Promedio de Velas en Posición | 11.1 |
| Ratio de Sharpe | -0.54 | Ratio de Sortino | -0.44 | Volatilidad Realizada | 5.28% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 12 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 1.8 | Promedio de Operaciones por Día | 0.1 |
| Desv. Est. del Retorno | 1.5 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 1.3 |
| Expectativa | -0.0 | Beta | 0.51 |
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 |