Parabolic SAR fliplongResultados de Backtest @ GLD • Daily
Curva de Equidad
El backtest cubre 20.7 years de datos GLD • Daily (SPDR Gold Trust), desde November 18, 2004 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 20.7 years de velas GLD • Daily. Este backtest resultó en 213 posiciones, con una tasa de ganancia promedio de 46% y una relación riesgo-recompensa de 1.89. Si asumes que la relación riesgo-recompensa de 1.89 se mantiene, necesitas una tasa de ganancia mínima de 34.6 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 301.40% vs 585.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -23.70% vs -45.30% para el activo
- Exposición: Exposición: 57.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 46.0%, vs 34.6% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.89
Con esa exposición en mente, puedes ver que para 57% tiempo-en-mercado, obtienes 51.47% del potencial alcista del activo, y 52.32% 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 @ GLD • Daily (301.4%) explicado por Alex C, Mike
Alex C
AutorThe backtest shows some interesting characteristics, but I am not completely convinced about its robustness. Let me explain why.
The strategy shows decent risk metrics with a Sharpe of 0.37 and Sortino of 0.84, which is not terrible but also not great. The win rate of 46% combined with a risk/reward ratio of 1.89 gives us positive expectancy of 0.3, which mathematically makes sense. I particularly like that the strategy needs only 34.6% win rate to break even - this gives us good safety margin of 45.65% above the minimal required win rate.
However, I see some red flags here. The strategy underperforms buy & hold significantly (301.4% vs 585.6%) while still having notable drawdown of 23.7%. The trade frequency is quite low with only 1.7 trades per month - this makes me worried about statistical significance over the 20.7 year period. Also the performance varies drastically between different timeframes - for example -12.9% CAGR in 3M but +96.2% CAGR in 6M. This high variance suggests the strategy might not be very stable. I would recommend doing more robustness testing with different parameters before risking real money.
Mike
AutorYo fam, this Parabolic SAR strategy on GLD is giving me some mixed vibes! 🤔 The 301.4% total gain over 20 years looks decent, but we're underperforming buy & hold by quite a bit. Still, that lower drawdown (-23.7% vs -45.3%) means we're sleeping better at night! 😴
The win rate at 46% might look meh at first, but check this out - our winners are almost twice as big as our losers (4.23% vs -2.23%)! That's the secret sauce right there! 🔥 And peep that win rate leeway - we're crushing the minimal required win rate by 45.65%, which means this strategy is pretty robust. The recent performance is looking juicy too, with that 57.1% gain in the last year! 📈
I'm actually kinda hyped about this one for a Wendy's warrior like me - it's not too active (just 1.7 trades per month), so I can keep flipping burgers without watching charts 24/7. Plus, that lower market exposure (57.1%) means we're not always at risk. Might throw some of my next paycheck at this! To the moon! 🚀 Just gotta be ready for those 6-trade losing streaks when they come... 💎🙌
Métricas tabulares de Parabolic SAR flip sometido a backtest en GLD • Daily
| Total de Operaciones | 213 | Beneficio Neto | 301.4% | Beneficio Compra y Mantén | 585.6% |
| Tasa de Ganancia | 46% | Ratio Riesgo/Recompensa | 1.89 | Máximo Drawdown | -23.7% |
| Máximo Drawdown del Activo | -45.3% | Exposición | 57.1% | Promedio de Velas en Posición | 13.0 |
| Ratio de Sharpe | 0.37 | Ratio de Sortino | 0.84 | Volatilidad Realizada | 11.56% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 1.7 | Promedio de Operaciones por Día | 0.1 |
| Desv. Est. del Retorno | 4.2 | Desv. Est. de la Pérdida | 1.6 | Desv. Est. de la Ganancia | 3.6 |
| Expectativa | 0.3 | 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 |