Parabolic SAR fliplongResultados de Backtest @ NVDA • Daily
Curva de Equidad
El backtest cubre 26.5 years de datos NVDA • Daily (NVIDIA Corporation), desde January 22, 1999 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 26.5 years de velas NVDA • Daily. Este backtest resultó en 282 posiciones, con una tasa de ganancia promedio de 46% y una relación riesgo-recompensa de 2.04. Si asumes que la relación riesgo-recompensa de 2.04 se mantiene, necesitas una tasa de ganancia mínima de 32.9 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 14739.30% vs 417479.90% para el activo
- Máximo Drawdown: Máximo Drawdown: -76.50% vs -90.00% para el activo
- Exposición: Exposición: 58.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 46.0%, vs 32.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.04
Con esa exposición en mente, puedes ver que para 59% tiempo-en-mercado, obtienes 3.53% del potencial alcista del activo, y 85.00% 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 @ NVDA • Daily (14739.3%) explicado por Alex C
Alex C
AutorThe strategy shows some interesting characteristics, but I am not fully convinced about its robustness. Let me explain why.
The win rate of 46% combined with a risk-reward ratio of 2.04 gives us a positive expectancy of 0.4, which is mathematically viable. The win rate leeway of 45.67% above the minimal required win rate is quite comfortable. However, the maximum drawdown of 76.5% is extremely concerning - this would be very difficult to stomach in real trading situations, even if one has perfect discipline.
The market exposure of 58.9% with average position duration of 12.9 candles suggests this is a medium-term strategy, but the trading frequency is quite low with only 1.7 trades per month. This makes me worried about the statistical significance, especially when we look at the extremely volatile performance across different timeframes. For example, the 1-year performance shows -172.8% while the 2-year shows +6660% - such extreme variations suggest the strategy might be unstable or highly dependent on specific market conditions.
I would recommend doing further testing with different parameter settings to check for robustness. Also, the fact that it significantly underperforms buy & hold (14739% vs 417479%) over the full period makes me question if this complexity is worth it compared to simpler approaches. Nevertheless, the positive expectancy and good win rate leeway suggest there might be something here worth optimizing further.
Métricas tabulares de Parabolic SAR flip sometido a backtest en NVDA • Daily
| Total de Operaciones | 282 | Beneficio Neto | 14739.3% | Beneficio Compra y Mantén | 417479.9% |
| Tasa de Ganancia | 46% | Ratio Riesgo/Recompensa | 2.04 | Máximo Drawdown | -76.5% |
| Máximo Drawdown del Activo | -90.0% | Exposición | 58.9% | Promedio de Velas en Posición | 12.9 |
| Ratio de Sharpe | 0.62 | Ratio de Sortino | 1.35 | Volatilidad Realizada | 39.21% |
| Racha Máxima de Ganancia | 8 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 1.7 | Promedio de Operaciones por Día | 0.1 |
| Desv. Est. del Retorno | 14.9 | Desv. Est. de la Pérdida | 6.0 | Desv. Est. de la Ganancia | 13.7 |
| Expectativa | 0.4 | Beta | 0.49 |
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 |