Parabolic SAR fliplongResultados de Backtest @ WMT • Daily
Curva de Equidad
El backtest cubre 38.8 years de datos WMT • Daily (Walmart Inc.), desde October 20, 1986 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 38.8 years de velas WMT • Daily. Este backtest resultó en 426 posiciones, con una tasa de ganancia promedio de 45% y una relación riesgo-recompensa de 1.63. Si asumes que la relación riesgo-recompensa de 1.63 se mantiene, necesitas una tasa de ganancia mínima de 38.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 476.70% vs 10620.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -60.70% vs -50.60% para el activo
- Exposición: Exposición: 59.00% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 45.0%, vs 38.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.63
Con esa exposición en mente, puedes ver que para 59% tiempo-en-mercado, obtienes 4.49% del potencial alcista del activo, y 119.96% 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 @ WMT • Daily (476.7%) explicado por Alex C, Sarah
Alex C
AutorThe numbers show some interesting patterns here. The strategy has a decent win rate leeway of 44.62% above the minimal required win rate, which is mathematically significant. However, I notice some concerning issues with the risk metrics.
The Sharpe ratio of 0.16 is quite poor - we typically want to see at least 1.0 for a strategy to be considered mathematically sound. The maximum drawdown of -60.7% is also problematic, as it exceeds even the asset's own drawdown of -50.6%. This suggests the strategy is actually amplifying risk rather than managing it effectively.
What really catches my attention is that despite having 426 trades over nearly 39 years (which is statistically significant sample size), the strategy significantly underperforms buy & hold (476.7% vs 10620.7%). The market exposure of 59% suggests this is meant to be a trend-following system, but the Beta of 0.49 indicates it's not capturing the upside moves effectively. I would classify this as a sub-optimal implementation of the Parabolic SAR concept.
Sarah
AutorMadre mía, this strategy is absolute garbage! A net profit of 476.7% over 38 years when buy & hold did 10,620%? That's pathetic! You would have made 22 times more money by simply buying and holding.
The win rate is terrible - only 45%! Even though you have a decent risk/reward ratio of 1.63, your maximum drawdown is -60.7%, which is worse than the asset's drawdown of -50.6%. This means your strategy is actually adding more risk than just holding the asset! And that Sharpe ratio of 0.16? Mi dios, that's embarrasingly bad.
The most alarming thing is that you're only right 45% of the time with a strategy that needs to be right 38% of the time to break even. That's cutting it way too close for comfort. Yes, technically you have "leeway" but it's like trying to cross a highway blindfolded - just because you can doesn't mean you should!
Look, if you want to lose money slower than throwing it directly into trash, maybe this strategy works for you. But with only 1.8 trades per month, horrible risk-adjusted returns, and massive underperformance versus buy & hold, you should seriously reconsider your life choices if you think this is worth trading.
Métricas tabulares de Parabolic SAR flip sometido a backtest en WMT • Daily
| Total de Operaciones | 426 | Beneficio Neto | 476.7% | Beneficio Compra y Mantén | 10620.7% |
| Tasa de Ganancia | 45% | Ratio Riesgo/Recompensa | 1.63 | Máximo Drawdown | -60.7% |
| Máximo Drawdown del Activo | -50.6% | Exposición | 59.0% | Promedio de Velas en Posición | 12.5 |
| Ratio de Sharpe | 0.16 | Ratio de Sortino | 0.54 | Volatilidad Realizada | 17.10% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.9 | Racha Máxima de Pérdida | 11 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 1.8 | Promedio de Operaciones por Día | 0.1 |
| Desv. Est. del Retorno | 5.1 | Desv. Est. de la Pérdida | 2.4 | Desv. Est. de la Ganancia | 4.5 |
| Expectativa | 0.2 | 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 |