Trend-Following Backtester · Guide · Strategies 한국어
Strategies
Parabolic SAR
Trades around the Parabolic SAR dots that accelerate toward price.
The rules
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: step, maxStep. Fewer knobs make it harder to fit noise, so a count this low keeps overfitting risk relatively contained.
Results by asset
The same strategy across 5 very different assets, each over its full history, with parameters optimized per asset. It beat buy and hold on 3 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin step=0.01, maxStep=0.24 |
63.3% | 42.7% | -48.1% | -86.8% | 1.36 | 164 | 51% |
| Ethereum step=0.01, maxStep=0.16 |
95.0% | 28.7% | -49.7% | -95.6% | 1.54 | 156 | 48% |
| XRP (Ripple) step=0.015, maxStep=0.12 |
91.6% | 26.8% | -68.6% | -95.9% | 1.18 | 170 | 43% |
| Samsung Electronics step=0.005, maxStep=0.02 |
7.1% | 14.2% | -64.3% | -64.8% | 0.40 | 136 | 55% |
| Apple (AAPL) step=0.005, maxStep=0.04 |
17.2% | 18.8% | -63.7% | -82.2% | 0.69 | 309 | 57% |
These are in-sample figures. The same data chose the parameters and scored them, so they sit above what live trading would return. Use them to rank strategies against each other, not as a return target. See optimization and overfitting.
When this one works
Parabolic SAR belongs to the trend-following family. All of them earn in sustained directional moves and bleed costs in range-bound markets. The trade count and time in market columns above show how each variant leans.