Flip with the parabolic stop. Always in or out, never neutral for long.
Over 2020-09-01 → 2026-09-23 it returned 15.9% while buying once on the first day and never touching it returned 118.6% — 102.7% worse. Not one of the 16 parameter settings tested beat the benchmark. The median setting returned 15.9%.
It spent 1191 days below its previous high at the longest stretch — 98% of the whole period under water.
175 fills. Signals are taken on the close and filled at the next open.
A single return is one chosen start date. These are 62 runs of the same rules with the start shifted forward 30 days at a time.
| Worst | p10 | p25 | Median | p75 | p90 | Best | Losing starts |
|---|---|---|---|---|---|---|---|
| -13.2% | -11.4% | -4.4% | 6.8% | 11.6% | 16.0% | 37.0% | 32% |
The numbers above are one market on one timeframe. A rule that only works there did not work — the market did.
Same rules, same parameters, different candle size on Gold (PAXG).
| Timeframe | Trades | Return | Buy & hold | vs B&H | Beat it | Trades |
|---|---|---|---|---|---|---|
| 4H | 13281 | -60% | 119% | -179% | no | 534 |
| 1D ← | 2214 | 16% | 119% | -103% | no | 87 |
| 1W | 316 | 75% | 123% | -47% | no | 11 |
Same rules, same parameters, different asset — daily candles.
| Market | Return | Buy & hold | vs B&H | Beat it |
|---|---|---|---|---|
| BTC/USDT | 330% | 530% | -200% | no |
| ETH/USDT | 83% | 276% | -192% | no |
| Gold (PAXG) ← | 16% | 119% | -103% | no |
The headline above uses one parameter setting. Here is every setting tested: 16 combinations, median 15.9%, best 35.5%, worst -4.0%. 0 of them beat buy & hold.
Parabolic SAR run across its own parameter range over the full period. The same rules flip from profit to loss depending only on the numbers you picked — which is why a single headline return is meaningless on its own.
| step 0.01 | step 0.02 | step 0.03 | step 0.05 | |
|---|---|---|---|---|
| max 0.1 | 19% | 35% | 24% | 15% |
| max 0.2 | 11% | 16% | 16% | 13% |
| max 0.3 | 11% | 19% | 20% | -4% |
| max 0.5 | 11% | 19% | 17% | -4% |
Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).
| Year | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|
| Return | -6% | -12% | 14% | 1% | 24% | 2% |
| Max DD | 12% | 17% | 6% | 10% | 12% | 24% |
| Trades | 15 | 17 | 13 | 16 | 14 | 9 |
| Closed | P&L (USDT) | Held |
|---|---|---|
| 2026-08-29 | -127.92 | 9 bars |
| 2026-08-19 | +536.28 | 27 bars |
| 2026-07-14 | -541.00 | 8 bars |
| 2026-06-24 | -643.95 | 8 bars |
| 2026-06-06 | -654.68 | 7 bars |
| 2026-05-16 | -456.68 | 9 bars |
| 2026-04-20 | +611.80 | 20 bars |
| 2026-03-04 | +138.55 | 20 bars |
| 2026-01-31 | +1044.50 | 24 bars |
| 2025-12-30 | +474.58 | 46 bars |
| 2025-10-23 | -171.51 | 9 bars |
| 2025-10-11 | +616.49 | 18 bars |
| 2025-09-19 | +817.73 | 26 bars |
| 2025-08-15 | -175.15 | 10 bars |
| 2025-07-26 | -30.08 | 14 bars |
| 2025-06-20 | -87.24 | 7 bars |
| 2025-06-10 | +84.11 | 18 bars |
| 2025-05-13 | -547.05 | 6 bars |
| 2025-04-26 | +287.90 | 15 bars |
| 2025-04-04 | +622.37 | 29 bars |
| 2025-02-27 | -19.57 | 16 bars |
| 2025-02-04 | +440.38 | 23 bars |
| 2024-12-19 | -327.65 | 8 bars |
| 2024-11-27 | +26.47 | 8 bars |
| 2024-11-02 | +116.92 | 15 bars |
Listed as convention, not as established fact.
| Period | 2020-09-01 → 2026-09-23 |
| Parameters | {"step":0.02,"max":0.2} |
| Fees | 0.10% taker + 0.05% slippage, both legs |
| Starting capital | 10,000 USDT · long-only spot, no leverage |
| Rolling test | 365 bars × 62 start dates |
| Input hash | 381998b743659fcf |