Parabolic SAR Trend-Following System with Long and Short Signals

Summary

This system uses Parabolic SAR to identify potential changes in direction and trade both long and short. It enters long when SAR crosses below the closing price and short when SAR crosses above it. The stated default SAR settings are a start value of 0.02, an increment of 0.02, and a maximum of 0.2; the indicator also serves as a moving stop reference and is plotted with colors for direction.

The document describes the rules and risks but gives no performance results. Its published backtest settings specify daily BTC/USDT futures data from late 2019 to late 2024. The strategy may repeatedly reverse during sideways markets, and fast markets can add slippage. Outcomes depend on the chosen parameters, and sudden reversals can cause drawdowns. The document recommends testing and risk controls before live use; it does not provide evidence that the strategy is profitable.

Key ideas

• A close crossing above SAR generates a long signal, while a crossing below SAR generates a short signal.
• The stated default SAR parameters are 0.02 for the start and increment and 0.2 for the maximum.
• The SAR level adjusts with price and can act as a dynamic reference for exiting positions.
• Sideways conditions can generate false signals, and fast markets can increase slippage.
• The published backtest configuration uses daily BTC/USDT futures data, but no performance statistics are reported.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.