Profitable Parabolic SAR

2019年2月13日

Introduction
As you know, Parabolic Stop and Reverse (SAR, PSAR) was originally developed by J. Welles Wilder and was described in his book "New Concepts in Technical Trading Systems" (1978). It derives its name from the fact that when charted, the pattern formed by the points resembles a parabola.

Mr. Wilder described it as "one of my favorite systems because it squeezes more profit out of an intermediate move than any method I know".

Interpretation
PSAR follows price and can be considered a trend following indicator. Once a downtrend reverses and starts up, PSAR follows prices like a trailing stop. Same is true for the opposite direction.
Due to its nature, PSAR continuosly protects on long and short positions.

Parameters
One of the key components of PSAR is the Acceleration Factor (AF). The AF is one of a progression of numbers beginning at 0.02 and ending at 0.2. The AF is increased by the increment of 0.02 each time that a new high is made until a value of 0.2 is reached.

Mr. Wilder used the next parameters

• Start: 0.02
• Increment: 0.02
• Maximum: 0.2

and they are default for the built-in PSAR indicator and its strategy.

But are these params really profitable? Mr. Wilder noticed that "I have tried many different acceleration factors on this system and have found that a consistent increase of 0.02 works best overall...the range for the incremental increase is between 0.018 and 0.021".
That was then, in 1978. Other times have come. Is our grandpa still right in his recommendations?

I made this tool to figure it out.

What is this tool?
This tool is a performance scanner that uses a decision tree-based algorithm under the hood to find the most profitable settings for PSAR. It analyzes a bunch of different Start (between 0.001 to 0.02) and Increment (between 0.001 to 0.03) parameters and backtests each combination across the entire history of an instrument. If the more profitable parameters were found, the indicator will switch its values to the found ones immediately.

Instead of manually selecting parameters, just relax - the algorithm will do it for you.

It doesn't touch the last parameter, Maximum, for two reasons.
First, as Mr. Wilder noticed in his book, "...the number of increases it takes to reach at least 0.2, but do not exceed 0.22". That is, the parameter sits in a very narrow range.
Second, I tested different maximums and I came to the conclusion that this parameter has a minimal impact on net profit, compared with the more significant parameters of start and increment.

Alerts
It has an alert that notifies when the more profitable settings were detected.

NOTE: It does not change what has already been plotted.

Good luck!

2019年2月14日

リリースノート

• Add a minor optimization fix
  

2019年3月10日

リリースノート

• Now it analyzes Start parameter between 0.001 to 0.04 with a decimal step of 0.001
• Now it analyzes Increment parameter between 0.001 to 0.04 with a decimal step of 0.001
• Made optimization fixes
  

2019年8月12日

リリースノート

• Added date range
  

2019年8月26日

リリースノート

• Security update
  

2019年9月1日

リリースノート

• Security update
  

2019年9月3日

リリースノート

• Security update
  

2019年9月4日

リリースノート

• Security update
  

2019年9月5日

リリースノート

• Security update
  

2019年9月7日

リリースノート

• Removed the end date for analysis
  

2019年9月25日

リリースノート

• Security update
  

2019年10月26日

リリースノート

• Security update
  
• Added commission customization
  

2019年12月23日

リリースノート

• Update
  

2019年12月23日

リリースノート

• Update
  

2020年6月1日

リリースノート

• Update
  

2020年9月30日

リリースノート

• Update
  

2020年9月30日

リリースノート

• Update. One input name fix
  

2020年12月15日

リリースノート

Update

• Added an option to choose a direction for optimization (Longs | Shorts | Longs & Shorts)