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David Mesíček
• Dec 19
Research results from recent SSRN study:
Parabolic SAR was tested on BTCUSDT across 1H and 1D timeframes in BUYONLY, SELLONLY, and BOTH execution modes versus buy-and-hold. In continuous deployment, SAR is unstable: SELLONLY consistently destroys capital due to BTC’s structural long bias, BOTH collapses under frequent whipsaws, and BUYONLY experiences deep drawdowns despite capturing major bull phases.
Only after strict calibration (Monday/Wednesday/Friday, 15:00–19:00 UTC) does the BUYONLY model reach acceptable risk-adjusted performance, confirming that SAR requires strong contextual filters rather than standalone use. 👉 SSRN article
quantitativeresearchtechnicalanalysiscryptomarkets
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David Mesíček
• Dec 18
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Parabolic SAR performance on BTC (1H vs 1D)
Short research on how Parabolic SAR behaves on BTC across intraday (1H) and daily (1D) timeframes.
The analysis...
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