Trend-Following Backtester · Guide · backtest 한국어

equity · US

NOV Inc. backtest

10 trend-following strategies were compared on the full daily history of NOV Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -28.8%).

Data 1996-10-29 ~ 2026-07-31daily bars 7,485 (29.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 5.0%, drawdown -90.7%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -59.8%, Sharpe 0.43, 55% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -66.5%, exposure 80%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 3.9%, MDD -28.8%, exposure 7%).

The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.

Strategy · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=48, slow=111
8.9%-59.8%0.430.1512.6x6155%
Donchian 채널 돌파
entryN=15, exitN=66
9.1%-66.5%0.420.1413.2x8180%
ADX / DI 방향성
period=30, threshold=26
3.9%-28.8%0.400.143.2x307%
Keltner 채널 돌파
emaPeriod=46, atrPeriod=25, mult=3.6
5.4%-59.3%0.370.094.8x6820%
MACD
fast=54, slow=92, signal=33
6.1%-87.1%0.340.075.8x14455%
EMA 크로스오버
fast=39, slow=46
5.7%-77.8%0.330.075.2x9455%
ROC 모멘텀
n=99, threshold=-0.06
3.7%-89.1%0.280.042.9x26364%
Supertrend
period=10, mult=3.4
3.7%-90.7%0.270.043.0x17751%
볼린저 밴드 돌파
n=26, k=3.1
2.0%-56.2%0.230.031.8x408%
Parabolic SAR
step=0.005, maxStep=0.38
-0.9%-92.5%0.13-0.010.8x26953%
Buy and hold5.0%-90.7%0.350.064.3x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파SMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -23% -45% -68% -91% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파SMA 크로스오버
SMA 크로스오버 maximum drawdown -59.8% (1997-11-06 → 1999-06-28), recovered after 1,639 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next