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%).
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=111 |
8.9% | -59.8% | 0.43 | 0.15 | 12.6x | 61 | 55% |
| Donchian 채널 돌파 entryN=15, exitN=66 |
9.1% | -66.5% | 0.42 | 0.14 | 13.2x | 81 | 80% |
| ADX / DI 방향성 period=30, threshold=26 |
3.9% | -28.8% | 0.40 | 0.14 | 3.2x | 30 | 7% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=25, mult=3.6 |
5.4% | -59.3% | 0.37 | 0.09 | 4.8x | 68 | 20% |
| MACD fast=54, slow=92, signal=33 |
6.1% | -87.1% | 0.34 | 0.07 | 5.8x | 144 | 55% |
| EMA 크로스오버 fast=39, slow=46 |
5.7% | -77.8% | 0.33 | 0.07 | 5.2x | 94 | 55% |
| ROC 모멘텀 n=99, threshold=-0.06 |
3.7% | -89.1% | 0.28 | 0.04 | 2.9x | 263 | 64% |
| Supertrend period=10, mult=3.4 |
3.7% | -90.7% | 0.27 | 0.04 | 3.0x | 177 | 51% |
| 볼린저 밴드 돌파 n=26, k=3.1 |
2.0% | -56.2% | 0.23 | 0.03 | 1.8x | 40 | 8% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.9% | -92.5% | 0.13 | -0.01 | 0.8x | 269 | 53% |
| Buy and hold | 5.0% | -90.7% | 0.35 | 0.06 | 4.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 48-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 48-day average falls below the 111-day average