PM
Philip Morris International Inc
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for PM (Philip Morris International Inc) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.0% (compared to the benchmark's drawdown of -42.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.6%, compared to a Buy-and-Hold benchmark return of 14.8%. The strategy executed 63 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
PM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 13.19% | 24.17% | 11.15% | 19.77% | 7.99% | 12.24% | 10.59% | 14.81% |
| Sharpe Ratio | 0.59 | 0.78 | 0.55 | 0.78 | 0.42 | 0.47 | 0.59 | 0.62 |
| Max Drawdown | -15.89% | -18.54% | -22.37% | -22.78% | -25.02% | -42.87% | -25.02% | -42.87% |
| % Time Invested | 93.2% | 100.0% | 87.1% | 100.0% | 90.2% | 100.0% | 93.6% | 100.0% |
| Trades / Year | 5.0 | 0.0 | 5.0 | 0.0 | 4.5 | 0.0 | 3.9 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2026-01-30 | 2026-05-14 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.04% | Interest Income | |
| 2026-04-02 | 2026-04-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-03-13 | 2026-04-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2026-01-20 | 2026-04-02 | Completed | 33.33% | $168.02 | $156.06 | -7.17% | Stop | |
| 2025-11-13 | 2026-03-13 | Completed | 33.33% | $151.66 | $170.55 | 12.40% | Stop | |
| 2025-11-13 | 2026-01-30 | Completed | 33.33% | $151.66 | $174.82 | 15.21% | Signal | |
| 2025-12-08 | 2026-01-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2025-11-12 | 2025-12-08 | Completed | 33.33% | $152.21 | $143.74 | -5.61% | Stop | |
| 2025-10-22 | 2025-11-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2025-10-22 | 2025-11-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2025-10-09 | 2025-11-12 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2025-08-20 | 2025-10-22 | Completed | 33.33% | $164.06 | $147.94 | -9.87% | Stop | |
| 2024-05-10 | 2025-10-22 | Completed | 33.33% | $91.30 | $147.94 | 61.95% | Stop | |
| 2024-05-10 | 2025-10-09 | Completed | 33.33% | $91.30 | $151.26 | 65.59% | Signal | |
| 2025-07-29 | 2025-08-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-05-10 | 2025-07-29 | Completed | 33.33% | $91.30 | $152.93 | 67.42% | Stop | |
| 2024-04-15 | 2024-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2024-04-15 | 2024-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2024-04-12 | 2024-05-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2024-03-13 | 2024-04-15 | Completed | 33.33% | $85.89 | $81.83 | -4.78% | Stop | |
| 2024-03-13 | 2024-04-15 | Completed | 33.33% | $85.89 | $81.83 | -4.78% | Stop | |
| 2024-03-13 | 2024-04-12 | Completed | 33.33% | $85.89 | $81.69 | -4.94% | Signal | |
| 2024-01-11 | 2024-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income | |
| 2023-10-16 | 2024-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.18% | Interest Income | |
| 2023-09-18 | 2024-03-13 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.63% | Interest Income | |
| 2023-12-21 | 2024-01-11 | Completed | 33.33% | $83.43 | $85.28 | 2.16% | Signal | |
| 2023-06-20 | 2023-12-21 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.79% | Interest Income | |
| 2023-09-12 | 2023-10-16 | Completed | 33.33% | $83.33 | $82.96 | -0.51% | Signal | |
| 2023-04-04 | 2023-09-18 | Completed | 33.33% | $84.66 | $84.73 | 0.04% | Signal | |
| 2023-05-16 | 2023-09-12 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.73% | Interest Income | |
| 2023-04-18 | 2023-06-20 | Completed | 33.33% | $86.65 | $83.10 | -4.14% | Signal | |
| 2022-11-25 | 2023-05-16 | Completed | 33.33% | $82.87 | $82.19 | -0.87% | Signal | |
| 2023-03-24 | 2023-04-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2022-11-16 | 2023-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.71% | Interest Income | |
| 2022-10-20 | 2023-03-24 | Completed | 33.33% | $71.87 | $78.73 | 9.49% | Stop | |
| 2022-09-08 | 2022-11-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income | |
| 2022-10-21 | 2022-11-16 | Completed | 33.33% | $72.00 | $80.55 | 11.82% | Signal | |
| 2022-09-29 | 2022-10-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-09-28 | 2022-10-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-04-04 | 2022-09-29 | Completed | 33.33% | $79.03 | $73.66 | -6.84% | Stop | |
| 2022-08-03 | 2022-09-28 | Completed | 33.33% | $82.28 | $73.80 | -10.35% | Stop | |
| 2022-04-04 | 2022-09-08 | Completed | 33.33% | $79.03 | $78.68 | -0.49% | Signal | |
| 2022-07-12 | 2022-08-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2022-03-30 | 2022-07-12 | Completed | 33.33% | $77.14 | $77.76 | 0.76% | Stop | |
| 2022-03-11 | 2022-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-03-11 | 2022-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-03-08 | 2022-03-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2022-01-18 | 2022-03-11 | Completed | 33.33% | $83.85 | $74.95 | -10.65% | Stop | |
| 2021-12-23 | 2022-03-11 | Completed | 33.33% | $75.55 | $74.95 | -0.83% | Stop | |
| 2021-12-14 | 2022-03-08 | Completed | 33.33% | $73.27 | $76.51 | 4.37% | Stop | |
| 2021-12-01 | 2022-01-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-12-01 | 2021-12-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-11-19 | 2021-12-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-12-04 | 2021-12-01 | Completed | 33.33% | $59.74 | $69.71 | 16.62% | Stop | |
| 2020-08-21 | 2021-12-01 | Completed | 33.33% | $58.65 | $69.71 | 18.80% | Stop | |
| 2020-11-20 | 2021-11-19 | Completed | 33.33% | $58.64 | $73.60 | 25.45% | Stop | |
| 2020-07-01 | 2020-12-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-10-29 | 2020-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-06-09 | 2020-10-29 | Completed | 33.33% | $56.81 | $53.00 | -6.77% | Stop | |
| 2020-04-23 | 2020-08-21 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2020-04-06 | 2020-07-01 | Completed | 33.33% | $55.57 | $52.52 | -5.53% | Signal | |
| 2020-05-15 | 2020-06-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2020-05-15 | Completed | 33.33% | $55.57 | $50.60 | -8.99% | Stop | |
| 2020-04-06 | 2020-04-23 | Completed | 33.33% | $55.57 | $53.86 | -3.13% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-10-18 | 2020-03-13 | Completed | 33.33% | $57.11 | $54.40 | -4.79% | Stop | |
| 2019-09-20 | 2020-03-13 | Completed | 33.33% | $50.04 | $54.40 | 8.66% | Stop | |
| 2019-01-17 | 2020-03-13 | Completed | 33.33% | $48.27 | $54.40 | 12.65% | Stop | |
| 2019-08-08 | 2019-10-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2019-08-28 | 2019-09-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-07-03 | 2019-08-28 | Completed | 33.33% | $56.20 | $50.54 | -10.12% | Stop | |
| 2019-04-09 | 2019-08-08 | Completed | 33.33% | $59.00 | $57.22 | -3.06% | Signal | |
| 2019-06-11 | 2019-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2019-01-17 | 2019-06-11 | Completed | 33.33% | $48.27 | $53.42 | 10.62% | Signal | |
| 2019-01-25 | 2019-04-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2019-01-15 | 2019-01-25 | Completed | 33.33% | $47.41 | $49.27 | 3.88% | Signal | |
| 2018-08-27 | 2019-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income | |
| 2018-01-29 | 2019-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.97% | Interest Income | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-10-18 | 2018-12-20 | Completed | 33.33% | $57.91 | $48.87 | -15.64% | Stop | |
| 2017-10-25 | 2018-10-18 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.73% | Interest Income | |
| 2018-05-14 | 2018-08-27 | Completed | 33.33% | $53.18 | $53.11 | -0.20% | Signal | |
| 2018-04-20 | 2018-05-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2017-11-22 | 2018-04-20 | Completed | 33.33% | $66.31 | $56.10 | -15.43% | Stop | |
| 2017-03-31 | 2018-01-29 | Completed | 33.33% | $71.50 | $71.00 | -0.75% | Signal | |
| 2017-10-31 | 2017-11-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2016-12-07 | 2017-10-31 | Completed | 33.33% | $54.48 | $67.16 | 23.23% | Stop | |
| 2017-01-26 | 2017-10-25 | Completed | 33.33% | $60.25 | $69.51 | 15.31% | Signal | |
| 2017-02-01 | 2017-03-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-09-17 | 2017-02-01 | Completed | 33.33% | $48.06 | $59.66 | 24.07% | Signal | |
| 2016-10-24 | 2017-01-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2016-11-14 | 2016-12-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-04-08 | 2016-11-14 | Completed | 33.33% | $44.82 | $55.03 | 22.70% | Stop | |
| 2015-06-19 | 2016-10-24 | Completed | 33.33% | $47.79 | $59.71 | 24.88% | Signal | |
| 2015-04-10 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2015-02-23 | 2015-06-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-08-25 | 2015-04-10 | Completed | 33.33% | $47.22 | $45.04 | -4.67% | Signal | |
| 2014-12-16 | 2015-04-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-11-10 | 2015-02-23 | Completed | 33.33% | $49.41 | $47.15 | -4.63% | Signal | |
| 2014-10-27 | 2014-12-16 | Completed | 33.33% | $49.46 | $46.24 | -6.55% | Stop | |
| 2014-10-10 | 2014-11-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-06-27 | 2014-10-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-05-28 | 2014-10-10 | Completed | 33.33% | $47.81 | $47.47 | -0.75% | Signal | |
| 2014-08-01 | 2014-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-06-02 | 2014-08-01 | Completed | 33.33% | $48.60 | $45.60 | -6.24% | Stop | |
| 2014-02-24 | 2014-06-27 | Completed | 33.33% | $42.85 | $47.91 | 11.77% | Signal | |
| 2013-11-19 | 2014-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2014-02-05 | 2014-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-01-30 | 2014-02-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2013-12-11 | 2014-02-05 | Completed | 33.33% | $46.26 | $41.64 | -10.04% | Signal | |
| 2013-09-23 | 2014-01-30 | Completed | 33.33% | $47.96 | $43.29 | -9.78% | Stop | |
| 2013-08-13 | 2013-12-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2010-06-01 | 2013-11-19 | Completed | 33.33% | $20.58 | $49.19 | 138.93% | Signal | |
| 2013-08-29 | 2013-09-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-26 | 2013-08-29 | Completed | 33.33% | $35.04 | $44.19 | 26.04% | Stop | |
| 2013-03-11 | 2013-08-13 | Completed | 33.33% | $47.46 | $46.95 | -1.14% | Signal | |
| 2013-01-03 | 2013-03-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-11-28 | 2013-01-03 | Completed | 33.33% | $36.22 | $45.39 | 25.27% | Signal | |
| 2011-11-03 | 2011-11-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-09-02 | 2011-11-03 | Completed | 33.33% | $25.22 | $35.26 | 39.75% | Signal | |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-10-04 | Completed | 33.33% | $20.58 | $30.73 | 49.29% | Stop | |
| 2010-07-01 | 2010-09-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2010-06-01 | 2010-07-01 | Completed | 33.33% | $20.58 | $21.79 | 5.84% | Signal | |
| 2010-05-27 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-05-27 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-05-27 | 2010-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |