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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -31.3% (compared to the benchmark's drawdown of -42.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 10.5%, compared to a Buy-and-Hold benchmark return of 14.8%. The strategy executed 21 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
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 Active
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
PM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 9.44% | 24.17% | 8.71% | 19.77% | 8.06% | 12.24% | 10.46% | 14.81% |
| Sharpe Ratio | 0.37 | 0.78 | 0.40 | 0.78 | 0.36 | 0.47 | 0.51 | 0.62 |
| Max Drawdown | -17.35% | -18.54% | -30.16% | -22.78% | -31.32% | -42.87% | -31.32% | -42.87% |
| % Time Invested | 81.0% | 100.0% | 76.6% | 100.0% | 79.6% | 100.0% | 83.6% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 1.8 | 0.0 | 1.5 | 0.0 | 1.3 | 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 | ||||||||
| 2026-04-02 | 2026-04-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-11-13 | 2026-04-02 | Completed | 100% | $151.66 | $156.06 | 2.85% | Stop | |
| 2025-10-22 | 2025-11-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2025-08-20 | 2025-10-22 | Completed | 100% | $164.06 | $147.94 | -9.87% | Stop | |
| 2025-07-29 | 2025-08-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-05-10 | 2025-07-29 | Completed | 100% | $91.30 | $152.93 | 67.42% | Stop | |
| 2024-04-15 | 2024-05-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2024-03-13 | 2024-04-15 | Completed | 100% | $85.89 | $81.83 | -4.78% | Stop | |
| 2023-12-01 | 2024-03-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.46% | Interest Income | |
| 2023-10-11 | 2023-12-01 | Completed | 100% | $84.13 | $83.23 | -1.12% | Signal | |
| 2023-05-26 | 2023-10-11 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.02% | Interest Income | |
| 2022-10-25 | 2023-05-26 | Completed | 100% | $73.85 | $79.58 | 7.71% | Signal | |
| 2022-10-03 | 2022-10-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2022-08-05 | 2022-10-03 | Completed | 100% | $81.59 | $71.17 | -12.81% | Stop | |
| 2022-07-14 | 2022-08-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2022-03-30 | 2022-07-14 | Completed | 100% | $77.14 | $74.40 | -3.59% | Stop | |
| 2022-03-08 | 2022-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2021-12-21 | 2022-03-08 | Completed | 100% | $74.94 | $76.51 | 2.05% | Stop | |
| 2021-11-29 | 2021-12-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-03-17 | 2021-11-29 | Completed | 100% | $68.28 | $70.61 | 3.37% | Stop | |
| 2021-01-20 | 2021-03-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-06 | 2021-01-20 | Completed | 100% | $55.57 | $62.85 | 13.04% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-17 | 2020-03-13 | Completed | 100% | $48.27 | $54.40 | 12.65% | Stop | |
| 2018-08-01 | 2019-01-17 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income | |
| 2018-05-14 | 2018-08-01 | Completed | 100% | $53.18 | $57.11 | 7.33% | Signal | |
| 2018-04-20 | 2018-05-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2017-11-28 | 2018-04-20 | Completed | 100% | $65.93 | $56.10 | -14.94% | Stop | |
| 2017-11-03 | 2017-11-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2016-12-08 | 2017-11-03 | Completed | 100% | $55.12 | $66.04 | 19.75% | Stop | |
| 2016-11-15 | 2016-12-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2015-02-17 | 2016-11-15 | Completed | 100% | $47.15 | $53.98 | 14.42% | Stop | |
| 2014-12-16 | 2015-02-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-10-27 | 2014-12-16 | Completed | 100% | $49.46 | $46.24 | -6.55% | Stop | |
| 2014-08-01 | 2014-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-06-02 | 2014-08-01 | Completed | 100% | $48.60 | $45.60 | -6.24% | Stop | |
| 2014-05-01 | 2014-06-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2014-02-24 | 2014-05-01 | Completed | 100% | $42.85 | $47.04 | 9.73% | Signal | |
| 2014-01-30 | 2014-02-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-10-27 | 2014-01-30 | Completed | 100% | $36.07 | $43.29 | 19.97% | Stop | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-10-05 | Completed | 100% | $20.58 | $31.88 | 54.88% | Stop | |
| 2010-05-27 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |