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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -33.0% (compared to the benchmark's drawdown of -42.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.0%, compared to a Buy-and-Hold benchmark return of 14.8%. The strategy executed 25 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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.
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PM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | -0.59% | 24.17% | 5.63% | 19.77% | 3.96% | 12.24% | 6.96% | 14.81% |
| Sharpe Ratio | -0.03 | 0.78 | 0.27 | 0.78 | 0.21 | 0.47 | 0.39 | 0.62 |
| Max Drawdown | -18.74% | -18.54% | -32.47% | -22.78% | -33.04% | -42.87% | -33.04% | -42.87% |
| % Time Invested | 63.5% | 100.0% | 72.7% | 100.0% | 65.4% | 100.0% | 69.8% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 1.8 | 0.0 | 1.8 | 0.0 | 1.5 | 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 | |
| 2026-01-20 | 2026-04-02 | Completed | 100% | $168.02 | $156.06 | -7.17% | Stop | |
| 2025-10-22 | 2026-01-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.89% | 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 | |
| 2024-04-25 | 2025-07-29 | Completed | 100% | $91.21 | $152.93 | 67.59% | Stop | |
| 2024-03-15 | 2024-04-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2024-01-18 | 2024-03-15 | Completed | 100% | $84.18 | $83.88 | -0.40% | Signal | |
| 2023-09-26 | 2024-01-18 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.68% | Interest Income | |
| 2023-08-03 | 2023-09-26 | Completed | 100% | $85.96 | $81.97 | -4.69% | Signal | |
| 2023-06-30 | 2023-08-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2022-11-25 | 2023-06-30 | Completed | 100% | $82.87 | $86.03 | 3.76% | Signal | |
| 2022-09-07 | 2022-11-25 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.83% | Interest Income | |
| 2022-08-05 | 2022-09-07 | Completed | 100% | $81.59 | $78.50 | -3.83% | Signal | |
| 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 | |
| 2022-01-18 | 2022-03-08 | Completed | 100% | $83.85 | $76.51 | -8.79% | Stop | |
| 2021-11-29 | 2022-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-09-10 | 2021-11-29 | Completed | 100% | $60.21 | $70.61 | 17.21% | Stop | |
| 2020-04-09 | 2020-09-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2020-04-06 | 2020-04-09 | Completed | 100% | $55.57 | $55.97 | 0.67% | Signal | |
| 2020-03-13 | 2020-04-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-10-21 | 2020-03-13 | Completed | 100% | $57.39 | $54.40 | -5.25% | Stop | |
| 2019-09-27 | 2019-10-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2019-09-20 | 2019-09-27 | Completed | 100% | $50.04 | $53.69 | 7.24% | Signal | |
| 2019-08-28 | 2019-09-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2019-08-13 | 2019-08-28 | Completed | 100% | $57.37 | $50.54 | -11.95% | Stop | |
| 2019-07-16 | 2019-08-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2019-06-25 | 2019-07-16 | Completed | 100% | $54.81 | $57.11 | 4.14% | Signal | |
| 2019-06-03 | 2019-06-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2019-01-17 | 2019-06-03 | Completed | 100% | $48.27 | $53.66 | 11.11% | Stop | |
| 2018-12-20 | 2019-01-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2018-11-30 | 2018-12-20 | Completed | 100% | $58.72 | $48.87 | -16.81% | Stop | |
| 2017-11-03 | 2018-11-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.98% | Interest Income | |
| 2017-01-26 | 2017-11-03 | Completed | 100% | $60.25 | $66.04 | 9.56% | Stop | |
| 2016-11-15 | 2017-01-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-06-10 | 2016-11-15 | Completed | 100% | $46.57 | $53.98 | 15.85% | Stop | |
| 2015-01-30 | 2015-06-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-05-23 | 2015-01-30 | Completed | 100% | $47.40 | $45.86 | -3.30% | Signal | |
| 2013-08-19 | 2014-05-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2013-03-08 | 2013-08-19 | Completed | 100% | $47.97 | $45.56 | -5.07% | Signal | |
| 2013-02-13 | 2013-03-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2013-01-30 | 2013-02-13 | Completed | 100% | $46.18 | $47.22 | 2.20% | Signal | |
| 2012-12-31 | 2013-01-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2011-10-27 | 2012-12-31 | Completed | 100% | $36.07 | $43.19 | 19.69% | Signal | |
| 2011-10-05 | 2011-10-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-07-15 | 2011-10-05 | Completed | 100% | $23.62 | $31.88 | 34.91% | Stop | |
| 2010-06-14 | 2010-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-06-01 | 2010-06-14 | Completed | 100% | $20.58 | $20.97 | 1.87% | Signal | |
| 2010-05-27 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |