Trend-Following Backtester · Guide · backtest 한국어

equity · US

Philip Morris International Inc backtest

10 trend-following strategies were compared on the full daily history of Philip Morris International Inc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.

Data 2008-03-17 ~ 2026-07-31daily bars 4,623 (18.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.6%, drawdown -51.2%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.5%, MDD -49.3%, Sharpe 0.43, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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
ROC 모멘텀
Hold-like · Exposure 99%
n=9, threshold=-0.14
7.5%-49.3%0.430.153.7x1799%
SMA 크로스오버
fast=138, slow=195
5.5%-45.9%0.400.122.7x2956%
볼린저 밴드 돌파
n=51, k=3.2
1.8%-13.9%0.360.131.4x128%
Donchian 채널 돌파
entryN=4, exitN=102
5.5%-46.6%0.360.122.7x5194%
ADX / DI 방향성
period=32, threshold=23
1.9%-16.3%0.310.121.4x2012%
EMA 크로스오버
fast=65, slow=231
3.2%-52.4%0.270.061.8x2159%
Supertrend
period=25, mult=3.2
2.9%-42.8%0.260.071.7x12157%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=11, mult=3.3
2.1%-24.5%0.260.091.5x5230%
MACD
fast=17, slow=41, signal=13
-0.8%-56.4%0.02-0.010.9x25151%
Parabolic SAR
step=0.01, maxStep=0.18
-1.8%-70.0%-0.03-0.030.7x25954%
Buy and hold7.6%-51.2%0.430.153.8x1100%
1x 2009 2012 2015 2018 2021 2024 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -13% -26% -38% -51% 2009 2012 2015 2018 2021 2024 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -49.3% (2008-08-12 → 2009-03-03), recovered after 938 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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