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.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=9, threshold=-0.14 |
7.5% | -49.3% | 0.43 | 0.15 | 3.7x | 17 | 99% |
| SMA 크로스오버 fast=138, slow=195 |
5.5% | -45.9% | 0.40 | 0.12 | 2.7x | 29 | 56% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
1.8% | -13.9% | 0.36 | 0.13 | 1.4x | 12 | 8% |
| Donchian 채널 돌파 entryN=4, exitN=102 |
5.5% | -46.6% | 0.36 | 0.12 | 2.7x | 51 | 94% |
| ADX / DI 방향성 period=32, threshold=23 |
1.9% | -16.3% | 0.31 | 0.12 | 1.4x | 20 | 12% |
| EMA 크로스오버 fast=65, slow=231 |
3.2% | -52.4% | 0.27 | 0.06 | 1.8x | 21 | 59% |
| Supertrend period=25, mult=3.2 |
2.9% | -42.8% | 0.26 | 0.07 | 1.7x | 121 | 57% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=3.3 |
2.1% | -24.5% | 0.26 | 0.09 | 1.5x | 52 | 30% |
| MACD fast=17, slow=41, signal=13 |
-0.8% | -56.4% | 0.02 | -0.01 | 0.9x | 251 | 51% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-1.8% | -70.0% | -0.03 | -0.03 | 0.7x | 259 | 54% |
| Buy and hold | 7.6% | -51.2% | 0.43 | 0.15 | 3.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 9-day return is greater than -14%
- Sell — Sell when the 9-day return drops to -14% or below