FINAXIONResearch
Finaxion Research · Kaufman’s adaptive moving average (KAMA) · single stocks · Recomputed 2026-09-10

Does Kaufman’s adaptive moving average (KAMA) work on ASML?

Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on ASML: -23.5 points a year over 31 years.

Total return
33.8%
Buy and hold
×964
CAGR
0.9%
Sharpe
0.07
Max drawdown
-92.6%
Trades
1120
Out of sample
overfit
Years
31
1×10×100×997×19961999200220052008201120142017202020232026
StrategyASML

Findings

  1. Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on ASML: -23.5 points a year over 31 years.
  2. Against the S&P 500 over the same window: -10.1 points a year.
  3. Total return +33.8% versus ×964 for buy-and-hold, with 1120 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -92.6%.
  6. It beats in neither half of the history (split at 2010).
  7. It ranks #118 of 235 markets for this strategy by annual excess over the S&P 500.

Findings derived from the full panel. Each carries its number and its denominator; the computations are reproducible with artifact 6540eaf5c46b.

Exactly what was tested

Close crosses above KAMA(10, 2, 30) → entry; close crosses below → exit.

How to read it

The verdict compares the strategy with buying and holding ASML over the same window, with round-trip costs per asset class. “Out of sample” is walk-forward: the rule is fit on one stretch and judged on the next. A result that beats in the full sample but not out of it is overfit. Full methodology in the protocol. How we test.

Open this backtest with its trades   Trades (CSV)

Every strategy on ASML → · Full page for Kaufman’s adaptive moving average (KAMA) →

How to cite

Finaxion Research (2026). Does Kaufman’s adaptive moving average (KAMA) work on ASML?. Daily backtest 1962-01-01–2026-08-31, artifact 6540eaf5c46b. https://finaxion.app/en/research/kama-adaptive-average/asml

Not a recommendation. Past performance does not guarantee future results.