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

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

Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on CFG: -14.2 points a year over 12 years.

Total return
-8.5%
Buy and hold
349.9%
CAGR
-0.7%
Sharpe
-0.10
Max drawdown
-45.7%
Trades
428
Out of sample
—
Years
12
1×2.8×4.8×201520162017201820192020202120222023202420252026
StrategyCFG

Findings

  1. Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on CFG: -14.2 points a year over 12 years.
  2. Against the S&P 500 over the same window: -14.5 points a year.
  3. Total return -8.5% versus +349.9% for buy-and-hold, with 428 trades.
  4. Maximum drawdown -45.7%.
  5. It beats in neither half of the history (split at 2020).
  6. It ranks #205 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 CFG 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 CFG → · Full page for Kaufman’s adaptive moving average (KAMA) →

How to cite

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

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