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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 CMG?

Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on CMG: -9.0 points a year over 21 years.

Total return
768.2%
Buy and hold
×43
CAGR
11.1%
Sharpe
0.37
Max drawdown
-53.6%
Trades
687
Out of sample
partly
Years
21
1×10×73×2007200920112013201520172019202120232025
StrategyCMG

Findings

  1. Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on CMG: -9.0 points a year over 21 years.
  2. Against the S&P 500 over the same window: -0.0 points a year.
  3. Total return +768.2% versus ×43 for buy-and-hold, with 687 trades.
  4. The result holds only partly out of sample.
  5. Maximum drawdown -53.6%.
  6. It beats in neither half of the history (split at 2016).
  7. It ranks #20 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 CMG 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 CMG → · Full page for Kaufman’s adaptive moving average (KAMA) →

How to cite

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

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