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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 ECHO?

Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on ECHO: -4.7 points a year over 19 years.

Total return
40.8%
Buy and hold
227.3%
CAGR
1.8%
Sharpe
0.09
Max drawdown
-80.0%
Trades
638
Out of sample
—
Years
19
1×2.8×200920112013201520172019202120232025
StrategyECHO

Findings

  1. Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on ECHO: -4.7 points a year over 19 years.
  2. Against the S&P 500 over the same window: -9.5 points a year.
  3. Total return +40.8% versus +227.3% for buy-and-hold, with 638 trades.
  4. Maximum drawdown -80.0%.
  5. It beat before 2017 and stopped afterwards.
  6. It ranks #108 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 ECHO 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 ECHO → · Full page for Kaufman’s adaptive moving average (KAMA) →

How to cite

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

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