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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 JBL?

Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on JBL: -11.9 points a year over 33 years.

Total return
×13
Buy and hold
×413
CAGR
7.9%
Sharpe
0.29
Max drawdown
-73.7%
Trades
1210
Out of sample
partly
Years
33
1×10×100×492×19941997200020032006200920122015201820212024
StrategyJBL

Findings

  1. Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on JBL: -11.9 points a year over 33 years.
  2. Against the S&P 500 over the same window: -3.0 points a year.
  3. Total return ×13 versus ×413 for buy-and-hold, with 1210 trades.
  4. The result holds only partly out of sample.
  5. Maximum drawdown -73.7%.
  6. It beats in neither half of the history (split at 2009).
  7. It ranks #35 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 JBL 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 JBL → · Full page for Kaufman’s adaptive moving average (KAMA) →

How to cite

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

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