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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 MTD?

Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on MTD: -14.7 points a year over 29 years.

Total return
97.3%
Buy and hold
×94
CAGR
2.4%
Sharpe
0.04
Max drawdown
-67.2%
Trades
1009
Out of sample
overfit
Years
29
1×10×100×114×1998200120042007201020132016201920222025
StrategyMTD

Findings

  1. Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on MTD: -14.7 points a year over 29 years.
  2. Against the S&P 500 over the same window: -7.1 points a year.
  3. Total return +97.3% versus ×94 for buy-and-hold, with 1009 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -67.2%.
  6. It beats in neither half of the history (split at 2012).
  7. It ranks #74 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 MTD 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 MTD → · Full page for Kaufman’s adaptive moving average (KAMA) →

How to cite

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

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