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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 WTW?

Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on WTW: -12.6 points a year over 25 years.

Total return
-38.4%
Buy and hold
×13
CAGR
-1.9%
Sharpe
-0.24
Max drawdown
-67.5%
Trades
923
Out of sample
overfit
Years
25
1×10×2002200420062008201020122014201620182020202220242026
StrategyWTW

Findings

  1. Kaufman’s adaptive moving average (KAMA) does not beat buy-and-hold on WTW: -12.6 points a year over 25 years.
  2. Against the S&P 500 over the same window: -11.3 points a year.
  3. Total return -38.4% versus ×13 for buy-and-hold, with 923 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -67.5%.
  6. It beats in neither half of the history (split at 2014).
  7. It ranks #152 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 WTW 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 WTW → · Full page for Kaufman’s adaptive moving average (KAMA) →

How to cite

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

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