Guide · Trend following
Does Kaufman Adaptive MA work?
Across 375 stocks, Kaufman Adaptive MA cut the worst fall on 66%, beat buying and holding on risk-adjusted return on 11% and on raw return on 12%. Mixed: it helped on some kinds of stock and cost money on others, so where you use it matters.
What it predicts
An average that speeds up when price moves cleanly and slows down in chop. The trend is up while it is rising.
- In when KAMA (10, 2, 30) rises from the previous day.
- Out when it falls.
Trend following plays bet that prices that have been rising tend to keep rising for a while, and falls tend to keep falling. The family guide
How to use it
- It trades often (about 36 switches a year per stock), so costs, spreads and taxes eat into it more than the backtest's 0.05% per switch suggests.
- Expect to be wrong more often than right: only 24% of its calls worked. Its results come from the size of the winners, so following it means sitting through strings of small losses.
- It worked best on Industrials & rentals (33% beat holding on risk-adjusted return) and worst on Micro caps (0%).
- Use it as one input. Your signal combines the plays you count with the other factors you weight into one call.
When it worked
Kaufman Adaptive MA did best against holding in the COVID drop (+21% median gap) and worst in the 2020–21 rally (−30%). Median gap in return against holding the same stock (per year over stretches longer than 18 months; crypto excluded).
| 2008 crash | Recovery 2009–19 | COVID drop | 2020–21 rally | 2022 bear | Since Oct 2022 | |
|---|---|---|---|---|---|---|
| Kaufman Adaptive MA | +6% | −13% | +21% | −30% | +7% | −12% |
Where it worked
By kind of stock: how often it beat holding on risk-adjusted return, and the median Sharpe ratio gap.
| Group | Beat holding, risk-adjusted | Sharpe gap |
|---|---|---|
| Industrials & rentals | 33% | -0.50 |
| Financials | 19% | -0.21 |
| Energy & power | 19% | -0.24 |
| Software & devices | 18% | -0.31 |
| Healthcare | 11% | -0.24 |
| Real estate | 11% | -0.22 |
| Industrials & materials | 10% | -0.29 |
| Consumer & retail | 6% | -0.36 |
| Metals & mining | 4% | -0.35 |
| Sectors | 0% | -0.44 |
| Indexes & ETFs | 0% | -0.39 |
| Big tech | 0% | -0.33 |
| Semiconductors | 0% | -0.45 |
| Media & telecom | 0% | -0.36 |
| Micro caps | 0% | -0.27 |
Where it helped most
Sharpe ratio gap against holding, stocks with 3+ years of history
Right now
Kaufman Adaptive MA holds 177 of 377 names as of the Oct 13, 2026 close.
Changed its call in the last two weeks:
Backtest results since 2005 (or as long as each stock has traded), against holding the same stock over the same dates, after 0.05% per switch. Past results don't promise future ones. This analysis does not constitute trading advice. Please meet with an advisor or independently review sources before making any decision.