Trend following · daily rule · Indexes & ETFs
Kaufman Adaptive MA on S&P 500 ETF
What the play says
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SPY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +0.6% | +11.0% | +3.2% | +13.9% |
| Total return | +15% | +861% | +17% | +91% |
| Worst drawdown | −47.7% | −55.2% | −19.6% | −24.5% |
| Volatility | 11.0% | 18.9% | 10.6% | 17.1% |
| Sharpe ratio | −0.05 | 0.55 | −0.01 | 0.62 |
| Time invested | 65% | 100% | ||
| Switches per year | 38.4 | 0 |
Every call, graded
Right on 205 of 839 closed calls (24%). In calls averaged +0.1%; out calls saw SPY move +0.5% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 2, 2026 | IN | $769.64 | now | +1.1% | open |
| Sep 28, 2026 | OUT | $765.61 | Oct 2, 2026 | +0.5% | ✕ wrong |
| Sep 21, 2026 | IN | $773.50 | Sep 28, 2026 | −1.0% | ✕ wrong |
| Sep 8, 2026 | OUT | $764.06 | Sep 21, 2026 | +1.2% | ✕ wrong |
| Sep 3, 2026 | IN | $771.25 | Sep 8, 2026 | −0.9% | ✕ wrong |
| Aug 31, 2026 | OUT | $765.15 | Sep 3, 2026 | +0.8% | ✕ wrong |
| Aug 27, 2026 | IN | $769.19 | Aug 31, 2026 | −0.5% | ✕ wrong |
| Aug 18, 2026 | OUT | $765.55 | Aug 27, 2026 | +0.5% | ✕ wrong |
| Jul 31, 2026 | IN | $745.18 | Aug 18, 2026 | +2.7% | ✓ right |
| Jul 23, 2026 | OUT | $736.35 | Jul 31, 2026 | +1.2% | ✕ wrong |
| Jul 21, 2026 | IN | $746.43 | Jul 23, 2026 | −1.3% | ✕ wrong |
| Jul 17, 2026 | OUT | $741.45 | Jul 21, 2026 | +0.7% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 840 calls shown.
How the play works
- In when KAMA (10, 2, 30) rises from the previous day.
- Out when it falls.
Kaufman also filters small turns with a volatility threshold, which is left out here.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.