Systematic trader and trading-systems author

Perry J. Kaufman

Perry J. Kaufman is an American systematic trader and author who began in aerospace, working on navigation and control systems including for Project Gemini, before moving into commodity futures. He has run trading systems at several firms, including Transworld Oil and Graham Capital Management. His book Trading Systems and Methods has gone through multiple editions since 1978.

What they argue

A moving average should change speed with market conditions: fast when price moves efficiently in one direction, slow when price is choppy and noisy.
The 'efficiency ratio' (net price change divided by the sum of absolute bar-to-bar changes) is a practical way to measure that noise.

Sources

Wikipedia: Perry J. Kaufman StockCharts ChartSchool: Kaufman's Adaptive Moving Average (KAMA)TA-Lib: KAMA (cites Smarter Trading, McGraw-Hill, 1995)

Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.

Books and papers

Commodity Trading Systems and Methods (1978)
The New Commodity Trading Systems and Methods (1987)
Smarter Trading: Improving Performance in Changing Markets (1995)
Trading Systems and Methods (6th edition) (2020)

The full reading list

Kaufman adaptive moving average (KAMA)

Rule and full record

Trend following · daily

An average that speeds up when price moves cleanly and slows down in chop. The trend is up while it is rising.

Calls right24%244,879 closed calls on 377 stocks.

Beat buy and hold (Sharpe)42 of 375On raw return: 45 of 375.

In right now177 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

POUIN TAIN DASHIN LACOUT GPROOUT ACOUT BTEIN CAROUT ETHOUT PEYIN EFXIN BBOUT All 377 stocks →