TREND-11 · Trend Following

Kaufman Adaptive Moving Average

Perry Kaufman's Adaptive Moving Average (KAMA). Uses Efficiency Ratio to dynamically adjust smoothing. Fast in trends, slow in chop. Reduces whipsaws compared to fixed MAs.

TrendAdaptiveMA

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At a glance

Best onMarkets with varying trend strength

Signal frequencyDaily

Typical holding periodWeeks

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 2 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 9 of 10 markets.
Best market by Sharpe ratio: GLD (Sharpe 0.84, CAGR 10.5%).
Weakest market: UNG (Sharpe -0.28, CAGR -17.2%).

Equity curve

Kaufman Adaptive Moving Average Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 25.0SPY, 5 years

Return quality · 30%21

Drawdown control · 25%24

Consistency · 20%23

Robustness · 15%9

Significance · 10%69

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market55%

Ulcer index7.5%

Longest drawdown812 days

Daily VaR (95%)-1.07%

Probability Sharpe > 069%

Beta vs buy & hold0.30

Alpha (annual)-1.6%

Positive months42%

CAGR after 10 bp costs-1.4%

Deflated Sharpe (luck-adjusted)16%

CAGR, 90% bootstrap range-5.7% to 9.4%

Max drawdown, 90% bootstrap range-33.1% to -10.2%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-3.6%	-19.2%
COVID crash (Feb–Mar 2020)	-1.4%	-33.7%
2022 bear market	-6.2%	-24.5%
Market above its 200-day average (annualized) · 81%	+2.3%	+12.5%
Market below its 200-day average (annualized) · 19%	+8.9%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	0.64
Same parameters in the following 6 months, when traded (Sharpe)	0.49
Default parameters over the same months (Sharpe)	0.50
Parameter re-selections / changes	28 / 14
Parameter settings with a positive Sharpe (full history)	9 of 9
Sharpe across settings: worst / median / best	0.43 / 0.49 / 0.53

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 9 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
GLDSPDR Gold Shares	10.5%	16.4%	0.84	-17.0%	-28.3%	13.3%	59
USOUnited States Oil Fund	12.7%	20.2%	0.61	-32.2%	-36.2%	24.8%	72
SLViShares Silver Trust	11.9%	15.2%	0.57	-44.3%	-57.8%	26.9%	67
DBAInvesco DB Agriculture	4.1%	8.8%	0.51	-12.8%	-15.9%	9.0%	64
DBCInvesco DB Commodity Index	3.6%	10.8%	0.34	-28.0%	-27.3%	12.8%	50
SPYSPDR S&P 500	1.6%	11.6%	0.20	-15.7%	-24.5%	9.5%	25
BTC-USDBitcoin	-0.6%	2.6%	0.09	-50.8%	-75.9%	24.1%	30
EURUSD=XEUR/USD	-0.8%	-0.7%	-0.12	-10.6%	-17.2%	5.0%	35
ETH-USDEthereum	-12.3%	-15.1%	-0.13	-59.0%	-79.0%	32.4%	24
UNGUnited States Natural Gas	-17.2%	-30.7%	-0.28	-77.8%	-93.3%	39.1%	34

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	-4.9%	-4.9%	-0.62	-0.57	-8.6%	23%	31
3 years	+18.3%	5.8%	0.76	0.78	-10.3%	34%	97
5 years	+8.5%	1.6%	0.20	0.21	-15.7%	29%	150
Full history	+78.4%	3.5%	0.42	0.40	-20.1%	31%	494

Rules

Entry

Buy when Price > KAMA and KAMA rising

Exit

Sell when Price < KAMA

Indicators

Efficiency Ratio = |Price Change| / Sum of |Daily Changes|
Smoothing Constant = (ER * (Fast - Slow) + Slow)^2
KAMA = KAMA[-1] + SC * (Price - KAMA[-1])

Inputs

ER_Period = 10
Fast = 2
Slow = 30

Position sizing

Fixed 100% allocation

Risk controls

Adaptive nature reduces false signals

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Perry Kaufman's Trading Systems and Methods
Efficiency Ratio measures trend vs noise
ER = 1 means perfect trend, ER = 0 means pure noise

Related strategies

HMA-01 · SPY 5Y Sharpe 0.06HMA Crossover ADX-01 · SPY 5Y Sharpe 0.43ADX Trend Filter COMBO-04 · SPY 5Y Sharpe 0.38Trend + Mean Reversion Hybrid EVENT-01 · SPY 5Y Sharpe 0.89Trend + Macro Filter KC-01 · SPY 5Y Sharpe 0.67Keltner Channel Breakout MOM-01 · EURUSD=X 5Y Sharpe 0.19Time-Series Momentum

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.