Strategy Analytics

Corn KAMA — Kaufman's Adaptive Moving Average

The same trend system as the Corn MA page with KAMA in place of the SMA, swept over the same 30–120 grid, to answer whether an adaptive average beats a fixed window on Corn.

Instrument

Corn Futures (ZC=F)

History

2000-07-17 → 2026-07-30

ER Lookback Grid

30→70 step 3, then 70→120 step 5 (25 periods)

Adaptive Range

fast 2 / slow 30 (SC 0.065–0.667)

Does KAMA beat SMA on Corn?

Client 2026-07-30 added Sortino and Calmar beside Sharpe, and they are worth checking against each other here: if KAMA were losing on Sharpe purely because Sharpe punishes upside volatility, its Sortino win rate would be visibly higher. Measured across all 50 cells of the grid (25 periods × 2 systems), not at the best single period. Each card shows how often KAMA is the better of the two and the median of each side. For max drawdown, “better” means shallower.

Sharpe — KAMA win rate

20%

KAMA better in 10 of 50 cells

median KAMA 0.015 vs SMA 0.083

Sortino — KAMA win rate

22%

KAMA better in 11 of 50 cells

median KAMA 0.021 vs SMA 0.118

Calmar — KAMA win rate

22%

KAMA better in 11 of 50 cells

median KAMA 0.004 vs SMA 0.025

CAGR — KAMA win rate

20%

KAMA better in 10 of 50 cells

median KAMA 0.3% vs SMA 1.8%

Max Drawdown — KAMA win rate

34%

KAMA better in 17 of 50 cells

median KAMA -75.7% vs SMA -70.2%

Reading of the result: on Corn the adaptive average does not improve on the plain SMA. KAMA has the better Sharpe in 10 of 50 cells, the better CAGR in 10, and a shallower drawdown in 17; the median Sharpe is 0.015 against the SMA's 0.083. KAMA also trades more often, because speeding up in a trend also means reacting to moves that turn out to be noise. The fast/slow pair here is Kaufman's published 2/30; slowing either constant made the result worse, not better, so this is the most favourable setting tested rather than a handicap.

1. KAMA vs SMA By Period

KAMA is an EMA whose smoothing constant is driven by Kaufman's efficiency ratio: ER = |net move over the lookback| ÷ |sum of the individual moves|, so ER → 1 in a clean trend and → 0 in chop, and the constant is (ER × (fast − slow) + slow)². Entry when the average turns up, exit when it turns down — System A goes flat, System B reverses short. Identical rule, history and equity convention to the Corn MA page, so the only thing that changes is the average itself.

Direction

On this direction KAMA has the higher Sharpe at 6 of 25 lookbacks. Best KAMA is ER 51 at Sharpe 0.21; best SMA is period 45 at 0.35.

Total Return — KAMA vs SMA, same period grid

Percentage return on a compounding equity curve. For KAMA the x-axis is the efficiency-ratio lookback; for SMA it is the moving-average window.

Sharpe — KAMA vs SMA

Max Drawdown — KAMA vs SMA

Period	KAMA CAGR	SMA CAGR	KAMA Max DD	SMA Max DD	KAMA Sharpe	SMA Sharpe	KAMA Sortino	SMA Sortino	KAMA Calmar	SMA Calmar	KAMA Trades	SMA Trades	Winner
30	1.5%	4.2%	-69.1%	-69.9%	0.07	0.20	0.11	0.29	0.02	0.06	303	244	SMA
33	3.4%	2.8%	-63.2%	-64.1%	0.17	0.13	0.24	0.19	0.05	0.04	285	221	KAMA
36	2.4%	2.6%	-69.1%	-62.6%	0.12	0.13	0.18	0.18	0.03	0.04	280	204	SMA
39	2.5%	3.7%	-67.5%	-54.3%	0.13	0.18	0.18	0.25	0.04	0.07	271	216	SMA
42	2.4%	6.2%	-69.0%	-53.0%	0.12	0.33	0.17	0.48	0.03	0.12	259	207	SMA
45	2.5%	6.9%	-68.1%	-50.0%	0.13	0.35	0.18	0.51	0.04	0.14	256	190	SMA
48	3.7%	6.8%	-61.7%	-56.2%	0.19	0.34	0.27	0.49	0.06	0.12	242	183	SMA
51	4.1%	4.5%	-59.1%	-63.6%	0.21	0.22	0.30	0.32	0.07	0.07	232	198	SMA
54	3.8%	2.3%	-56.7%	-74.1%	0.20	0.11	0.28	0.16	0.07	0.03	228	186	KAMA
57	3.2%	3.4%	-61.8%	-70.4%	0.17	0.17	0.23	0.23	0.05	0.05	230	198	SMA
60	2.5%	2.2%	-68.2%	-75.6%	0.13	0.11	0.18	0.15	0.04	0.03	229	190	KAMA
63	2.2%	2.1%	-66.1%	-79.4%	0.11	0.10	0.16	0.14	0.03	0.03	225	168	KAMA
66	1.4%	3.1%	-69.8%	-73.7%	0.07	0.15	0.10	0.21	0.02	0.04	228	161	SMA
69	1.8%	3.3%	-68.8%	-69.2%	0.09	0.16	0.13	0.22	0.03	0.05	226	176	SMA
70	2.1%	5.1%	-68.4%	-54.7%	0.11	0.25	0.15	0.35	0.03	0.09	223	178	SMA
75	0.6%	4.6%	-74.5%	-47.6%	0.03	0.23	0.04	0.33	0.01	0.10	230	151	SMA
80	0.7%	2.2%	-74.2%	-60.4%	0.04	0.11	0.05	0.16	0.01	0.04	230	155	SMA
85	0.3%	1.5%	-78.0%	-61.2%	0.02	0.07	0.02	0.11	0.00	0.02	226	150	SMA
90	-0.3%	0.5%	-76.1%	-71.5%	-0.02	0.03	-0.02	0.04	-0.00	0.01	230	155	SMA
95	-0.5%	0.8%	-77.1%	-60.8%	-0.02	0.04	-0.03	0.05	-0.01	0.01	236	140	SMA
100	0.1%	1.3%	-73.1%	-64.8%	0.00	0.06	0.01	0.09	0.00	0.02	218	134	SMA
105	0.7%	1.8%	-73.6%	-55.4%	0.03	0.09	0.05	0.13	0.01	0.03	215	138	SMA
110	0.8%	2.4%	-75.2%	-57.4%	0.04	0.12	0.06	0.17	0.01	0.04	202	128	SMA
115	0.4%	-1.2%	-74.2%	-69.8%	0.02	-0.06	0.03	-0.08	0.01	-0.02	200	120	KAMA
120	0.7%	-1.3%	-75.3%	-74.2%	0.04	-0.06	0.05	-0.09	0.01	-0.02	191	136	KAMA

“Winner” compares Sharpe at the same period. Both sides are computed from the same Corn price history in the same run, with the same entry/exit rule and the same compounding equity convention — the only difference is the moving average.

2. Risk Metrics — KAMA Base System

CAGR, total return, max drawdown, Sharpe and trade count for every ER lookback and both systems, on a compounding equity curve over 6,514 daily bars. System A = Long Only, System B = Long & Short (stop-and-reverse). No stop loss, no profit target, no time stop and no volatility filter — this is the plain KAMA system on its own.

KAMA — Adaptive Slope

ER lookback grid 30→70 step 3, then 70→120 step 5. Exit/reverse when the KAMA slope flips.

ER Lookback	A: CAGR	A: Total Return	A: Max DD	A: Sharpe	A: Sortino	A: Calmar	A: Trades	B: CAGR	B: Total Return	B: Max DD	B: Sharpe	B: Sortino	B: Calmar	B: Trades
30	1.5%	45.6%	-69.1%	0.07	0.11	0.02	303	-3.7%	-62.0%	-88.9%	-0.14	-0.20	-0.04	605
33	3.4%	134.5%	-63.2%	0.17	0.24	0.05	285	0.2%	4.6%	-83.2%	0.01	0.01	0.00	569
36	2.4%	84.9%	-69.1%	0.12	0.18	0.03	280	-1.5%	-31.9%	-86.0%	-0.06	-0.08	-0.02	559
39	2.5%	90.1%	-67.5%	0.13	0.18	0.04	271	-1.3%	-29.1%	-84.7%	-0.05	-0.07	-0.02	541
42	2.4%	83.7%	-69.0%	0.12	0.17	0.03	259	-1.9%	-39.2%	-84.7%	-0.07	-0.10	-0.02	517
45	2.5%	91.0%	-68.1%	0.13	0.18	0.04	256	-1.5%	-32.6%	-82.8%	-0.06	-0.08	-0.02	511
48	3.7%	158.3%	-61.7%	0.19	0.27	0.06	242	0.9%	25.0%	-75.4%	0.03	0.05	0.01	483
51	4.1%	182.7%	-59.1%	0.21	0.30	0.07	232	1.8%	57.5%	-71.8%	0.07	0.10	0.02	463
54	3.8%	162.9%	-56.7%	0.20	0.28	0.07	228	1.4%	44.1%	-68.3%	0.05	0.08	0.02	455
57	3.2%	127.2%	-61.8%	0.17	0.23	0.05	230	0.3%	9.1%	-76.6%	0.01	0.02	0.00	459
60	2.5%	88.0%	-68.2%	0.13	0.18	0.04	229	-1.1%	-25.4%	-82.3%	-0.04	-0.06	-0.01	457
63	2.2%	74.5%	-66.1%	0.11	0.16	0.03	225	-1.5%	-32.4%	-79.2%	-0.06	-0.08	-0.02	449
66	1.4%	41.5%	-69.8%	0.07	0.10	0.02	228	-3.1%	-55.4%	-83.3%	-0.12	-0.16	-0.04	455
69	1.8%	58.1%	-68.8%	0.09	0.13	0.03	226	-2.5%	-47.4%	-83.0%	-0.09	-0.13	-0.03	451
70	2.1%	70.9%	-68.4%	0.11	0.15	0.03	223	-1.9%	-38.7%	-82.5%	-0.07	-0.10	-0.02	445
75	0.6%	16.7%	-74.5%	0.03	0.04	0.01	230	-4.4%	-69.0%	-88.7%	-0.17	-0.24	-0.05	459
80	0.7%	21.2%	-74.2%	0.04	0.05	0.01	230	-4.3%	-68.3%	-89.6%	-0.17	-0.23	-0.05	459
85	0.3%	9.1%	-78.0%	0.02	0.02	0.00	226	-5.0%	-73.3%	-91.7%	-0.19	-0.27	-0.05	451
90	-0.3%	-8.3%	-76.1%	-0.02	-0.02	-0.00	230	-6.3%	-81.2%	-91.5%	-0.24	-0.34	-0.07	459
95	-0.5%	-11.3%	-77.1%	-0.02	-0.03	-0.01	236	-6.3%	-81.2%	-91.7%	-0.24	-0.34	-0.07	471
100	0.1%	2.2%	-73.1%	0.00	0.01	0.00	218	-5.2%	-75.1%	-90.0%	-0.20	-0.28	-0.06	435
105	0.7%	18.7%	-73.6%	0.03	0.05	0.01	215	-4.2%	-66.7%	-90.0%	-0.16	-0.23	-0.05	429
110	0.8%	21.9%	-75.2%	0.04	0.06	0.01	202	-4.0%	-65.5%	-90.3%	-0.16	-0.22	-0.04	403
115	0.4%	10.5%	-74.2%	0.02	0.03	0.01	200	-4.5%	-69.7%	-91.2%	-0.18	-0.24	-0.05	399
120	0.7%	21.2%	-75.3%	0.04	0.05	0.01	191	-3.8%	-63.4%	-89.6%	-0.15	-0.21	-0.04	381

SMA — Fixed Window (baseline for comparison)

The same grid and the same rule with a simple moving average, recomputed here over the identical price history so the two tables are directly comparable.

ER Lookback	A: CAGR	A: Total Return	A: Max DD	A: Sharpe	A: Sortino	A: Calmar	A: Trades	B: CAGR	B: Total Return	B: Max DD	B: Sharpe	B: Sortino	B: Calmar	B: Trades
30	4.2%	188.6%	-69.9%	0.20	0.29	0.06	244	1.7%	56.1%	-86.7%	0.06	0.09	0.02	487
33	2.8%	102.8%	-64.1%	0.13	0.19	0.04	221	-0.5%	-12.7%	-78.8%	-0.02	-0.03	-0.01	441
36	2.6%	93.1%	-62.6%	0.13	0.18	0.04	204	-1.0%	-23.7%	-80.7%	-0.04	-0.05	-0.01	407
39	3.7%	155.7%	-54.3%	0.18	0.25	0.07	216	1.2%	37.7%	-73.0%	0.05	0.07	0.02	431
42	6.2%	374.0%	-53.0%	0.33	0.48	0.12	207	4.9%	244.2%	-67.0%	0.19	0.28	0.07	413
45	6.9%	465.4%	-50.0%	0.35	0.51	0.14	190	7.5%	543.2%	-56.8%	0.28	0.41	0.13	379
48	6.8%	442.3%	-56.2%	0.34	0.49	0.12	183	7.3%	516.1%	-66.2%	0.28	0.40	0.11	365
51	4.5%	209.1%	-63.6%	0.22	0.32	0.07	198	3.0%	115.3%	-77.5%	0.11	0.17	0.04	395
54	2.3%	79.1%	-74.1%	0.11	0.16	0.03	186	-1.4%	-29.8%	-90.5%	-0.05	-0.07	-0.02	371
57	3.4%	136.3%	-70.4%	0.17	0.23	0.05	198	1.1%	33.2%	-83.5%	0.04	0.06	0.01	395
60	2.2%	74.7%	-75.6%	0.11	0.15	0.03	190	-1.0%	-23.8%	-88.1%	-0.04	-0.06	-0.01	380
63	2.1%	69.1%	-79.4%	0.10	0.14	0.03	168	-1.2%	-26.2%	-91.5%	-0.04	-0.06	-0.01	335
66	3.1%	118.6%	-73.7%	0.15	0.21	0.04	161	0.6%	16.3%	-86.4%	0.02	0.03	0.01	321
69	3.3%	130.9%	-69.2%	0.16	0.22	0.05	176	1.1%	32.7%	-79.2%	0.04	0.06	0.01	351
70	5.1%	257.7%	-54.7%	0.25	0.35	0.09	178	4.3%	199.0%	-55.6%	0.16	0.24	0.08	355
75	4.6%	219.4%	-47.6%	0.23	0.33	0.10	151	3.4%	139.8%	-56.4%	0.13	0.19	0.06	301
80	2.2%	75.5%	-60.4%	0.11	0.16	0.04	155	-1.2%	-25.9%	-77.2%	-0.04	-0.06	-0.01	309
85	1.5%	46.0%	-61.2%	0.07	0.11	0.02	150	-2.4%	-47.1%	-80.2%	-0.09	-0.13	-0.03	299
90	0.5%	14.0%	-71.5%	0.03	0.04	0.01	155	-4.3%	-67.5%	-88.5%	-0.16	-0.23	-0.05	309
95	0.8%	21.8%	-60.8%	0.04	0.05	0.01	140	-3.9%	-63.8%	-74.1%	-0.15	-0.21	-0.05	279
100	1.3%	39.8%	-64.8%	0.06	0.09	0.02	134	-2.3%	-45.1%	-77.2%	-0.09	-0.12	-0.03	267
105	1.8%	59.4%	-55.4%	0.09	0.13	0.03	138	-1.7%	-35.4%	-65.4%	-0.06	-0.09	-0.03	275
110	2.4%	82.4%	-57.4%	0.12	0.17	0.04	128	-0.7%	-15.6%	-69.9%	-0.03	-0.04	-0.01	255
115	-1.2%	-26.6%	-69.8%	-0.06	-0.08	-0.02	120	-7.4%	-86.2%	-91.5%	-0.28	-0.39	-0.08	239
120	-1.3%	-28.1%	-74.2%	-0.06	-0.09	-0.02	136	-7.3%	-86.0%	-91.4%	-0.28	-0.40	-0.08	271

Source: Yahoo Finance daily OHLC, full available history. Generated 2026-07-30 08:53:52 UTC.