Perry Kaufman

Perry Kaufman developed the Kaufman Adaptive Moving Average (KAMA), which adjusts its sensitivity based on market noise and efficiency ratios. His book "Trading Systems and Methods" (originally published 1978, now in its 6th edition) has become the standard reference for systematic traders, covering everything from moving averages to machine learning applications. Kaufman worked at Commodities Corporation and later applied quantitative methods to global derivatives and equities markets. He is considered one of the founders of the modern systematic trading discipline. His efficiency ratio, which measures the ratio of directional movement to total path length over a lookback window, is foundational to adaptive indicator design and has been adopted in volatility filters across many professional quant systems. Kaufman's work emphasizes that no single parameter setting is optimal across all market regimes, making adaptivity — not optimization — the core design principle for durable trading systems.