In stock market， investors can predict the future stock return by capturing the potential trading patterns in historical data. The key issue for predicting stock return is how to find out the trading patterns accurately. However， it is generally difficult to capture them due to the influence of uncertain factors such as corporate performance， financial policies， and national economic growth. To solve this problem， a Multi-Scale Kernel Adaptive Filtering （MSKAF） method was proposed to capture the multi-scale trading patterns from past market data. In this method， in order to describe the multi-scale features of stocks， Stationary Wavelet Transform （SWT） was employed to obtain data components with different scales. The different trading patterns hidden in stock price fluctuations were contained in these data components. Then， the Kernel Adaptive Filtering （KAF） was used to capture the trading patterns with different scales to predict the future stock return. Experimental results show that compared with those of the prediction model based on Two-Stage KAF （TSKAF）， the Mean Absolute Error （MAE） of the results generated by the proposed method is reduced by 10%， and the Sharpe Ratio （SR） of the results generated by the proposed method is increased by 8.79%， verifying that the proposed method achieves better stock return prediction performance.