TREND-18 · Trend Following

Coppock Curve

Coppock Curve is a weighted moving average of two rate-of-change series. It is designed as a long-term trend indicator that turns positive near major bottoms.

TrendMomentum

Open interactive charts Compare with others

At a glance

Best onLong-duration trend regimes

Signal frequencyDaily

Typical holding periodMonths

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 3 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 7 of 10 markets.
Best market by Sharpe ratio: GLD (Sharpe 0.94, CAGR 13.7%).
Weakest market: UNG (Sharpe -0.16, CAGR -15.4%).

Equity curve

Coppock Curve Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 68.2SPY, 5 years

Return quality · 30%71

Drawdown control · 25%56

Consistency · 20%53

Robustness · 15%88

Significance · 10%92

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

Time in market65%

Ulcer index6.6%

Longest drawdown601 days

Daily VaR (95%)-1.12%

Probability Sharpe > 092%

Beta vs buy & hold0.41

Alpha (annual)+2.0%

Positive months50%

CAGR after 10 bp costs5.5%

Deflated Sharpe (luck-adjusted)48%

CAGR, 90% bootstrap range-1.2% to 16.9%

Max drawdown, 90% bootstrap range-31.4% to -9.4%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-7.2%	-19.2%
COVID crash (Feb–Mar 2020)	-7.9%	-33.7%
2022 bear market	-11.8%	-24.5%
Market above its 200-day average (annualized) · 81%	+7.7%	+12.5%
Market below its 200-day average (annualized) · 19%	+10.1%	+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)	0.91
Same parameters in the following 6 months, when traded (Sharpe)	0.81
Default parameters over the same months (Sharpe)	0.73
Parameter re-selections / changes	28 / 14
Parameter settings with a positive Sharpe (full history)	9 of 9
Sharpe across settings: worst / median / best	0.69 / 0.75 / 0.81

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	13.7%	16.4%	0.94	-16.7%	-28.3%	15.1%	75
SPYSPDR S&P 500	6.8%	11.6%	0.63	-18.2%	-24.5%	11.2%	68
DBAInvesco DB Agriculture	4.2%	8.8%	0.47	-16.8%	-15.9%	10.3%	55
USOUnited States Oil Fund	6.9%	20.2%	0.37	-57.3%	-36.2%	30.1%	57
EURUSD=XEUR/USD	1.3%	-0.7%	0.25	-10.5%	-17.2%	5.4%	76
SLViShares Silver Trust	1.2%	15.2%	0.19	-52.2%	-57.8%	29.4%	32
ETH-USDEthereum	-0.2%	-15.1%	0.18	-51.7%	-79.0%	38.4%	59
DBCInvesco DB Commodity Index	1.5%	10.8%	0.18	-45.2%	-27.3%	15.2%	33
BTC-USDBitcoin	0.8%	2.6%	0.15	-62.9%	-75.9%	28.5%	43
UNGUnited States Natural Gas	-15.4%	-30.7%	-0.16	-84.1%	-93.3%	44.1%	41

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	+3.8%	3.8%	0.68	0.69	-5.7%	31%	11
3 years	+40.9%	12.1%	1.27	1.31	-15.2%	41%	33
5 years	+38.7%	6.8%	0.63	0.67	-18.2%	35%	61
Full history	+272.7%	8.1%	0.79	0.82	-18.2%	37%	190

Rules

Entry

Go long when Coppock > 0

Exit

Exit when Coppock < 0

Indicators

ROC1 = (P / P[-ROC1]) - 1
ROC2 = (P / P[-ROC2]) - 1
Coppock = WMA(ROC1 + ROC2, WMA)

Inputs

ROC1 = 14
ROC2 = 11
WMA = 10

Position sizing

Fixed 100% allocation

Risk controls

Trend filter keeps exposure binary

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

Originally designed for monthly data
Signals can be slow on daily bars

Related strategies

HMA-01 · SPY 5Y Sharpe 0.06HMA Crossover MOM-01 · EURUSD=X 5Y Sharpe 0.19Time-Series Momentum MOM-05 · FABER-TAA 5Y Sharpe 0.91Faber TAA MOM-10 · SPY 5Y Sharpe 0.81Accelerating Momentum TREND-05 · SPY 5Y Sharpe 0.71Dual Moving Average TREND-12 · SPY 5Y Sharpe 0.30MACD Strategy

Embed this score

Add the live badge to a blog post, README or forum signature. It updates with the daily data.

<a href="https://quantarenas.com/strategy/trend-18-coppock-curve/"><img src="https://quantarenas.com/badge/trend-18-coppock-curve.svg" alt="Coppock Curve Arena Score on Quant Arena" height="20"></a>

[![Coppock Curve Arena Score](https://quantarenas.com/badge/trend-18-coppock-curve.svg)](https://quantarenas.com/strategy/trend-18-coppock-curve/)

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.