Momentum · month-end rule · Indexes & ETFs
Coppock Curve on S&P 500 ETF
What the play says
Latest reading: Coppock 44.02
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Coppock curve (monthly)
Dashed line at 0.
Growth of $10,000 since 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SPY over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.4% | +11.1% | +11.1% | +13.9% |
| Total return | +1,020% | +785% | +69% | +91% |
| Worst drawdown | −33.7% | −55.2% | −24.4% | −24.5% |
| Volatility | 15.3% | 19.2% | 15.8% | 17.1% |
| Sharpe ratio | 0.73 | 0.56 | 0.51 | 0.62 |
| Time invested | 82% | 100% | ||
| Switches per year | 0.1 | 0 |
Every call, graded
Right on 2 of 3 closed calls (67%). In calls averaged +400.1%; out calls saw SPY move −3.4% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2023 | IN | $391.97 | now | +98.5% | open |
| Sep 30, 2022 | OUT | $339.13 | Mar 31, 2023 | +15.6% | ✕ wrong |
| May 29, 2009 | IN | $67.81 | Sep 30, 2022 | +400.1% | ✓ right |
| Jan 31, 2006 | OUT | $87.33 | May 29, 2009 | −22.4% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 4 of 4 calls shown.
How the play works
- In at month-end when the curve, below zero, turns up.
- Out when it is below zero and falling.
Coppock only defined the buy. The exit is Be The Puck's addition.
He designed it for broad indexes, not single stocks.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.