Coppock Índices
ESTADÍSTICAS BACKTEST: 2000 – 2024
| DESDE INICIO | CAR | RAR | MAX. DRAWDOWN | PROFIT FACTOR | WIN TRADES (%) | SHARPE RATIO | EXPOSICIÓN |
|---|---|---|---|---|---|---|---|
| 446% | 7,02% | 8,62% | -26,79% | 3,28 | 41% | 0,64 | 81% |
Mensual | ETFs | Alfayate
Sistema Mensual sobre una cesta de ETF’s.
Sistema de 6 posiciones basado en la guía de Coppock.
- Compra si la Guía de Coppock tiene pendiente positiva.
- Vende y se pone corto cuando la guía de coppock tiene pendiente negativa y se sitúa por debajo de cero.
Usa un stop loss fijo al 8 % del precio de cierre de la señal.
Se puede operar con ETF’s y CFD’s.
Orden: MOO (Market on Open)
| A | B |
|---|---|
| Fecha inicio del backtest | 01/01/2000 |
| Fecha final del backtest | 31/12/2024 |
| Periodo de desarrollo | 01/01/2000 - 31/12/2011 |
| Fecha estrategia publicada | 01/01/2012 |
| Capital minimo sugerido | 10.000 |
| Edad de la estrategia | 25 años |
| Retorno desde Inicio (%) | 446.44% |
| Mejor mes (%) | 9.38% |
| Peor mes (%) | -10.99% |
| Volatidad anualizada (%) | 10.95% |
| Recovery Factor | 2.78 |
| CAR/MaxDD | 0.26 |
| RAR/MaxDD | 0.32 |
| Profit Factor | 3.28 |
| Payoff Ratio | 4.62 |
| Risk-Reward Ratio | 0.69 |
| Ulcer Index | 8.59 |
| Ulcer Performance Index | 0.19 |
| Sharpe Ratio of trades | 0.12 |
| Sortino Ratio | 1.12 |
| Max. Drawdown (%) | -26.79% |
| A | B |
|---|---|
| Initial capital | 100000.00 |
| Ending capital | 546439.95 |
| Net Profit | 446439.95 |
| Net Profit % | 446.44% |
| Exposure % | 81.49% |
| Annual Return % | 7.02% |
| Risk Adjusted Return % | 8.62% |
| Buy&Hold (SPX) | 5.70% |
| Total transaction costs | 2700.00 |
| All trades | 135 |
| Avg. Profit/Loss % | 13.92% |
| Avg. Bars Held | 4.77 |
| Winners | 56 (41.48 %) |
| Avg. Profit % | 43.47% |
| Avg. Bars Held | 4.77 |
| Max. Consecutive | 13 |
| # bars in largest win | 159 |
| Losers | 79 (58.52 %) |
| Avg. Loss % | -7.03% |
| Avg. Bars Held | 4.77 |
| Max. Consecutive | 13 |
| # bars in largest loss | 3 |
- Familia: Tendencial
- Subfamilia: Tendenciales con Momentum
- Operativa: Largos y cortos
- Max Posiciones: 6
- Rotación/Trades: Muy baja
- Temporalidad: Mensual
- Diversificación: Global
- Mercados: Europa, USA y Emergentes
- Clase de activos: ETFs
- Comisiones: Incluidas
Renta Variable
- SP500 (^SPX)
- Nasdaq100 (^NDX)
- DAX (^GDAXI)
- Stoxx50 (^STOXX50E)
- CAC (^FCHI)
- Emergentes (EEM.TIN)
- No usamos apalancamiento
- El rendimiento es compuesto, se van reinvirtiendo los beneficios
- Los dividendos no están incluidos, deberías añadir entre 2 y 3% más a la rentabilidad anual si los reinviertes en la operativa.
- Las comisiones están incluidas, usamos 10$ para cada operación, la comisión es mayor que la de algunos brokers pero es otra forma de saber que los gastos transaccionales no afectan al rendimiento anual.
- Si quieres saber más sobre nuestra metolodogía puedes leer más información aquí.
UNIVERSO COMPLETO DE ACTIVOS
A veces encontrar su equivalente UCITS puede ser una tarea complicada, en este listado hemos recopilado sus equivalencias.
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Curva de capital
Drawdown
Rentabilidades históricas
Rentabilidades Mensuales
| A?o | Ene | Feb | Mar | Abr | May | Jun | Jul | Ago | Set | Oct | Nov | Dic | Anual% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.27% | 0.71% | -2.89% | -0.19% | 4.49% | 2.44% | 0.79% | 0.60% | 0.96% | 9.37% | |||
| 2024 | 0.57% | 3.67% | 2.55% | -2.57% | 2.54% | 0.36% | 0.20% | 1.45% | 1.83% | -1.90% | 1.32% | -0.14% | 10.13% |
| 2023 | 2.69% | -0.61% | 2.59% | 0.85% | -0.71% | 3.71% | 2.32% | -2.57% | -2.94% | -2.23% | 6.64% | 2.92% | 12.88% |
| 2022 | -6.20% | -4.66% | 2.75% | -9.23% | -0.74% | -8.57% | -0.23% | 0.17% | 4.65% | -4.17% | -3.36% | -0.17% | -26.80% |
| 2021 | -0.64% | 1.56% | 3.57% | 4.56% | -0.55% | 4.54% | 1.95% | 3.18% | -4.87% | 6.47% | -0.14% | 2.85% | 24.31% |
| 2020 | -0.67% | -6.85% | -8.81% | 6.48% | 2.08% | 0.63% | 3.58% | 4.99% | -3.03% | -4.08% | 5.16% | 3.93% | 2.02% |
| 2019 | 0.77% | 0.01% | 1.23% | 4.76% | -7.03% | 6.51% | 0.35% | -2.09% | 2.14% | 3.09% | 2.89% | 2.87% | 15.89% |
| 2018 | 5.86% | -3.57% | -2.56% | 1.75% | 0.72% | -0.76% | 3.18% | 1.66% | -0.08% | -4.44% | -0.43% | -1.44% | -0.57% |
| 2017 | 2.14% | 2.77% | 2.87% | 1.94% | 1.99% | -1.64% | 2.16% | 0.72% | 2.22% | 3.08% | 0.14% | 0.13% | 20.05% |
| 2016 | -4.84% | -0.50% | -1.29% | -1.46% | -0.17% | 2.20% | 1.10% | 0.51% | 0.80% | -0.25% | 0.01% | 2.97% | -1.13% |
| 2015 | 0.92% | 5.47% | -0.20% | -0.68% | -0.40% | -2.08% | 3.89% | -5.30% | -2.72% | 7.60% | 0.86% | -2.20% | 4.55% |
| 2014 | -3.41% | 3.91% | -1.32% | 0.80% | 1.62% | 0.74% | -1.90% | 2.81% | -1.63% | -0.06% | 3.35% | -2.68% | 1.92% |
| 2013 | 2.51% | -0.76% | 1.15% | 2.13% | 1.71% | -3.82% | 4.69% | -1.47% | 3.20% | 3.59% | 1.94% | 1.42% | 17.20% |
| 2012 | -1.15% | 0.01% | 1.03% | -2.59% | -0.40% | -0.85% | 1.75% | 2.75% | 0.07% | -0.87% | 1.62% | 1.87% | 3.15% |
| 2011 | 0.54% | 1.95% | -0.24% | 3.46% | -2.49% | -1.34% | -2.74% | -8.65% | -5.44% | 5.01% | 0.11% | 1.00% | -9.23% |
| 2010 | -5.03% | 0.77% | 6.07% | -0.67% | -3.58% | -4.88% | 5.59% | -3.44% | 7.10% | 3.68% | -2.37% | 4.41% | 6.71% |
| 2009 | 2.22% | 3.05% | -2.35% | -4.87% | 4.43% | -1.24% | 7.46% | 2.37% | 4.29% | -3.08% | 3.86% | 3.53% | 20.66% |
| 2008 | -11.00% | -1.24% | -0.91% | 1.97% | 1.66% | 1.67% | -1.06% | -1.71% | 3.35% | 9.39% | 3.45% | -0.10% | 4.28% |
| 2007 | 1.11% | -1.57% | 2.71% | 5.59% | 3.33% | 0.77% | -2.57% | 0.43% | 5.46% | 4.90% | -3.84% | -0.33% | 16.60% |
| 2006 | 5.59% | -0.52% | 2.63% | 1.99% | -5.42% | 0.11% | 0.14% | 2.72% | 1.60% | 3.77% | 2.43% | 2.50% | 18.53% |
| 2005 | -1.43% | 2.53% | -1.74% | -2.96% | 4.17% | 1.14% | 5.17% | -0.54% | 3.23% | -2.80% | 3.72% | 2.21% | 12.95% |
| 2004 | 1.14% | 0.42% | -2.21% | -0.13% | 0.85% | 1.55% | -3.14% | -1.33% | 1.42% | 1.80% | 3.94% | 2.47% | 6.76% |
| 2003 | 1.63% | 1.01% | 2.27% | 2.22% | 1.57% | 2.65% | 1.29% | -1.98% | 4.70% | 0.99% | 3.03% | 21.04% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 9.37 | 0.96 | 2.36 | 9.36 | 8.55 | 7.93 | 5.34 | 6.24 | 478.81 |