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 sí están incluidos en esta estrategia.
- 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% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.24% | 0.56% | 2.81% | ||||||||||
| 2025 | 4.10% | 0.83% | -1.30% | 1.93% | 4.83% | 3.63% | -0.33% | 1.67% | 3.05% | 1.45% | -0.19% | 0.87% | 22.36% |
| 2024 | -0.45% | 3.94% | 2.32% | -2.75% | 3.70% | 0.05% | 0.50% | 2.28% | 2.23% | -2.76% | 0.42% | -0.76% | 8.79% |
| 2023 | 3.79% | -2.04% | 3.70% | 1.65% | -1.46% | 4.53% | 2.52% | -3.04% | -3.93% | -2.12% | 7.77% | 3.68% | 15.29% |
| 2022 | -6.30% | -4.81% | 2.51% | -8.67% | -0.90% | -5.60% | -0.42% | 0.35% | 5.36% | -2.82% | -4.58% | 0.59% | -23.27% |
| 2021 | 0.07% | 0.97% | 2.19% | 5.03% | 0.41% | 3.51% | 1.29% | 3.19% | -5.18% | 6.34% | -0.22% | 2.33% | 21.28% |
| 2020 | -0.69% | -6.64% | -8.39% | 7.22% | 1.50% | 1.40% | 2.56% | 7.43% | -4.50% | -3.14% | 12.16% | 4.81% | 12.32% |
| 2019 | 1.06% | 0.87% | 1.66% | 2.12% | -7.17% | 7.36% | -0.34% | -2.46% | 1.70% | 4.07% | 2.62% | 3.84% | 15.63% |
| 2018 | 7.09% | -4.04% | -1.94% | 0.92% | 0.59% | -0.83% | 3.38% | 0.80% | -0.11% | -8.07% | -0.42% | -3.21% | -6.45% |
| 2017 | 3.52% | 2.13% | 3.24% | 2.82% | 3.53% | -0.80% | 3.18% | 1.15% | 1.83% | 2.74% | 0.93% | 0.60% | 27.78% |
| 2016 | -0.88% | 0.66% | -2.56% | 0.00% | 0.95% | 1.84% | 1.28% | 0.77% | 1.17% | -1.05% | -1.24% | -0.48% | 0.36% |
| 2015 | -1.62% | 0.61% | -1.02% | -0.18% | 0.26% | -0.56% | 1.78% | -5.40% | 0.90% | 1.51% | 0.18% | 0.79% | -2.91% |
| 2014 | -4.53% | 4.57% | -0.98% | 1.10% | 1.53% | 1.03% | -2.66% | 2.41% | -2.93% | 0.05% | 3.16% | -3.63% | -1.34% |
| 2013 | 2.87% | -1.96% | 0.65% | 3.24% | 1.40% | -3.53% | 5.64% | -1.60% | 5.13% | 3.60% | 2.09% | 2.39% | 21.32% |
| 2012 | -1.61% | -0.88% | 1.15% | -3.56% | 3.35% | -1.69% | -1.33% | 3.72% | 1.22% | -0.51% | 1.88% | 3.12% | 4.67% |
| 2011 | 2.66% | 2.19% | 0.84% | 4.84% | -2.75% | -0.41% | -3.01% | -8.82% | -6.28% | 7.60% | -1.20% | 0.66% | -4.73% |
| 2010 | -6.04% | 0.66% | 5.76% | -1.31% | -7.93% | -2.54% | 8.37% | -4.45% | 9.88% | 2.70% | -3.68% | 1.57% | 1.25% |
| 2009 | 5.45% | 3.44% | -3.58% | -4.94% | 8.19% | -1.47% | 7.80% | 2.75% | 4.95% | -3.16% | 5.04% | 1.39% | 27.78% |
| 2008 | -9.47% | -0.90% | 0.61% | 5.23% | 2.18% | -7.03% | -0.92% | -1.57% | 5.31% | 13.47% | 3.81% | -3.39% | 5.47% |
| 2007 | 1.01% | -1.50% | 3.16% | 5.94% | 3.52% | 0.24% | -2.16% | 0.83% | 6.34% | 5.44% | -3.69% | -0.61% | 19.46% |
| 2006 | 6.59% | -1.09% | 3.10% | 3.18% | -4.65% | 0.21% | 0.14% | 2.94% | 1.28% | 3.76% | 3.81% | 2.51% | 23.53% |
| 2005 | -2.38% | 3.03% | -2.61% | -2.78% | 2.97% | 0.50% | 5.19% | 0.49% | 2.15% | -3.11% | 3.34% | 2.66% | 9.38% |
| 2004 | 1.18% | 0.40% | -2.39% | -1.57% | 1.34% | 1.74% | -3.16% | -0.43% | 1.89% | 2.80% | 4.87% | 3.03% | 9.82% |
| 2003 | 1.73% | 0.88% | 2.21% | 3.43% | 1.28% | 1.94% | 0.89% | -0.53% | 4.34% | 1.97% | 4.02% | 24.40% |
Rentabilidades
| YTD (%) | 1M (%) | 3M (%) | 6M (%) | 1A (%) | 3 años anualiz. (%) | 5 años anualiz. (%) | 10 años anualiz. (%) | Desde inicio (%) |
|---|---|---|---|---|---|---|---|---|
| 2.81 | 0.56 | 3.71 | 8.22 | 19.85 | 15.78 | 7.76 | 8.65 | 732.02 |