CoppockCurve — Coppock Curve

A weighted average of two long rates of change. Coppock built it to time bottoms in monthly index data — an economist’s answer to “when has the market finished mourning” — and it is still read that way: the turn up from below zero is the signal.

Signature

CoppockCurve(long_roc, short_roc, wma_period, on=<source>)

Argument	Type	Required	Notes
long_roc	int Param or literal	Yes	Longer rate of change. Default 14, bounds 1–400.
short_roc	int Param or literal	Yes	Shorter rate of change. Default 11, bounds 1–400.
wma_period	int Param or literal	Yes	Weighted-average smoothing. Default 10, bounds 1–200.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{Coppock} = \text{WMA}\big(\text{ROC}(n_l) + \text{ROC}(n_s),\ w\big) $$

Warmup

long_roc + wma_period bars.

Reading the value

cop.value
cop.crossed_above(0)

Example

class CoppockBottom(Strategy):
    """The classic use: buy the turn up from below zero."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        cop = CoppockCurve(14, 11, 10, on=self.trade)
        if cop.crossed_above(0) and self.trade.is_flat:
            self.buy(self.trade, reason="Coppock turned up")
        if cop.crossed_below(0) and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Coppock turned down")

Notes

• Edwin Coppock, Barron’s (1962). The 14/11/10 defaults are his, chosen for monthly bars.
• Proven by an assert-via-trade run on SPY daily (finite and in range on every bar; zero alarm trades).
• On daily bars this fires far more often than Coppock intended — scale the periods or use weekly data.