1. Was he eating before you bought him? If so, you stand a good chance. If not, it could be dicey.
2. Where did he come from? Australian coppebands are heartier than from Indonesia/Philipines, and there could be cyanide involved in the latter. However, Dr. Foster's and Smith and their related companies (liveaquaria, etc) claim to only use non-cyanide fishermen for all their fish.
3. Is your water quality pristine? Supposedly copperbands are finicky about this, although my water quality is probably junk (haven't tested in months) and mine is doing fine.
Options:
Try P.E. brand mysis shrimp. The mysis are substantially larger (1 cm or so) and thicker bodied than Ocean Nutrition and other brands, and my copperband loves them and goes after them more actively than with other brands.
Live blackworms are another excellent choice. You probably know that worms are a natural food for copperbands.
If you can't find blackworms, bloodworms can substitute.
You can always try soaking the food in Selcon or garlic, too. Personally I've never been able to tell if it makes a difference in illiciting feeding.
Lastly, find a rock covered in aiptasia. I'm sure there's a fellow reefer near you that can provide this. My copperband decimated hundreds of these things in a few months. For several weeks I didn't even feed my copperband because of this.
If you want to get really crazy, find a rock covered in fanworms/featherdusters. The copperband should eat those too.
Hope this helps.

Please post your results here so others can learn what did or did not work.