SSO ProShares Ultra S&P 500 (2x Leveraged S&P 500)
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for SSO (ProShares Ultra S&P 500 (2x Leveraged S&P 500)) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -44.1% (compared to the benchmark's drawdown of -78.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 14.2%, compared to a Buy-and-Hold benchmark return of 17.4%. The strategy executed 33 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA Active
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
SSO Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 28.66% | 56.83% | 7.50% | 20.15% | 14.84% | 24.35% | 14.16% | 17.38% |
| Sharpe Ratio | 1.15 | 1.92 | 0.29 | 0.55 | 0.55 | 0.60 | 0.53 | 0.41 |
| Max Drawdown | -17.63% | -18.16% | -44.08% | -46.73% | -44.08% | -59.34% | -44.08% | -78.93% |
| % Time Invested | 93.7% | 100.0% | 68.2% | 100.0% | 76.1% | 100.0% | 76.7% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 2.0 | 0.0 | 2.0 | 0.0 | 1.8 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-04-22 | Open | Open | 100% | $61.45 | $69.44 | 13.00% | Mark-to-Market |
| 2026-03-30 | 2026-04-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2025-04-30 | 2026-03-30 | Completed | 100% | $38.41 | $50.30 | 30.97% | Stop |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-04-01 | 2025-04-07 | Completed | 100% | $40.79 | $31.14 | -23.66% | Stop |
| 2025-03-10 | 2025-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-08-28 | 2025-03-10 | Completed | 100% | $42.63 | $42.31 | -0.75% | Stop |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2023-11-08 | 2024-08-06 | Completed | 100% | $27.13 | $36.69 | 35.24% | Stop |
| 2022-11-25 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.88% | Interest Income |
| 2022-11-07 | 2022-11-25 | Completed | 100% | $21.40 | $24.06 | 12.45% | Signal |
| 2022-10-14 | 2022-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2022-09-23 | 2022-10-14 | Completed | 100% | $20.90 | $20.50 | -1.89% | Stop |
| 2022-08-31 | 2022-09-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2022-07-08 | 2022-08-31 | Completed | 100% | $23.05 | $24.30 | 5.42% | Stop |
| 2022-06-14 | 2022-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2022-05-17 | 2022-06-14 | Completed | 100% | $25.60 | $21.79 | -14.88% | Stop |
| 2022-04-25 | 2022-05-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-03-21 | 2022-04-25 | Completed | 100% | $31.02 | $28.04 | -9.62% | Stop |
| 2022-02-25 | 2022-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-02-15 | 2022-02-25 | Completed | 100% | $30.95 | $28.94 | -6.49% | Stop |
| 2022-01-24 | 2022-02-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2020-11-23 | 2022-01-24 | Completed | 100% | $20.17 | $29.43 | 45.92% | Stop |
| 2020-10-30 | 2020-11-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-10-13 | 2020-10-30 | Completed | 100% | $19.72 | $17.07 | -13.42% | Stop |
| 2020-09-21 | 2020-10-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-07-08 | 2020-09-21 | Completed | 100% | $15.79 | $16.92 | 7.20% | Stop |
| 2020-06-15 | 2020-07-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-16 | 2020-06-15 | Completed | 100% | $12.55 | $14.08 | 12.16% | Stop |
| 2020-03-24 | 2020-04-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-03-19 | 2020-03-24 | Completed | 100% | $9.34 | $9.08 | -2.80% | Stop |
| 2020-02-26 | 2020-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2019-01-11 | 2020-02-26 | Completed | 100% | $11.84 | $17.25 | 45.72% | Stop |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-11-15 | 2018-12-18 | Completed | 100% | $12.95 | $11.77 | -9.17% | Stop |
| 2018-10-24 | 2018-11-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-04-25 | 2018-10-24 | Completed | 100% | $12.52 | $13.48 | 7.68% | Stop |
| 2018-04-03 | 2018-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2018-03-01 | 2018-04-03 | Completed | 100% | $13.39 | $12.19 | -8.94% | Stop |
| 2018-02-06 | 2018-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2016-09-12 | 2018-02-06 | Completed | 100% | $8.07 | $12.33 | 52.74% | Stop |
| 2016-06-20 | 2016-09-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2016-02-02 | 2016-06-20 | Completed | 100% | $6.58 | $7.86 | 19.39% | Signal |
| 2016-01-08 | 2016-02-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-09-17 | 2016-01-08 | Completed | 100% | $7.11 | $6.86 | -3.56% | Stop |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-11-07 | 2015-08-25 | Completed | 100% | $7.34 | $6.83 | -6.94% | Stop |
| 2014-10-16 | 2014-11-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-12-11 | 2014-10-16 | Completed | 100% | $3.52 | $5.97 | 69.64% | Stop |
| 2012-11-16 | 2012-12-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-06-12 | 2012-11-16 | Completed | 100% | $2.96 | $3.18 | 7.28% | Stop |
| 2012-05-18 | 2012-06-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-12-15 | 2012-05-18 | Completed | 100% | $2.56 | $2.95 | 15.23% | Stop |
| 2011-11-22 | 2011-12-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-17 | 2011-11-22 | Completed | 100% | $2.56 | $2.43 | -5.08% | Stop |
| 2011-09-23 | 2011-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-25 | 2011-09-23 | Completed | 100% | $2.43 | $2.18 | -10.46% | Stop |
| 2011-08-03 | 2011-08-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-09-20 | 2011-08-03 | Completed | 100% | $2.23 | $2.78 | 24.36% | Stop |
| 2010-08-26 | 2010-09-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-07-26 | 2010-08-26 | Completed | 100% | $2.13 | $1.97 | -7.82% | Stop |
| 2010-07-01 | 2010-07-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-06-01 | 2010-07-01 | Completed | 100% | $2.05 | $1.86 | -9.11% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-07-22 | 2010-05-07 | Completed | 100% | $1.59 | $2.23 | 40.70% | Stop |
| 2008-06-19 | 2009-07-22 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.63% | Interest Income |
| 2008-06-17 | 2008-06-19 | Completed | 100% | $3.96 | $3.79 | -4.24% | Signal |
| 2008-06-13 | 2008-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |