SSO
ProShares Ultra S&P 500 (2x Leveraged S&P 500)
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 -44.3% (compared to the benchmark's drawdown of -78.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.5%, compared to a Buy-and-Hold benchmark return of 16.9%. 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 | 5.72% | 29.01% | 3.96% | 16.44% | 13.99% | 22.82% | 13.48% | 16.87% |
| Sharpe Ratio | 0.24 | 1.01 | 0.15 | 0.45 | 0.52 | 0.57 | 0.51 | 0.40 |
| Max Drawdown | -17.63% | -18.16% | -44.31% | -46.73% | -44.31% | -59.34% | -44.31% | -78.93% |
| % Time Invested | 93.7% | 100.0% | 68.2% | 100.0% | 77.0% | 100.0% | 76.9% | 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 or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 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% | $38.33 | $50.20 | 30.90% | 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% | $40.71 | $31.08 | -23.70% | 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% | $42.55 | $42.23 | -0.80% | 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% | $27.07 | $36.61 | 35.17% | 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% | $21.35 | $24.01 | 12.39% | 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% | $20.86 | $20.46 | -1.94% | 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% | $23.01 | $24.26 | 5.36% | 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% | $25.55 | $21.74 | -14.92% | 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% | $30.96 | $27.98 | -9.67% | 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% | $30.89 | $28.88 | -6.54% | 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% | $20.13 | $29.37 | 45.85% | 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% | $19.68 | $17.04 | -13.46% | 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% | $15.75 | $16.89 | 7.15% | 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% | $12.53 | $14.05 | 12.10% | 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% | $9.32 | $9.06 | -2.85% | 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% | $11.82 | $17.22 | 45.64% | 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% | $12.93 | $11.74 | -9.22% | 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% | $12.50 | $13.46 | 7.62% | 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% | $13.36 | $12.17 | -8.99% | 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% | $8.06 | $12.31 | 52.67% | 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% | $6.57 | $7.85 | 19.33% | 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% | $7.10 | $6.84 | -3.61% | 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% | $7.33 | $6.82 | -6.99% | 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% | $3.51 | $5.96 | 69.55% | 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 | $3.17 | 7.23% | 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 | 15.18% | 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% | $2.55 | $2.42 | -5.12% | 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 | $2.17 | -10.51% | 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 | $2.77 | 24.29% | 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 | $1.96 | -7.86% | 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% | $2.04 | $1.86 | -9.15% | 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% | $1.58 | $2.23 | 40.63% | 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% | $3.95 | $3.78 | -4.28% | Signal | |
| 2008-06-13 | 2008-06-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |