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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.9% (compared to the benchmark's drawdown of -78.9%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.9%, compared to a Buy-and-Hold benchmark return of 17.4%. The strategy executed 24 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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% | 11.14% | 20.15% | 13.17% | 24.35% | 11.90% | 17.38% |
| Sharpe Ratio | 1.15 | 1.92 | 0.47 | 0.55 | 0.55 | 0.60 | 0.51 | 0.41 |
| Max Drawdown | -17.63% | -18.16% | -36.32% | -46.73% | -36.32% | -59.34% | -37.89% | -78.93% |
| % Time Invested | 93.7% | 100.0% | 71.9% | 100.0% | 75.2% | 100.0% | 70.3% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.4 | 0.0 | 1.3 | 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 |
| 2025-05-01 | 2026-03-30 | Completed | 100% | $40.23 | $50.30 | 25.04% | Stop |
| 2025-04-07 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | 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 |
| 2023-10-20 | 2024-08-06 | Completed | 100% | $25.81 | $36.69 | 42.11% | Stop |
| 2023-09-28 | 2023-10-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2023-03-06 | 2023-09-28 | Completed | 100% | $24.06 | $25.91 | 7.71% | Stop |
| 2022-02-25 | 2023-03-06 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.84% | 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 |
| 2020-08-04 | 2020-09-21 | Completed | 100% | $17.11 | $16.92 | -1.10% | Stop |
| 2020-03-24 | 2020-08-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | 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 |
| 2019-04-08 | 2020-02-26 | Completed | 100% | $14.75 | $17.25 | 16.96% | Stop |
| 2018-12-06 | 2019-04-08 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.79% | Interest Income |
| 2018-11-15 | 2018-12-06 | Completed | 100% | $12.95 | $12.61 | -2.64% | Signal |
| 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 |
| 2016-04-26 | 2018-02-06 | Completed | 100% | $7.82 | $12.33 | 57.71% | Stop |
| 2016-01-11 | 2016-04-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2015-12-24 | 2016-01-11 | Completed | 100% | $7.61 | $6.69 | -12.05% | Signal |
| 2015-08-25 | 2015-12-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | 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 |
| 2012-02-07 | 2012-05-18 | Completed | 100% | $3.08 | $2.95 | -3.96% | Stop |
| 2011-08-03 | 2012-02-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2010-10-26 | 2011-08-03 | Completed | 100% | $2.44 | $2.78 | 13.99% | Stop |
| 2010-07-01 | 2010-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | 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 |
| 2010-03-03 | 2010-05-07 | Completed | 100% | $2.22 | $2.23 | 0.47% | Stop |
| 2010-02-08 | 2010-03-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-07-09 | 2010-02-08 | Completed | 100% | $1.38 | $2.00 | 44.58% | Stop |
| 2008-06-13 | 2009-07-09 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.64% | Interest Income |