UPRO ProShares S&P 500 Ultrapro (3x Leveraged S&P 500)
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for UPRO (ProShares S&P 500 Ultrapro (3x 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 -56.3% (compared to the benchmark's drawdown of -76.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 17.3%, compared to a Buy-and-Hold benchmark return of 30.6%. The strategy executed 47 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
UPRO Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 91.62% | 88.23% | 8.16% | 23.91% | 17.62% | 30.32% | 17.30% | 30.61% |
| Sharpe Ratio | 2.10 | 1.80 | 0.24 | 0.43 | 0.49 | 0.49 | 0.47 | 0.51 |
| Max Drawdown | -18.64% | -26.79% | -51.35% | -63.94% | -51.35% | -76.82% | -56.31% | -76.82% |
| % Time Invested | 87.3% | 100.0% | 60.7% | 100.0% | 65.0% | 100.0% | 70.0% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 3.0 | 0.0 | 3.1 | 0.0 | 3.1 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-04-01 | Open | Open | 100% | $98.58 | $149.18 | 51.33% | Mark-to-Market |
| 2026-03-10 | 2026-04-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2025-12-16 | 2026-03-10 | Completed | 100% | $113.78 | $110.40 | -2.97% | Stop |
| 2025-11-21 | 2025-12-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.24% | Interest Income |
| 2025-04-29 | 2025-11-21 | Completed | 100% | $64.92 | $102.94 | 58.58% | Stop |
| 2025-04-04 | 2025-04-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-03-26 | 2025-04-04 | Completed | 100% | $79.93 | $59.39 | -25.70% | Stop |
| 2025-03-04 | 2025-03-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-02-06 | 2025-03-04 | Completed | 100% | $95.25 | $82.34 | -13.56% | Stop |
| 2025-01-14 | 2025-02-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-08-27 | 2025-01-14 | Completed | 100% | $79.22 | $86.31 | 8.94% | Stop |
| 2024-08-05 | 2024-08-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2024-05-14 | 2024-08-05 | Completed | 100% | $66.89 | $61.14 | -8.60% | Stop |
| 2024-04-22 | 2024-05-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2023-11-08 | 2024-04-22 | Completed | 100% | $42.21 | $58.94 | 39.63% | Stop |
| 2022-11-04 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.13% | Interest Income |
| 2022-10-18 | 2022-11-04 | Completed | 100% | $31.19 | $31.22 | 0.09% | Stop |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-09-21 | 2022-09-26 | Completed | 100% | $34.95 | $29.77 | -14.81% | Stop |
| 2022-08-29 | 2022-09-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2022-07-07 | 2022-08-29 | Completed | 100% | $35.80 | $39.61 | 10.66% | Stop |
| 2022-06-13 | 2022-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2022-06-07 | 2022-06-13 | Completed | 100% | $43.17 | $34.53 | -20.00% | Stop |
| 2022-05-13 | 2022-06-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2022-05-06 | 2022-05-13 | Completed | 100% | $45.16 | $40.36 | -10.65% | Stop |
| 2022-04-13 | 2022-05-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-03-17 | 2022-04-13 | Completed | 100% | $54.04 | $55.85 | 3.34% | Stop |
| 2022-02-23 | 2022-03-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-02-11 | 2022-02-23 | Completed | 100% | $61.42 | $54.52 | -11.24% | Stop |
| 2022-01-20 | 2022-02-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-10-26 | 2022-01-20 | Completed | 100% | $65.99 | $63.88 | -3.20% | Stop |
| 2021-10-04 | 2021-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-03-15 | 2021-10-04 | Completed | 100% | $42.63 | $56.30 | 32.06% | Stop |
| 2021-01-21 | 2021-03-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-11-20 | 2021-01-21 | Completed | 100% | $32.15 | $40.14 | 24.84% | Signal |
| 2020-10-29 | 2020-11-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-09-30 | 2020-10-29 | Completed | 100% | $26.54 | $24.79 | -6.58% | Stop |
| 2020-09-08 | 2020-09-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-07-07 | 2020-09-08 | Completed | 100% | $22.78 | $27.33 | 19.97% | Stop |
| 2020-06-12 | 2020-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-05-14 | 2020-06-12 | Completed | 100% | $16.05 | $21.18 | 31.99% | Stop |
| 2020-04-22 | 2020-05-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-04-16 | 2020-04-22 | Completed | 100% | $16.42 | $16.15 | -1.64% | 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% | $10.97 | $10.39 | -5.30% | Stop |
| 2020-02-26 | 2020-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2019-10-31 | 2020-02-26 | Completed | 100% | $28.27 | $30.68 | 8.51% | Stop |
| 2019-10-07 | 2019-10-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2019-08-28 | 2019-10-07 | Completed | 100% | $23.62 | $25.57 | 8.30% | Signal |
| 2019-08-06 | 2019-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2019-06-21 | 2019-08-06 | Completed | 100% | $26.35 | $23.88 | -9.39% | Stop |
| 2019-05-30 | 2019-06-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2019-01-16 | 2019-05-30 | Completed | 100% | $18.72 | $22.34 | 19.32% | Stop |
| 2018-12-21 | 2019-01-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-12-17 | 2018-12-21 | Completed | 100% | $18.58 | $16.19 | -12.83% | Stop |
| 2018-11-21 | 2018-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-11-05 | 2018-11-21 | Completed | 100% | $22.02 | $20.26 | -7.97% | Stop |
| 2018-10-12 | 2018-11-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-04-17 | 2018-10-12 | Completed | 100% | $21.97 | $23.40 | 6.54% | Stop |
| 2018-03-23 | 2018-04-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2018-03-01 | 2018-03-23 | Completed | 100% | $22.73 | $21.03 | -7.48% | Stop |
| 2018-02-06 | 2018-03-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2016-11-28 | 2018-02-06 | Completed | 100% | $12.38 | $20.15 | 62.81% | Stop |
| 2016-05-19 | 2016-11-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2016-02-12 | 2016-05-19 | Completed | 100% | $7.25 | $9.73 | 34.24% | Signal |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2016-01-08 | 2016-01-21 | Completed | 100% | $8.68 | $7.49 | -13.70% | Stop |
| 2015-12-15 | 2016-01-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2015-10-21 | 2015-12-15 | Completed | 100% | $9.87 | $9.91 | 0.45% | Stop |
| 2015-09-29 | 2015-10-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-09-16 | 2015-09-29 | Completed | 100% | $9.12 | $7.84 | -14.07% | Stop |
| 2015-08-24 | 2015-09-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-02-26 | 2015-08-24 | Completed | 100% | $11.26 | $7.70 | -31.68% | Stop |
| 2015-02-03 | 2015-02-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-11-04 | 2015-02-03 | Completed | 100% | $9.74 | $9.99 | 2.53% | Stop |
| 2014-10-13 | 2014-11-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2014-02-27 | 2014-10-13 | Completed | 100% | $7.49 | $8.30 | 10.92% | Stop |
| 2014-02-04 | 2014-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2013-07-17 | 2014-02-04 | Completed | 100% | $5.68 | $6.40 | 12.62% | Stop |
| 2013-06-24 | 2013-07-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2012-12-03 | 2013-06-24 | Completed | 100% | $3.43 | $4.67 | 36.22% | Stop |
| 2012-11-08 | 2012-12-03 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-08-15 | 2012-11-08 | Completed | 100% | $3.28 | $3.23 | -1.58% | Stop |
| 2012-07-24 | 2012-08-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2012-06-04 | 2012-07-24 | Completed | 100% | $2.50 | $2.92 | 17.01% | Signal |
| 2012-05-10 | 2012-06-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2011-11-25 | 2012-05-10 | Completed | 100% | $1.88 | $3.04 | 61.67% | Stop |
| 2011-11-02 | 2011-11-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-10-26 | 2011-11-02 | Completed | 100% | $2.35 | $2.30 | -2.11% | Stop |
| 2011-10-04 | 2011-10-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-09-29 | 2011-10-04 | Completed | 100% | $1.99 | $1.57 | -21.05% | Stop |
| 2011-09-07 | 2011-09-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-23 | 2011-09-07 | Completed | 100% | $1.82 | $2.09 | 14.44% | Stop |
| 2011-08-01 | 2011-08-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-06-20 | 2011-08-01 | Completed | 100% | $2.73 | $2.98 | 9.30% | Stop |
| 2011-06-16 | 2011-06-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |