DeployQuantSSO trading strategies, backtested
ProShares Ultra S&P500: 2x daily leveraged S&P 500. Every DeployQuant template run on SSO over 5.7 years of minute data, same engine, same window, sorted by return.
SSO is a 2x daily leveraged S&P 500 fund. All 12 DeployQuant templates ran on it from 2021-01-04 to 2026-10-02, starting each with $10,000. Buy-and-hold turned $10,000 into $31,199, a 21.92% annualized return, and it did so with a 46.12% maximum drawdown and a Sharpe ratio of 0.79. One template beat it on return: the RSI(2) snapback returned 24.56% a year and ended at $35,285, with a 25.5% drawdown and a Sharpe ratio of 1.11. All 12 templates had a shallower maximum drawdown than holding, and all 12 finished with a positive return.
SSO is the leveraged version of SPY. On SPY no template beat holding. On SSO one does, and the reason is in the fund's behaviour. Volatility was 32.85% a year, beta to SPY measured 2.0, and the fund fell 46.75% from 2022-01-03 to 2022-10-12. A rule that sits out part of that decline can give up some of the rise and still come out ahead. A rule that holds through it carries a drawdown close to the fund's own.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| RSI(2) Dip Snapback | 24.6% | −25.5% | 1.11 | 172 | 70% (+1 open) | $35,285 |
| Weekly Entry + 7% Target | 21.3% | −28.5% | 0.88 | 148 | 38% (+1 open) | $30,265 |
| First-to-Last Day of Month | 18.8% | −43.9% | 0.73 | 69 | 65% (+1 open) | $26,891 |
| EMA 12/26 Trend | 17.3% | −22.9% | 0.87 | 21 | 43% (+1 open) | $25,000 |
| 20-Day Momentum + Trailing Stop | 15.4% | −24.1% | 0.83 | 13 | 62% (+1 open) | $22,788 |
| Drawdown Dip Buyer + 8% Target | 13.0% | −41.6% | 0.59 | 9 | 100% | $20,133 |
| 200-Day SMA Regime Filter | 12.4% | −32.5% | 0.70 | 18 | 33% (+1 open) | $19,561 |
| SMA-200 Trend + 15% Trailing Stop | 11.4% | −38.9% | 0.63 | 8 | 50% (+1 open) | $18,618 |
| Golden Cross (SMA 50/200) | 8.9% | −36.0% | 0.50 | 2 | 50% (+1 open) | $16,332 |
| 3-Month Momentum Switch | 8.6% | −39.5% | 0.53 | 18 | 50% (+1 open) | $16,084 |
| SMA 10/50 Trend | 8.4% | −32.1% | 0.50 | 15 | 60% (+1 open) | $15,883 |
| RSI(14) Mean Reversion | 7.4% | −34.9% | 0.41 | 13 | 77% | $15,066 |
| Buy & hold SSO | 21.9% | −46.1% | 0.79 | – | – | $31,199 |
What the ranking shows
The RSI(2) snapback leads. It made 172 round trips, won 70% of them, held an average of 4.5 days and was in the market 36.8% of the time. Its average winner was 2.27% and its average loser 2.58%, so the win rate does the work. Its best trade, 18.21% in 3 days from 2025-04-07 to 2025-04-10, came in the middle of the April 2025 reversal. Its worst trades were 12.84%, 12.46% and 12.34% losses, from 2025-02-24, 2022-09-15 and 2022-06-10. At 2x leverage, a short-horizon loser can take 12% before the exit fires.
The weekly 7% target comes second at 21.27%, close to the holder, with 148 round trips and a 38% win rate. Its drawdown was 28.52% and its Sharpe ratio 0.88. The monthly cycle returned 18.8% but its drawdown was 43.94%, nearly the fund's own 46.12%, because it is invested 95.2% of the time and sells only on the last session of each month. Its 2022 return was a 41.5% loss against 38.5% for holding.
Next come the EMA 12/26 trend at 17.3% with a 22.87% drawdown, the momentum breakout at 15.43% with 24.12%, and the dip buyer at 12.96% with 41.64%. The 200-day regime filter returned 12.4% with a 32.46% drawdown, the trend plus trailing stop 11.43% with 38.94%, the golden cross 8.92% with 35.99%, the 3-month momentum switch 8.63% with 39.52%, the SMA 10/50 trend 8.39% with 32.15% and the RSI(14) mean reversion 7.4% with 34.85%.
The EMA 12/26 trend is the best risk-adjusted trend rule. It made 21 round trips, won 43% of them, and had an average winner of 16.01% against an average loser of 2.86%. Its best trade was 36.36% from 2025-05-06 to 2025-11-19. The 200-day filter's best trade was larger, 64.87% over 488 days from 2023-11-03 to 2025-03-05, but the filter also made 18 round trips with a 33% win rate and a median trade that lost 1.36%.
The trend rules with a stop made fewer, larger trades. The trend plus trailing stop strategy made 8 round trips and won 4, with an average winner of 20.71% and an average loser of 8.24%. Its best trade ran 312 days from 2023-09-28 to 2024-08-05 for 37.52%, and its worst was a 12.01% loss from 2022-02-01 to 2022-02-23. The 3-month momentum switch had a 14.91% loss in 10 days from 2022-09-13, the worst trade of any trend rule in the table apart from the SMA 10/50 trend's 16.04% loss from 2022-03-29. A leveraged fund punishes late exits.
The dip buyer shows how a rule can win every trade and still carry a large drawdown. It made 9 round trips, all winners at about 8%, and held for an average of 108.1 days. One of them opened on 2022-01-20 and closed on 2024-02-09 after 750 days at an 8.01% gain. That position sat through the whole 2022 decline, which is why the rule shows a 41.64% drawdown and a 32.5% loss for 2022 despite a 100% win rate. The 8% target stood still while the fund fell.
2022 and April 2025
SSO lost 38.5% in 2022 as a holding on the sleeve basis and fell 46.12% peak to trough. The RSI(2) snapback lost 9%, a gap of 29.5 points in its favour. The weekly target lost 5.5%, the momentum breakout 5.9% and the EMA 12/26 trend 15.9%. The golden cross lost 22.2%, the 200-day filter 25.4%, the SMA 10/50 trend 30.3%, the trailing stop strategy 30.1% and the 3-month momentum switch 34.7%. The monthly cycle lost 41.5% and the dip buyer 32.5%.
The weekly target's result stands out among the rules that stay mostly invested. It was in the market 77.1% of the time, yet lost only 5.5% in 2022. Its time-based exit sells any losing position on Thursday afternoon, so a loss cannot be carried into the weekend. It won 38% of its round trips, and its losers averaged 2.99%.
April 2025 tested the opposite error. The fund's best day of the window was 18.78% on 2025-04-09, after its worst day of 11.86% on 2025-04-04 and a 9.57% loss on 2025-04-03. The RSI(2) snapback captured the rebound with its 18.21% trade. The golden cross sold on 2025-04-09 and did not buy again until 2025-07-11, and it lost 18.4% in 2025 against a gain of 25.9% for holding. Its drawdown of 35.99% ran from 2025-02-19 to 2025-08-01. The 200-day filter sold on 2025-03-05 and bought on 2025-05-30, and returned 21.2% for the year. The monthly cycle's drawdown from 2025-02-19 to 2025-04-08 was 38.38%.
In 2024 the picture was different. The weekly target beat holding by 4.7 points, the RSI(2) snapback by 7.2, the dip buyer by 8.9 and the monthly cycle by 3.3, in a year when the fund gained 42.9%. The trend rules lagged: the SMA 10/50 trend returned 8.8% against 42.9%.
The long holds and the 2025 exits
Four templates built most of their result on one long position each. The 200-day filter held from 2023-11-03 to 2025-03-05 for 64.87%. The trend plus trailing stop made 37.52% from 2023-09-28 to 2024-08-05, then 18.79% in a second hold that ended on 2025-03-07. The golden cross made 32.29% from 2023-03-06 to 2025-04-09. The 3-month momentum switch made 28.86% from 2023-11-21 to 2024-08-08. The first three exited between 2025-03-05 and 2025-04-09, around the 2025-04-08 trough of the fund's 34.9% drawdown, which began on 2025-02-19 and recovered on 2025-07-03.
The golden cross shows the cost of a late exit. It exited on 2025-04-09, the day of the fund's best gain in the window, 18.78%. Its 2025 calendar return was -18.4% against 25.9% for holding, and its worst month was April 2025 at -22.19%. The 200-day filter and the trend plus trailing stop exited a month earlier and made 21.2% and 20% in 2025.
The same templates re-entered later and are still holding. The 200-day filter and the trailing-stop template both entered on 2026-04-09 at 55.54 and were up 27.08% at the end of the data. The golden cross entered on 2025-07-11 at 49.13 and was up 43.66%. The momentum breakout entered on 2026-04-17 at 60.73 and was up 16.22%. A reader comparing these CAGRs with the RSI(2) snapback is comparing a closed record with a partly open one.
Year by year, the RSI(2) snapback made 59.3% in 2021, lost 9% in 2022, made 9.1% in 2023 and 50.1% in 2024. The 2023 figure is the weak one: the fund made 45.6% that year and the rule was invested a fraction of the time. The dip buyer did the reverse, making nothing in 2021, losing 32.5% in 2022 and making 45.2% in 2023 and 51.8% in 2024. The month extremes follow the fund: April 2026 at 21.21% for holding and September 2022 at -17.99%. The monthly cycle's three worst trades were whole months, June 2022 at -18.05%, September 2022 at -15.04% and March 2025 at -15.03%.
How each strategy traded SSO
| Strategy | Time in market | Avg hold (days) | Best trade | Worst trade | Profit factor | With 10 bps slippage |
|---|---|---|---|---|---|---|
| RSI(2) snapback | 36.8% | 5 | 18.2% | −12.8% | 2.03 | 17.5% |
| weekly 7% target | 77.1% | 10 | 11.5% | −9.0% | 1.43 | 17.4% |
| monthly cycle | 95.2% | 28 | 18.4% | −18.1% | 1.68 | 16.1% |
| EMA 12/26 trend | 68.8% | 69 | 36.4% | −4.8% | 3.80 | 16.5% |
| momentum breakout | 59.3% | 83 | 34.4% | −9.3% | 4.38 | 14.9% |
| dip buyer | 46.5% | 108 | 9.7% | 8.0% | – | 12.9% |
| 200-day regime filter | 63.0% | 64 | 64.9% | −8.0% | 2.50 | 11.7% |
| trend + trailing stop | 66.2% | 152 | 37.5% | −12.0% | 2.64 | 11.1% |
| golden cross | 64.9% | 456 | 32.3% | −13.4% | 2.10 | 8.8% |
| 3-month momentum | 65.4% | 75 | 28.9% | −14.9% | 2.11 | 8.0% |
| SMA 10/50 trend | 66.5% | 90 | 26.1% | −16.0% | 2.05 | 7.8% |
| RSI mean reversion | 31.1% | 50 | 17.0% | −17.9% | 2.19 | 6.9% |
Costs, turnover and liquidity
Costs matter more on a leveraged fund, because each fill moves a price that is moving twice as fast. The RSI(2) snapback, with 345 fills, went from 24.56% a year to 20.95% at 5 basis points and 17.46% at 10, and its Sharpe ratio from 1.11 to 0.975 and then 0.84. At 10 basis points it falls below the holder's return of 21.92%, which makes this the one case on the page where costs reverse the headline. Its final value at 10 basis points was $25,188 against $31,199 for holding.
The weekly target went from 21.27% to 19.12% and then 17.39%. The monthly cycle went from 18.8% to 17.41% and 16.05%. The slower rules moved little: the EMA 12/26 trend went from 17.3% to 16.87% and 16.46%, the momentum breakout from 15.43% to 15.15% and 14.9%, and the golden cross from 8.92% to 8.87% and 8.83%. The dip buyer was unchanged at about 12.9%.
At 10 basis points the RSI(2) snapback at 17.46% and the weekly target at 17.39% are almost level, ahead of the EMA 12/26 trend at 16.46%, the monthly cycle at 16.05% and the momentum breakout at 14.9%. No rule beats holding in that run.
SSO's average daily dollar volume was $233,922,508 and its median minute volume was 7,870 shares against a $10,000 sleeve. The test fills on minute bars. Whether 5 or 10 basis points describes real fills depends on order size, the time of day and the quote, and the headline numbers assume none.
How SSO behaved
| Measure | SSO |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 227.7% |
| Annualized volatility | 32.9% |
| Deepest drawdown | −46.8% (2022-01-03 to 2022-10-12) |
| Up days | 53.6% |
| Average daily range | 2.28% |
| Average overnight gap | 0.87% |
| Correlation to SPY | 1.00 |
| Correlation to QQQ | 0.94 |
| Correlation to TLT | 0.08 |
| Sessions above the 200-day average | 73.2% |
| Crossings of the 200-day average | 36 |
| Falls of 10% or more from a 20-day high | 32 |
Calendar years
| Year | Return |
|---|---|
| 2021 | 65.0% |
| 2022 | −39.0% |
| 2023 | 46.6% |
| 2024 | 43.5% |
| 2025 | 26.2% |
| 2026 (part) | 22.6% |
Biggest single days
| Best day | Move |
|---|---|
| 2025-04-09 | 18.8% |
| 2022-11-10 | 11.0% |
| 2025-05-12 | 6.6% |
| 2022-06-24 | 6.3% |
| 2022-10-04 | 6.2% |
| Worst day | Move |
|---|---|
| 2025-04-04 | −11.9% |
| 2025-04-03 | −9.6% |
| 2022-09-13 | −8.7% |
| 2022-05-18 | −8.0% |
| 2022-06-13 | −7.6% |
Average return by calendar month
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2.2% | −0.3% | 1.1% | 0.8% | 5.5% | 2.4% | 5.8% | 0.9% | −4.7% | 5.3% | 7.6% | 0.0% |
Most and least correlated funds
| Most correlated | Least correlated | ||
|---|---|---|---|
| SPY | 1.00 | SDS | -1.00 |
| VOO | 1.00 | SH | -1.00 |
| VV | 1.00 | SPDN | -1.00 |
| SPUU | 0.99 | SQQQ | -0.94 |
| IOO | 0.96 | QID | -0.94 |
Leverage and decay against SPY
| Year | SSO | SPY | 2× SPY, reset daily |
|---|---|---|---|
| 2021 | 65.0% | 30.5% | 67.4% |
| 2022 | −39.0% | −18.2% | −36.8% |
| 2023 | 46.6% | 26.2% | 56.5% |
| 2024 | 43.5% | 24.9% | 53.4% |
| 2025 | 26.2% | 17.7% | 34.0% |
| 2026 | 22.6% | 13.8% | 27.8% |
The last column compounds 2× SPY's daily return with no fees or financing: the return a perfect daily-reset fund would have had. It leaves out the fund's fees, its borrowing costs and the interest it earns on cash, which put a real fund below or above this line. A daily-reset fund does not aim for 2× the underlying's return over a year.
Over 2021-01-04 to 2026-10-02, SSO returned 227.7% while SPY returned 125.3% and a perfect daily-reset 2× version would have returned 335.0%. Its measured daily beta to SPY was 2.00.
How SSO behaved
SSO returned 227.67% over 1444 sessions against 125.29% for SPY. Its annualized volatility was 32.85%. The average up day was 1.47% and the average down day 1.49%, the average daily range was 2.28% and the average overnight gap 0.87%. Beta to SPY measured 2.0 with a correlation of 1.0, and beta to QQQ was 1.38.
The fund's own calendar years were 65.04% in 2021, negative 38.99% in 2022, 46.61% in 2023, 43.55% in 2024, 26.16% in 2025 and 22.56% for 2026 so far. Its five best days include 18.78% on 2025-04-09 and 11.02% on 2022-11-10, and its worst days include 11.86% on 2025-04-04 and 9.57% on 2025-04-03. A single day can move the fund by more than most templates earned in a month. That is why the exit timing of a rule matters more here than on SPY: a rule that is out of the fund on 2025-04-04 and back in on 2025-04-09 captures a very different return from one that missed the rebound.
The leverage table compares SSO with twice SPY, year by year. In 2021 SSO returned 65.04% against 60.93% for twice SPY, a gap of 4.12 points in its favour. In 2022 it returned negative 38.99% against negative 36.32%, a gap of 2.67 points the wrong way. 2023 gave 46.61% against 52.37%, 2024 43.55% against 49.72%, 2025 26.16% against 35.44% and 2026 22.56% against 27.53%. Over the whole window, twice SPY's total return would be 250.58% and SSO's was 227.67%, a shortfall of 22.91 points. The shortfall was largest in 2025 at 9.28 points. SSO resets its leverage each day, so its return over months depends on the path of the daily moves.
The drawdown figures are the cost of that leverage. The fund had 32 falls of 10% or more from a 20-day high, spread over 174 sessions, against 11 for SPY. Its longest drawdown ran 541 sessions. That frequency is why the loss-limiting templates did so much better against holding here than on SPY.
The RSI evidence supports the winning rule. The 2-period RSI fell below 10 on 154 sessions, and the median 5-day forward return after those sessions was 1.57% against a baseline of 0.72%. The median 20-day return was 3.93% against 2.91%. The 14-period RSI fell below 30 on 21 sessions, with a median 5-day return of 7.08% and a 20-day median of 7.01%. Those readings fit the 70% win rate of the RSI(2) snapback and the 77% win rate of the RSI(14) rule. The RSI(14) rule still returned the least because its losers were bigger: an average loss of 12.38% against an average win of 8.63%, including a 17.95% loss on a trade opened on 2022-04-25 and a 15.53% loss on one opened on 2024-12-20.
The fund closed above its 200-day average on 73.17% of sessions and crossed the line 36 times. More crossings produce more false signals, and the 200-day filter's 18 round trips and 33% win rate reflect that. Lag-1 autocorrelation was negative 0.02.
Month averages are noisy at 5 or 6 observations each. September averaged negative 4.74%, and November 7.58%. Compare the same templates on SPUU, the Direxion 2X S&P 500 fund, where the best template was again the RSI(2) snapback at 24.12% against 22.48% for holding, and on QLD, ProShares Ultra QQQ, where it returned 26.17% against 23.55%. On TQQQ, ProShares UltraPro QQQ, the best template returned 39.31% against 25.35%.
The limits: one window, no fees in the headline runs, daily decisions, and leveraged-fund behaviour that depends on the path of daily returns. The results describe this window of SSO and carry no forecast.
Drawdowns, overnight returns and what the oversold readings did
Holding SSO had three drawdowns that mattered. The first was 46.12% from 2022-01-03 to the 2022-10-12 trough and took 506 days to recover, until 2024-03-01. The second was 34.9% from 2025-02-19 to 2025-04-08, with recovery on 2025-07-03. The third was 18.03% from 2026-01-12 to 2026-03-30, and it recovered on 2026-04-16. The fund spent 541 sessions in its longest drawdown.
Overnight log returns were 64.1% and intraday 51.08%, a split of 55.65% and 44.35%. A rule that trades only inside the session gets just under half of the return on this fund. The RSI(2) snapback held its trades for 4.5 days on average and was the only template to beat the fund.
RSI(14) fell below 30 on 21 sessions, and the median forward 5-day return was 7.08%, with a 20-day median of 7.01%, against baselines of 0.72% and 2.91%. The RSI(2) below 10 gave a 20-day median of 3.93%. With 21 sessions the RSI(14) sample supports one conclusion at most, that oversold readings in this window were followed by gains, and the template built on it made 13 round trips, won 77% and returned 7.4% a year. The shorter RSI(2) rule used a larger sample and earned 24.56%.
The weekday averages were 0.26% on Monday, 0.01% on Tuesday, 0.15% on Wednesday, 0.02% on Thursday and 0.1% on Friday. Lag-1 autocorrelation was -0.02. Neither supports a calendar rule or a next-day rule. The fund had 32 falls of 10% or more from a 20-day high, over 174 sessions.
The most correlated funds were SPY, VOO and VV at 1, SPUU at 0.99 and IOO at 0.96. The least correlated were the inverse funds SDS, SH and SPDN at -1. Among the other leveraged funds, TQQQ held at 25.35% and its RSI(2) snapback made 39.31%, and QLD held at 23.55% with 26.17%. The same rule led on each of those. SSO's average daily dollar volume was $233,922,508 and the median minute carried 7,870 shares.
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Frequently asked questions
What was the best strategy for SSO?
Of the 12 templates tested on SSO over 2021-01-04 to 2026-10-02, the strongest by CAGR was RSI(2) snapback at 24.6% (max drawdown 25.5%), versus 21.9% for buy-and-hold. The best result in hindsight is not a forecast. Check drawdowns and trade counts before drawing conclusions.
Did any strategy beat buying and holding SSO?
1 of 12 templates beat SSO buy-and-hold (21.9% CAGR) on this window; 12 of 12 had a shallower maximum drawdown than holding (46.1%).
Which strategy worked best on SSO?
The RSI(2) snapback returned 24.56% a year and ended at $35,285 from $10,000, with a 25.5% maximum drawdown and a Sharpe ratio of 1.11. It is the only one of the 12 templates that beat buy-and-hold's 21.92%.
Did the strategies cut SSO's drawdown?
Yes. All 12 had a shallower maximum drawdown than holding's 46.12%. The dip buyer, at 41.64%, and the monthly cycle, at 43.94%, were the closest to the fund's own.
How did the strategies do in 2022 on SSO?
Holding SSO lost 38.5% in 2022. The weekly 7% target lost 5.5% and the RSI(2) snapback lost 9%. The monthly cycle lost 41.5% and was the worst.
Do trading costs change the result on SSO?
They do for the busiest rules. At 10 basis points per fill the RSI(2) snapback fell from 24.56% to 17.46% a year and no longer beat holding. The golden cross moved from 8.92% to 8.83%.
Why did SSO return less than twice SPY?
SSO returned 227.67% against 250.58% for twice SPY's 125.29%. The gap was a shortfall of 22.91 points, and it was widest in 2025 at 9.28 points. SSO rebalances its leverage daily, so the result depends on the path of daily returns.
Why did the dip buyer have a large drawdown with every trade a winner?
One position opened on 2022-01-20 and held 750 days until it closed with an 8.01% gain. It sat through the 2022 decline, which produced a 41.64% drawdown and a 32.5% loss for the year.
Other leveraged etfs
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-10-02, $10,000 starting capital, no margin, no fees or slippage in the headline run; buy-and-hold puts 98% of the account in at the first open, as the templates do) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.