20-Day Momentum + Trailing Stop on SDS
ProShares UltraShort S&P500 — -2x daily S&P 500. Backtest 2021-01-04 → 2026-07-17, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
Year by year
| Year | momentum breakout | buy & hold |
|---|---|---|
| 2021 | −8.6% | −43.0% |
| 2022 | −18.1% | 28.8% |
| 2023 | −14.2% | −30.2% |
| 2024 | −18.2% | −28.2% |
| 2025 | 10.6% | −25.0% |
| 2026 | −5.6% | −11.7% |
The rules
Buy after a +10% four-week burst and let a 10% trailing stop manage the exit.
- WHEN the market opens · IF not invested AND the 20-day return > +10% · THEN buy with 98% of the sleeve
- WHILE invested · a managed trailing stop follows 10% below the position's high-water mark
Momentum entry, mechanical exit. A +10% gain over 20 sessions signals an asset in a genuine burst; the template buys the strength and hands the exit to a 10% trailing stop that ratchets up beneath the highest close and never moves down. There's no profit target — winners run until the trail catches them.
Good for: high-momentum assets where trends extend — semiconductor and leveraged tech ETFs show the archetype.
Watch out: buying strength means buying high; when a burst immediately reverses, the trail exits about 10% below the entry.
Build it from blocks (or type it in English), backtest it on 5.5 years of minute data in seconds, tweak any parameter, then paper trade it on live data. No card, no broker needed to start.
Frequently asked questions
Did momentum breakout beat buy-and-hold on SDS?
Over 2021-01-04–2026-07-17, momentum breakout on SDS returned −10.3% annualized vs −22.1% for buy-and-hold — it beat buy-and-hold by 11.8% per year, with a maximum drawdown 28.1 points shallower than holding (48.5% vs 76.5%).
How many trades did it make?
23 completed round trips over 5.5 years (46 fills), with 30% of round trips closing profitably.
How does the trailing stop work when deployed live?
DeployQuant maintains it as a managed order: it ratchets up as the position makes new highs and triggers a market exit when price falls through it. It never widens.
Related
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.