DeployQuant3-Month Momentum Switch on SSO
ProShares Ultra S&P500: 2x daily leveraged S&P 500. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
The 3-month momentum switch holds SSO from the point its 63-day return tops 5% until that return sinks under 0%. ProShares Ultra S&P500, ticker SSO, aims to deliver 2x the S&P 500's daily move. From 2021-01-04 to 2026-10-02 the switch turned $10,000 into $16,084, a CAGR of 8.63% with a 39.52% maximum drawdown and a Sharpe ratio of 0.53. It made 18 closed round trips and won 9 of them, and a 19th position was open on the last day.
Holding SSO over the same dates turned $10,000 into $31,199, a CAGR of 21.92%, with a 46.12% drawdown and a Sharpe of 0.79. The strategy trailed by 13.29 points of CAGR a year and kept the deepest fall 6.6 points shallower. It beat holding in one calendar year, 2022. The headline run has no fees or slippage.
On the 12 strategies tested on SSO, 3-month momentum ranks 10th. The leaders are the RSI(2) snapback at 24.56% a year and the weekly 7% target at 21.27%. Across the 59 funds, SSO ranks 8th for this strategy. The rules are on the 3-month momentum strategy page. The result is one window of 5.74 years, daily decisions, and a fund whose own return was 227.67%, so the comparison is against a very strong run.
Year by year
| Year | 3-month momentum | buy & hold |
|---|---|---|
| 2021 | 19.4% | 63.6% |
| 2022 | −34.7% | −38.5% |
| 2023 | 31.9% | 45.6% |
| 2024 | 33.2% | 42.9% |
| 2025 | 16.3% | 25.9% |
| 2026 | 1.0% | 22.4% |
How each year compared with holding SSO
The fund's calendar years were 65.04% in 2021 and minus 38.99% in 2022, then 46.61% in 2023, 43.55% in 2024 and 26.16% in 2025. 2026 stands at 22.56% so far. The buy-and-hold column of the year table shows slightly different figures for the same years, 63.6%, minus 38.5%, 45.6%, 42.9%, 25.9% and 22.4%.
The strategy returned 19.4% in 2021, minus 34.7% in 2022, 31.9% in 2023, 33.2% in 2024, 16.3% in 2025 and 1% in 2026. The gaps to holding were 44.2, 13.7, 9.7, 9.6 and 21.4 points behind in 2021, 2023, 2024, 2025 and 2026, and 3.8 points ahead in 2022.
2021 explains the largest single gap. The strategy was flat in January, February and March, since the 63-day return had not yet cleared 5%, and it bought on 2021-04-07 at an adjusted $26.01. The fund had already risen by then. The first trade held 177 days to 2021-10-01 for 13%.
2022 is the one year the switch beat holding, and the margin was thin. The fund lost 38.99% and the strategy lost 34.7%. The four exits in 2022 all lost: minus 9.52% from the trade bought on 2021-12-08 and sold on 2022-01-21, minus 8.14% from 2022-08-10 to 2022-08-29, minus 14.91% from 2022-09-13 to 2022-09-23, and minus 5.38% from 2022-12-05 to 2022-12-07. The monthly table shows the strategy flat from February to July 2022, which kept it out of the spring and early summer decline, and then caught in August and September.
2023 and 2024 are years where the strategy made money but trailed. In 2023 it won 3 of 4 trades. The best was the 118-day trade from 2023-05-23 at $25.12 to 2023-09-18 at $28.09, a gain of 11.82%. In 2024 it made one exit, the 261-day trade from 2023-11-21 at $28.90 to 2024-08-08 at $37.24, which returned 28.86% and is the best trade of the test.
2026 so far is the weakest relative year, 1% against 22.4%. The fund was up 22.56%. The strategy lost 4.06% on the 3-day trade from 2026-02-10, lost 1.99% on the trade from 2026-02-23, then made 13.21% from 2026-04-22 to 2026-09-02, and lost 2.64% on 2026-09-08 to 2026-09-16. A new position opened on 2026-09-22 at $71.57 and is marked at a loss of 1.38% at the end of the data.
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 0.0% | 0.0% | 0.0% | 5.4% | 1.0% | 4.3% | 4.6% | 5.8% | −9.2% | 7.6% | −1.7% | 1.2% |
| 2022 | −12.1% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −8.0% | −14.6% | 0.0% | 0.0% | −5.6% |
| 2023 | 7.6% | −3.0% | 5.0% | 2.6% | −4.1% | 12.4% | 6.0% | −4.0% | −2.7% | 0.0% | 1.1% | 8.6% |
| 2024 | 2.5% | 9.7% | 6.0% | −8.4% | 9.4% | 6.5% | 1.5% | −3.1% | 3.6% | −2.5% | 11.3% | −5.3% |
| 2025 | −5.0% | −2.6% | 0.0% | 0.0% | 0.0% | 5.9% | 4.0% | 3.5% | 6.5% | 4.1% | −0.2% | −0.4% |
| 2026 | 2.3% | −8.1% | −1.0% | 2.5% | 10.1% | −2.7% | −0.5% | 4.8% | −6.8% | 1.8% | – | – |
The monthly pattern
The best month was June 2023 at 12.4%, followed by November 2024 at 11.29% and May 2026 at 10.05%. The worst was September 2022 at minus 14.58%, then January 2022 at minus 12.09% and September 2021 at minus 9.21%. Buy-and-hold on SSO had its best month in April 2026 at 21.21% and its worst in September 2022 at minus 17.99%, so the worst month was shared.
The strategy missed the best month of the fund. April 2026 was the fund's best at 21.21%, and the strategy was out of the fund until 2026-04-22, so it caught only the tail of that month and recorded 2.51%. The 3-month rule needs the 63-day return to rise above 5% before it buys, and after a sharp low the 63-day return is still negative. The caveat on the strategy page says this directly: a three-month lookback is slow, and a V-shaped recovery can see it re-enter well off the low.
The flat months are the other useful signal. The strategy held no position in any month from February to July 2022, in October and November 2022 as it re-armed, in October 2023, and in March to May 2025. The March to May 2025 gap is the April 2025 low, when the fund fell 11.86% on 2025-04-04 and rose 18.78% on 2025-04-09. The strategy was out for both days.
Exposure over the whole window was 65.4% of trading days, so about a third of the time was spent in cash. The cost of that cash was visible in the sharp rebounds and the benefit was visible in the 2022 fall.
Autumn is a consistent weak spot in the monthly record: September 2021 at minus 9.21%, September 2022 at minus 14.58%, December 2024 at minus 5.31% and September 2026 at minus 6.84%. The fund's own September average in the data is minus 4.74%, with six observations, so the seasonal figure describes this window only.
Every trade
3-month momentum on SSO made 18 closed round trips and one position still open at the end of the test, an average hold of 75 days, an average winner of 12.48%, an average loser of −5.69%, a profit factor of 2.11, a longest losing streak of 5. It held a position at the close on 65.4% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2021-04-07 | $26.01 | 2021-10-01 | $29.39 | 13.0% | 177 |
| 2021-10-15 | $31.16 | 2021-12-02 | $32.03 | 2.8% | 48 |
| 2021-12-08 | $34.44 | 2022-01-21 | $31.16 | −9.5% | 44 |
| 2022-08-10 | $26.67 | 2022-08-29 | $24.50 | −8.1% | 19 |
| 2022-09-13 | $24.42 | 2022-09-23 | $20.78 | −14.9% | 10 |
| 2022-12-05 | $24.18 | 2022-12-07 | $22.88 | −5.4% | 2 |
| 2022-12-27 | $21.76 | 2023-01-06 | $21.65 | −0.5% | 10 |
| 2023-01-09 | $22.54 | 2023-02-23 | $23.59 | 4.7% | 45 |
| 2023-03-22 | $23.28 | 2023-05-04 | $24.02 | 3.2% | 43 |
| 2023-05-23 | $25.12 | 2023-09-18 | $28.09 | 11.8% | 118 |
| 2023-11-21 | $28.90 | 2024-08-08 | $37.24 | 28.9% | 261 |
| 2024-08-14 | $39.91 | 2025-01-13 | $43.96 | 10.2% | 152 |
| 2025-01-22 | $48.50 | 2025-02-26 | $46.54 | −4.0% | 35 |
| 2025-06-10 | $45.65 | 2026-02-05 | $56.92 | 24.7% | 240 |
| 2026-02-10 | $59.41 | 2026-02-13 | $57.00 | −4.1% | 3 |
| 2026-02-23 | $58.24 | 2026-03-04 | $57.08 | −2.0% | 9 |
| 2026-04-22 | $61.15 | 2026-09-02 | $69.23 | 13.2% | 133 |
| 2026-09-08 | $70.49 | 2026-09-16 | $68.63 | −2.6% | 8 |
| 2026-09-22 | $71.57 | open | – | −1.4% | – |
Prices are adjusted for splits and dividends, so they sit below the quotes printed at the time. An open position is marked at the last close.
Nine winners and nine losers
Of 18 closed round trips, 9 won, a win rate of 50%. The average winner returned 12.48% and the average loser returned minus 5.69%. That gave a profit factor of 2.11, which is why a 50% win rate still made money. The median trade returned 2.79% and the median hold was 44 days, with an average hold of 75.4 days. The longest hold was 261 days and the shortest was 2. Both the longest winning streak and the longest losing streak ran to 5 trades.
The five best trades were 28.86% from 2023-11-21 at $28.90 to 2024-08-08 at $37.24, 24.69% from 2025-06-10 at $45.65 to 2026-02-05 at $56.92, 13.21% from 2026-04-22, 13% from 2021-04-07, and 11.82% from 2023-05-23. Each held between 118 and 261 days. A momentum filter makes its money on a few long holds, and these five carry nearly all of it.
The five worst were minus 14.91% from 2022-09-13 at $24.42 to 2022-09-23 at $20.78 over 10 days, minus 9.52% from 2021-12-08, minus 8.14% from 2022-08-10, minus 5.38% from 2022-12-05 and minus 4.06% from 2026-02-10. The worst is bigger than the usual loss, which is where the leverage matters. A 10-day loss of 14.91% on a fund that moves twice the index does not need a large index move.
The September 2022 trade shows the whipsaw clearly. The 63-day return was above 5% on 2022-09-13, and the buy filled at $24.42. Ten days later the 63-day return had turned negative and the sell filled at $20.78. The 5% entry is meant to keep the rule out of small bounces. It did not here, since the fund's 63-day return had cleared it.
Per exit year, 2021 had 2 trades and 2 wins. 2022 had 4 trades and none won. 2023 had 4 trades and 3 won. 2024 had 1 trade and it won. 2025 had 2 trades and 1 won. 2026 had 5 trades and 2 won. The 2022 row is the whole story of that year: four losers, with the rule's loss sizes between 5.38% and 14.91%.
The last closed trade, 2026-09-08 at $70.49 to 2026-09-16 at $68.63, lost 2.64%. The open position, from 2026-09-22 at $71.57, was marked at minus 1.38%.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2021-11-18 | 2022-12-28 | −39.5% | 405 | 2024-06-05 | 525 |
| 2024-07-16 | 2024-08-05 | −16.4% | 20 | 2024-11-07 | 94 |
| 2024-12-06 | 2025-06-20 | −15.3% | 196 | 2025-09-10 | 82 |
Buy-and-hold's deepest drawdown ran from 2022-01-03 to 2022-10-12 and reached −46.1%.
Drawdown depth and recovery
The strategy's deepest drawdown was 39.52%, from the peak on 2021-11-18 to the low on 2022-12-28, which took 405 days to reach. Recovery came on 2024-06-05, 525 days after the low. Holding SSO, the peak was 2022-01-03, the low came on 2022-10-12 at 46.12% down, and recovery was 2024-03-01, 506 days later.
The strategy's low is almost three months after the fund's, on 2022-12-28 against 2022-10-12. That is the cost of a slow exit and a slow entry. The strategy lost on the way down in January 2022 at minus 12.09%, then took further losses in August, September and December 2022, and was therefore lower at the end of the year than at the fund's low in October.
The two later strategy drawdowns were much smaller. The second ran 16.45% from 2024-07-16 to 2024-08-05, 20 days down, and recovered by 2024-11-07 after 94 days. The third ran 15.27% from 2024-12-06 to 2025-06-20 and recovered on 2025-09-10. The fund's own second drawdown was deeper, 34.9% from 2025-02-19 to 2025-04-08, recovered on 2025-07-03. The strategy was flat for the bottom of it.
The fund's third drawdown, 18.03% from 2026-01-12 to 2026-03-30, recovered in 17 days on 2026-04-16. The strategy sold on 2026-02-05 at a gain, then lost 4.06% on a three-day trade from 2026-02-10 and 1.99% on the next. This is the sequence behind the 2026 lag.
The drawdown gap in the strategy's favour is 6.6 points, 39.52% against 46.12%. Against that, the Sharpe ratio is 0.53 against 0.79, and the final value is $16,084 against $31,199. On risk-adjusted terms, holding the fund was ahead in this window.
With trading costs
The headline run fills at the bar price. These runs charge slippage on every fill.
| Slippage per fill | CAGR | Max drawdown | Final value | Sharpe |
|---|---|---|---|---|
| None (headline) | 8.6% | −39.5% | $16,084 | 0.53 |
| 5 basis points | 8.3% | −39.8% | $15,790 | 0.51 |
| 10 basis points | 8.0% | −40.1% | $15,516 | 0.49 |
Trading cost runs
The strategy made 37 fills over 5.74 years. At 5 basis points of slippage on every fill, the CAGR falls from 8.63% to 8.28% and the final value from $16,084 to $15,790. At 10 basis points the CAGR is 7.95% and the final value is $15,516. Drawdown widens from 39.52% to 39.84% and 40.15%, and the Sharpe falls from 0.53 to 0.509 and 0.493.
Costs matter less here than on a faster rule. With an average hold of 75.4 days, the cost of each round trip is spread over a long period of exposure. Each basis point of slippage came out of the result at a modest rate, and even at 10 basis points the strategy kept most of its headline return.
Liquidity is good. SSO averages $233,922,508 in daily dollar volume and 7,870 shares in the median minute. An account of $10,000 trades a small fraction of that. The modeled slippage is a flat assumption and does not scale with order size, so the cost runs apply to accounts of this scale only. They do not measure the spread that a particular broker would charge, and the headline run still has no cost at all.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 8.6% | −39.5% | 18 | 50% | $16,084 |
| Enter above 0% | 8.1% | −48.7% | 27 | 41% | $15,624 |
| Enter above 10% | 8.3% | −32.1% | 14 | 64% | $15,817 |
| Enter above 15% | 7.1% | −30.7% | 9 | 78% | $14,806 |
Entry threshold variants
The published rule enters above 5% and exits below 0%. Three alternative entries were run with the same exit. Entering above 0% returned 8.08% a year with a 48.73% drawdown, from 27 trades of which 11 won, ending at $15,624. Entering above 10% returned 8.31% with a 32.07% drawdown, from 14 trades of which 9 won, ending at $15,817. Entering above 15% returned 7.07% with a 30.72% drawdown, from 9 trades of which 7 won, ending at $14,806.
The CAGR barely moved across the four settings: 8.08%, 8.63%, 8.31% and 7.07%. The drawdown moved more. A zero-percent entry gave a drawdown of 48.73%, deeper than the fund's own 46.12%, because there was no buffer between the entry and exit levels and the rule flipped in and out around zero. The trade count went to 27. Raising the entry cut the drawdown to 32.07% at 10% and 30.72% at 15%, and the Sharpe stayed between 0.486 and 0.529.
The win rate rose with the threshold: 11 of 27 at 0%, 9 of 14 at 10% and 7 of 9 at 15%. A higher bar means fewer entries and a higher share of them are real advances. The 10% setting is the best of the four on Sharpe at 0.529 and carries a shallower drawdown than the published 5%.
These are four settings on one window, and picking the 10% one after seeing the results would be fitting. The result that holds up is the direction: a wider gap between entry and exit gave fewer trades and a shallower drawdown, with return roughly unchanged. How any setting would do on another stretch of SSO is not tested here.
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 |
How SSO behaved
SSO returned 227.67% over 1,444 sessions, a CAGR of 22.96% with annualized volatility of 32.85%. Its deepest fall was 46.75% from 2022-01-03 to 2022-10-12, with recovery on 2024-03-01, and the longest time under a prior peak was 541 sessions. It closed up on 53.64% of days. Up days averaged 1.47% and down days averaged 1.49% lower. Daily range averaged 2.28%, and the typical overnight gap was 0.87%.
The fund's biggest days show the leverage. The best day was 18.78% on 2025-04-09, and the worst was minus 11.86% on 2025-04-04. Other large days were 11.02% on 2022-11-10 and minus 9.57% on 2025-04-03. Daily moves of that size are why a position held through a reversal loses ground quickly.
Daily returns had a lag-1 autocorrelation of minus 0.02, so no daily trend. On the longer view SSO closed above its 200-day average on 73.17% of sessions and crossed the line 36 times. A persistent uptrend suits a momentum rule, and the fund's total return was far above what the strategy held.
Against SPY the fund's beta was 2 and its correlation was 1. That is the product design. The data splits SSO against SPY over the common window: SSO returned 227.67% and SPY returned 125.29%. Twice the SPY return would be 250.58%, and a daily-rebalanced two times model gives 334.97%. The gap between the fund and twice the underlying was minus 22.91 points. Year by year, the gap was positive in 2021 at 4.12 points and negative in the following years, reaching minus 9.28 points in 2025. Compounding of a daily-reset fund over a volatile stretch can pull the result away from twice the index return, which is what the data shows here.
On RSI, RSI(14) fell below 30 on 21 sessions and the median forward return was 7.08% over five days and 7.01% over 20 days, against baselines of 0.72% and 2.91%. RSI(2) below 10 appeared on 154 sessions with medians of 1.57% and 3.93%. Dips on SSO were followed by strong median rebounds, which a slow momentum rule gives up by waiting. The SSO fund page has the full profile.
Month-of-year averages rest on five or six observations each. November averaged 7.58%, July 5.75%, May 5.46% and October 5.34%, and September averaged minus 4.74%.
The rules
Hold while the trailing 3-month return is positive (above +5% to enter, below 0% to exit).
- WHEN the market opens · IF not invested AND the 63-day return > +5% · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND the 63-day return < 0% · THEN sell the whole position
Time-series momentum on a quarterly lookback, the horizon much of the academic momentum literature uses. The template enters after a +5% three-month run and exits when the same measure turns negative. The gap between entry (+5%) and exit (0%) is a buffer against flip-flopping around a single threshold.
Good for: assets with long, persistent cycles, such as index, sector and managed-futures ETFs.
Watch out: a three-month lookback is slow; V-shaped crashes and recoveries can see it exit near the bottom and re-enter well off the low.
How a 3-month filter meets a 2x fund
A 63-day return above 5% is a lower bar for a fund that moves at twice the index and has annualized volatility of 32.85%. Daily swings of 1.47% on the way up and 1.49% on the way down mean the 63-day return changes sign often. That is why the strategy made 18 round trips in 5.74 years and why the losers clustered in 2022.
The exit at 0% is also slow for a leveraged fund. By the time the 63-day return reaches zero, SSO has already given back part of its gain. The five worst trades give examples: minus 14.91% over 10 days and minus 9.52% over 44 days. The strength of the rule is the other side of that, the 261-day trade at 28.86% and the 240-day trade at 24.69%, where the filter stayed in a rising fund without any profit target.
Against the other 11 strategies on SSO, 3-month momentum is 10th. The leaders held the fund more. The RSI(2) snapback returned 24.56% with a 25.5% drawdown, the weekly 7% target returned 21.27%, monthly cycle 18.8%, and EMA 12/26 returned 17.3% with a 22.87% drawdown. Below it were golden cross at 8.92%, the SMA 10/50 trend at 8.39% and RSI mean reversion at 7.4%. The dip-buying rules gained on SSO because the dips bounced, and a momentum filter does not trade dips.
Within the leveraged group the same rule returned 16.43% on SOXL, 10.82% on QLD, 9.75% on SPUU, 8.63% on SSO, 8.45% on ROM, 7.66% on TQQQ and 7.63% on TECL. It lost money on FAS, UST and TMF. The median CAGR for the strategy across all 59 funds is 0% and across the leveraged group is 8.45%, so SSO at 8.63% sits just above the group median.
The test is one window with a very strong fund. It reports what a 63-day filter did on SSO from 2021 to 2026, with no fees in the headline. It does not predict how the filter will behave in a different market.
Build it from blocks (or type it in English), backtest it on 5.7 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 3-month momentum beat buy-and-hold on SSO?
Over 2021-01-04 to 2026-10-02, 3-month momentum on SSO returned 8.6% annualized vs 21.9% for buy-and-hold: it trailed buy-and-hold by 13.3% per year, with a maximum drawdown 6.6 points shallower than holding (39.5% vs 46.1%).
How many trades did it make?
18 completed round trips over 5.7 years (37 fills), with 50% of round trips closing profitably.
Why 63 days?
63 trading days is about one quarter, a common momentum lookback. You can sweep it in DeployQuant to see how the horizon changes results.
Did the 3-month momentum switch beat buy-and-hold on SSO?
No, on return. From 2021-01-04 to 2026-10-02 it returned 8.63% a year and finished at $16,084, against 21.92% and $31,199 for holding SSO. The maximum drawdown was 39.52% against 46.12%, and the strategy won only in 2022.
How many trades did the strategy make on SSO?
It closed 18 round trips and made 37 fills, and 9 of the round trips won, a win rate of 50%. One more position opened on 2026-09-22 at an adjusted $71.57 and was still open at the end of the data, marked at a loss of 1.38%.
What was the best and worst trade?
The best trade returned 28.86%, from 2023-11-21 at $28.90 to 2024-08-08 at $37.24. The worst lost 14.91%, from 2022-09-13 to 2022-09-23 over 10 days.
How did slippage change the result?
At 5 basis points per fill the CAGR was 8.28% and the final value $15,790. At 10 basis points it was 7.95% and $15,516. The headline run has no slippage, so the costs lower the result without changing the ranking.
What happens with a different entry threshold?
Entering above 0% gave 8.08% a year with a 48.73% drawdown. Entering above 10% gave 8.31% with a 32.07% drawdown and entering above 15% gave 7.07% with a 30.72% drawdown. The published rule uses 5%.
Why did the strategy lag in 2026?
It returned 1% through 2026-10-02 while SSO returned 22.4% on a buy-and-hold basis. The rule sold on 2026-02-05 and was out for most of the fall and the sharp rebound, and it lost on three short trades.
Where does SSO rank for this strategy?
SSO ranks 8th of 59 funds for 3-month momentum, and the strategy ranks 10th of 12 on SSO. The median CAGR across the leveraged group is 8.45%, against 8.63% on SSO.
Related
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.