1. Executive Summary
CL Macro Review for September 2026
Crude oil climbed sharply again in September 2026 as the Strait of Hormuz standoff dragged on: ship-tracking data showed Hormuz transits at a fraction of their pre-war level, US–Iran talks to end the war stalled, and one month-end recap put WTI up about 18% for the month, with Middle East benchmarks rising even more. Analysts raised their price forecasts during the month, and the oil rally fed inflation and rate-hike expectations across markets.
Signal Performance Overview for September 2026
Trailing 12-month Sharpe 1.326 and return 24.672% (Table 3), up from Sharpe 1.174 and return 21.296% for the 12 months ending August.
The strategy returned +1.54% in September with a Sharpe of 1.06 and a win rate of 53.06%. Long positions drove the result (+2.88 points), catching the month's rally, while shorts lost 1.34 points; the maximum intra-month drawdown of −4.72% reflects the very volatile tape. (The rebased front-month series in Figure 1 includes the switch to the next contract during the month, so its change understates the move in crude.)
Risk Posture: The trailing 12-month maximum drawdown improved slightly to −17.77% from −18.07%, and the win rate rose about 0.9 percentage points to 52.27%: a stronger window on both return and consistency, though drawdowns remain large in absolute terms.
Signal Coverage: Crude Oil
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | CL | Crude Oil (WTI) |
| Futures | MCL | Micro WTI Crude Oil |
| ETF | USO | United States Oil Fund |
2. Trading Strategy
In order to produce the metrics below we use the signal in combination with the trading strategy below:
- Entry positions: every 5 minutes between 10:45 and 11:00 ET (4 possible openings per day) we take a long, short or no position. Each position is split into 5 parts, executed on each minute of the 5 minutes after the decision. No sizing adjustment.
- Exit positions: each decision's position is closed between 14:25 and 14:30 ET, its five parts over the five minutes.
- Costs: 0.75 bp per side, 1.5 bp round trip (CL). Extra exchange/clearing fees not included.
- Contract series & roll: Front month monthly contract. Switch at the open 12 trading days before the last business day of the month preceding delivery, ahead of the contract's last trading day, and start trading the next month.
For detailed examples, flowcharts, and a full walkthrough of the trading strategy, see Benchmark Trading Strategy.
3. Model Training Data and Timeframe
| Category | Value |
|---|---|
| Model Family | Pythia-v0.12.0: committee of models voting per decision |
| Version | OIL_DTC v11 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Trained Time Period | Q1 2020 to Q4 2025 |
| Final Validation Period | Jan 2026 to Aug 2026 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 22.826 | 54.582 |
| 2026 Sep | 1.542 | 53.061 |
| 2026 Aug | 3.720 | 52.308 |
| 2026 Jul | 3.772 | 52.258 |
| 2026 Jun | 3.493 | 52.533 |
| 2026 May | 0.038 | 61.277 |
| 2026 Apr | 14.675 | 80.400 |
| 2026 Mar | -0.293 | 45.294 |
| 2026 Feb | -2.934 | 50.000 |
| 2026 Jan | -1.185 | 48.400 |
| 2025 Dec | -2.124 | 34.468 |
| 2025 Nov | -0.794 | 41.404 |
| 2025 Oct | 4.764 | 56.533 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Sep 2026 | 1.542 | 53.061 |
| Sep 2025 | -1.834 | 42.623 |
| Sep 2024 | 3.033 | 61.176 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Sep 2026 | 12 months ending Aug 2026 | Change |
|---|---|---|---|
| Sharpe | 1.326 | 1.174 | 0.152 |
| Return (%) | 24.672 | 21.296 | 3.376 |
| Win Rate (%) | 52.269 | 51.349 | 0.920 |
| Max DD (%) | -17.769 | -18.072 | 0.303 |
| Volatility | 21.169 | 20.666 | 0.503 |
| Calmar | 1.347 | 1.143 | 0.203 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q3 2026 | 1.933 | 9.033 | 52.515 | -6.945 | 23.756 | 5.634 |
| Q2 2026 | 3.393 | 18.206 | 63.023 | -5.191 | 36.705 | 17.957 |
| Q1 2026 | -0.833 | -4.413 | 47.436 | -18.074 | 18.514 | -0.901 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the CL price (100 = September 01, 2026)
5. Next Steps
Download historical predictions for this month using the Client API and confirm performance in your own test harness:
- Sign-up: Create account
- API Documentation: https://quantumsignals.ai/documentation
6. Contact
Please reach out with any questions or comments at: info[at]quantumsignals.ai