1. Executive Summary
CL Macro Review for July 2026
WTI crude surged approximately 24.66% in July 2026, a sharp move driven by a confluence of supply disruptions and renewed geopolitical risk premium, most notably escalating tensions in key Middle Eastern export corridors that tightened near-term supply expectations and triggered aggressive short-covering across energy markets. The Federal Reserve, having shifted toward an easing posture heading into the month, provided an additional tailwind for risk assets and commodity prices as expectations for rate cuts firmed, weakening the dollar and supporting crude's late-month rally into month-end. Against this backdrop, the strategy returned -5.04%, underperforming the benchmark materially, likely reflecting positioning that was not aligned with the speed and magnitude of the directional move higher.
Signal Performance Overview for July 2026
Trailing 12-month Sharpe 0.804 and return 17.486% (through the period in Table 3 below). During the report month, the Crude Oil benchmark (rebased series, see Figure 1) rose approximately 24.66%; the strategy returned -5.04% over the same window. Risk Posture: The current 12-month window shows a modest deterioration in both consistency and downside control, with win rate slipping roughly 1.7 percentage points to 54.39% and max drawdown deepening to -20.45% versus -15.73% in the prior period. This wider drawdown profile suggests the strategy encountered more sustained adverse moves during the current window, even as the majority of trades remained profitable, pointing to a period where losses, when they occurred, carried greater magnitude.
Signal Coverage — Crude Oil
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | CL | Crude Oil Futures |
| Futures | MCL | Micro Crude Oil Futures |
| 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:
- Leverage: No leverage is applied for this strategy and metrics
- Positions:
- Entry positions: Every 5 minutes (between 09:45 and 14:00 ET) we decide to take a long, short or no position using 1/51 of our starting portfolio for the day (there are 51 possible openings per day). Each long/short position is then split into 5 parts and executed on each minute for the next 5 minutes following the decision. There is no sizing adjustment.
- Exit positions: We exit all positions at the end of the day. The exits are split over five minutes (15:55–16:00 ET).
- Costs: 1.5 bp round-turn assumption. Extra exchange/clearing fees not included.
- Contract series & roll: Front-month continuous. Switch at the open T–5 trading days before expiration; stop trading the expiring contract and start trading the next.
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 |
| Version | v0.8.0 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 21Q1 to 24Q4 |
| Final Validation Period | 25Q1 to 26Q2 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 2.374 | 50.149 |
| 2026 Jul | -5.506 | 42.692 |
| 2026 Jun | -7.534 | 38.294 |
| 2026 May | -6.006 | 43.129 |
| 2026 Apr | 1.735 | 50.665 |
| 2026 Mar | 12.787 | 59.378 |
| 2026 Feb | 1.497 | 53.420 |
| 2026 Jan | 6.909 | 64.117 |
| 2025 Dec | 3.847 | 67.291 |
| 2025 Nov | 3.915 | 58.756 |
| 2025 Oct | 1.942 | 60.899 |
| 2025 Sep | -0.238 | 54.971 |
| 2025 Aug | 4.697 | 59.455 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Jul 2026 | -5.506 | 42.692 |
| Jul 2025 | 5.666 | 62.163 |
| Jul 2024 | -0.672 | 45.741 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Jul 2026 | 12 months ending Jun 2026 | Change |
|---|---|---|---|
| Sharpe | 0.804 | 1.284 | -0.480 |
| Ann Return (%) | 17.486 | 31.395 | -13.909 |
| Win Rate (%) | 54.394 | 56.098 | -1.705 |
| Max DD (%) | -20.452 | -15.733 | -4.719 |
| Volatility | 21.783 | 23.682 | -1.899 |
| Calmar | 0.856 | 1.932 | -1.076 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the CL price (100 = July 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: Start Free Trial
- API Documentation: https://quantumsignals.ai/documentation
6. Contact
Please reach out with any questions or comments at: info[at]quantumsignals.ai