1. Executive Summary
CL Macro Review for June 2026
Crude Oil suffered a sharp decline of approximately 24.19% over June 2026, as a combination of demand-side pessimism and a significant OPEC+ supply increase, agreed at the group's early-June ministerial meeting, overwhelmed the market; geopolitical de-escalation in the Middle East further removed a key risk premium that had supported prices in prior months. The Federal Reserve held rates steady during the month but signaled a cautious easing bias, with Chair commentary pointing toward potential cuts later in 2026, a posture that offered limited near-term support to oil as the dollar remained firm and growth concerns dominated sentiment; a pronounced late-month sell-off into month-end accelerated losses as macro funds reduced commodity exposure ahead of quarter-end rebalancing. Against this difficult backdrop, the strategy contained drawdown meaningfully, returning -8.89% versus the benchmark's -24.19% decline, reflecting effective positioning that partially insulated the portfolio from the most severe leg of the move lower.
Signal Performance Overview for June 2026
Trailing 12-month Sharpe 1.284 and return 31.395% (through the period in Table 3 below). During the report month, the Crude Oil benchmark (rebased series, see Figure 1) declined approximately 24.19%; the strategy returned -8.89% over the same window.
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 | 8.348 | 51.406 |
| 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 |
| 2025 Jul | 5.666 | 62.163 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| June 2026 | -7.534 | 38.294 |
| June 2025 | 5.735 | 50.160 |
| June 2024 | -0.056 | 50.548 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending June 2026 | 12 months ending May 2026 | Change |
|---|---|---|---|
| Sharpe | 1.284 | 1.814 | -0.530 |
| Ann Return (%) | 31.395 | 50.849 | -19.454 |
| Win Rate (%) | 56.098 | 57.145 | -1.047 |
| Max DD (%) | -15.733 | -10.535 | -5.199 |
| Volatility | 23.682 | 27.776 | -4.094 |
| Calmar | 1.932 | 4.782 | -2.849 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q2 2026 | -3.545 | -11.778 | 43.906 | -15.349 | 11.000 | -2.541 |
| Q1 2026 | 1.956 | 23.061 | 58.992 | -9.762 | 67.927 | 13.609 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the CL price (100 = June 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