Alpha Report
Dow Jones | April 2026

1. Executive Summary

YM Macro Review for April 2026

During April 2026, the Dow Jones benchmark surged approximately 6.46% as markets rallied on signals that the Federal Reserve was shifting toward a more accommodative stance, with policymakers indicating potential rate cuts later in the year amid cooling inflation data. Geopolitical tensions in Eastern Europe showed signs of de-escalation mid-month, contributing to renewed risk appetite and a strong equity rally that accelerated into month-end. However, our YM strategy underperformed significantly with a -1.94% return, as the systematic approach struggled to capture the momentum-driven rally and was likely positioned defensively during the period's sustained risk-on environment.

Signal Performance Overview for April 2026

Trailing 12-month Sharpe 0.70 and return 2.32% (through the period in Table 3 below). During the report month, the Dow Jones benchmark rose approximately 6.46%; the strategy returned -1.94% over the same window. The current 12-month period shows a modest deterioration in risk metrics, with maximum drawdown expanding from -3.65% to -4.38% while the win rate declined from 54.17% to 52.76%. Despite these changes, the strategy maintains relatively controlled downside exposure and a positive edge, though with slightly less consistency than the previous measurement window.

Signal Coverage — Dow Jones

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 15:30 ET) we decide to take a long, short or no position using 1/70 of our starting portfolio for the day (there are 70 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

4. Performance Metrics

Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)

Table 2: Year over Year Performance Comparison

Table 3: 12-Months Ending Performance

Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the YM price (100 = Apr 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