Alpha Report
Dow Jones
Composite Signal
2022–2026

1. Executive Summary

Signal Coverage: Dow Jones Industrial Average

Dow Jones Industrial Average Macro Review:

• 2022: Dow futures fell about 9%, less than the other indices thanks to the Dow's tilt to value and defensive stocks. The low came on 30 September; a strong Q4 (+12%) recovered part of the decline as inflation began to ease.
• 2023: About +15%, nearly all of it in Q4 (+13%), when falling yields and expected rate cuts lifted the index to a record high in late December after a flat first nine months.
• 2024: About +13%, with new records through the year as the Fed began cutting; the index peaked on 4 December.
• 2025: About +13%, through the April tariff low on 8 April to a record high in late December, helped by Fed cuts from September.
• 2026 (to 28 Sep): About +7%. The Iran conflict and oil spike drove the 30 March low; the index rallied +12% in Q2 to an August high, then eased in Q3 as Gulf tensions and yields rose again.

Signal Performance Overview:

• 2022: +5.5% (Sharpe 0.91), almost entirely from longs (+5.5%), with a shallow −3.2% drawdown in a falling market.
• 2023: +4.8% (Sharpe 1.38), with the highest participation of the five years (49%) and a 57% hit rate; both sides contributed.
• 2024: −3.1% (Sharpe −0.92): both sides lost (longs −1.2%, shorts −0.4%) with a 48% hit rate while the index rose 13%.
• 2025: +7.0% (Sharpe 1.01), mainly from longs (+6.5%), following the year's recovery, at a 58% hit rate.
• 2026 (F1, to 28 Sep): +5.3% (Sharpe 2.16), its best risk-adjusted year of the walk-forward, with the smallest drawdown of the five years (−1.8%), gains evenly split between longs and shorts.

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 09:45 and 15:25 ET (69 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 15:55 and 16:00 ET, its five parts over the five minutes.
• Costs: 0.75 bp per side, 1.5 bp round trip (YM). Extra exchange/clearing fees not included.
• Contract series & roll: Front month quarterly contract (Mar, Jun, Sep, Dec). Switch at the open 5 trading days before expiration (the third Friday of the contract month): stop trading the expiring contract and start trading the next.

3. Model Training Data and Timeframe

Each year of Section 4 is scored by the committee of its own walk-forward fold, trained and validated only on data before that year:

4. Performance Metrics: walk-forward, 2022 – 2026

4.1 Return and Risk Metrics

Quarterly and annual return, risk-adjusted performance and drawdown for the trading strategy defined in Section 2. Sharpe is per session on fixed capital. 2026 runs to 2026-09-28.

Table 1: Quarterly and Annual Metrics

Figure 1: Cumulative equity from $1,000,000, quarterly returns compounded from 22Q1 (out-of-sample)

The curve compounds the quarterly returns from $1,000,000 for illustration. The strategy metrics in this report assume fixed capital, so the ending value is not the sum of the quarterly returns.

4.2 Participation, Recall and Effective Leverage

Quarterly and annual view of how often the signal trades, how many of the realised moves it captures, and how much of the notional capital is deployed on average.

Table 2: Quarterly and Annual Participation, Recall and Effective Leverage

5. Next Steps

Download historical predictions 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