1. Executive Summary
YM Macro Review for September 2026
September's rate shock weighed on the value-heavy Dow: the Federal Reserve raised rates to 3.75–4.00% on 16 September, its first hike since 2023, and the 10-year Treasury yield rose from about 4.75% to 5.29%, with Financials among the weakest sectors. Market gains were concentrated in a handful of technology mega-caps, leaving the broader and more traditional parts of the market lower for the month.
Signal Performance Overview for September 2026
Trailing 12-month Sharpe 1.706 and return 5.467% (Table 3), up from Sharpe 1.482 and return 4.611% for the 12 months ending August.
During the report month the rebased Dow futures series in Figure 1 fell about 2.8%; the strategy returned +0.67% with a Sharpe of 2.43 and a win rate of 51.45%, and a maximum intra-month drawdown of −0.53%. Short positions contributed most (+0.47 points) and longs added +0.19 points, so the strategy profited despite the index's decline.
Risk Posture: The trailing 12-month maximum drawdown was unchanged at −1.79%, and the win rate improved by about 0.8 percentage points to 55.04%, strengthening an already low-drawdown profile.
Signal Coverage: Dow Jones Industrial Average
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | YM | E-mini Dow |
| Futures | MYM | Micro E-mini Dow |
| ETF | DIA | SPDR Dow Jones Industrial Average ETF |
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.
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 | DOW30_DTC v16 |
| 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 | 5.522 | 55.196 |
| 2026 Sep | 0.665 | 51.452 |
| 2026 Aug | 0.615 | 81.337 |
| 2026 Jul | 0.578 | 54.477 |
| 2026 Jun | 2.494 | 68.256 |
| 2026 May | -1.291 | 26.291 |
| 2026 Apr | 0.597 | 47.661 |
| 2026 Mar | 1.049 | 62.384 |
| 2026 Feb | 0.108 | 54.330 |
| 2026 Jan | 0.707 | 55.930 |
| 2025 Dec | 0.338 | 56.825 |
| 2025 Nov | 0.118 | 52.349 |
| 2025 Oct | -0.511 | 53.524 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Sep 2026 | 0.665 | 51.452 |
| Sep 2025 | -0.191 | 40.377 |
| Sep 2024 | 0.163 | 57.830 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Sep 2026 | 12 months ending Aug 2026 | Change |
|---|---|---|---|
| Sharpe | 1.706 | 1.482 | 0.224 |
| Return (%) | 5.467 | 4.611 | 0.857 |
| Win Rate (%) | 55.036 | 54.243 | 0.793 |
| Max DD (%) | -1.790 | -1.793 | 0.003 |
| Volatility | 3.226 | 3.122 | 0.104 |
| Calmar | 2.970 | 2.500 | 0.470 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q3 2026 | 3.074 | 1.858 | 60.074 | -0.784 | 2.460 | 9.289 |
| Q2 2026 | 1.816 | 1.800 | 49.904 | -1.711 | 4.157 | 4.254 |
| Q1 2026 | 2.028 | 1.864 | 57.573 | -1.492 | 3.858 | 5.056 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the YM 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