Alpha Report
Dow Jones | July 2026

1. Executive Summary

YM Macro Review for July 2026

July 2026 proved a modestly negative month for U.S. large-cap equities, with the Dow Jones benchmark (rebased series) slipping approximately 0.05% as markets navigated a Federal Reserve that remained firmly on hold, offering no fresh signals of near-term easing despite softer inflation prints mid-month. Lingering geopolitical uncertainty, particularly around Middle East supply-chain tensions and renewed trade friction with key Asian partners, weighed on sentiment and capped any sustained upside, with a late-month risk-off move into month-end erasing an earlier modest recovery. Against this backdrop, the strategy returned -0.23%, underperforming the benchmark by roughly 18 basis points as the choppy, range-bound price action made directional positioning difficult to sustain profitably.

Signal Performance Overview for July 2026

Trailing 12-month Sharpe 0.751 and return 3.096% (through the period in Table 3 below). During the report month, the Dow Jones benchmark (rebased series, see Figure 1) declined approximately 0.05%; the strategy returned -0.23% over the same window. Risk Posture & Period Comparison: The strategy maintained a maximum drawdown of -3.50% across both windows, signaling consistent capital preservation discipline with no meaningful deterioration in tail risk. Win rate edged modestly higher to 53.83% from 53.38%, suggesting a slight improvement in trade selection quality even as overall market conditions in the current period presented a broadly comparable risk environment to the prior 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 1/69 of our starting portfolio for the day (there are 69 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 = 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