1. Executive Summary
YM Macro Review for June 2026
The Dow Jones benchmark (rebased series) advanced approximately +3.00% in June 2026, supported by a Federal Reserve that continued to signal a gradual easing bias following its June meeting, with markets pricing in at least one rate cut before year-end and Treasury yields drifting modestly lower through much of the month. Geopolitical tensions (particularly ongoing uncertainty around Middle East supply routes and residual trade-policy noise) created intermittent headwinds for risk assets mid-month, though dip-buying and a broadly constructive macro tone drove a firm rally into month-end that accounted for a meaningful portion of the benchmark's monthly gain. Against this backdrop, the strategy returned +0.13%, preserving capital but meaningfully lagging the benchmark as its more defensive positioning limited participation in the late-month upside move.
Signal Performance Overview for June 2026
Trailing 12-month Sharpe 0.926 and return 3.780% (through the period in Table 3 below). During the report month, the Dow Jones benchmark rose approximately 3.00%; the strategy returned +0.13% over the same window. The strategy maintained a maximum drawdown of -3.50% over the trailing 12 months, identical to the prior window, signaling consistent capital preservation discipline with no meaningful deterioration in downside exposure. Win rate edged higher to 53.38% from 53.05%, a modest but directionally positive improvement suggesting the edge remained stable and slightly more consistent across individual trades in the current period.
Signal Coverage — Dow Jones
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | YM | Dow Jones E-mini |
| Futures | MYM | Micro E-mini Dow Jones |
| 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:
- 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
| Category | Value |
|---|---|
| Model Family | Pythia |
| Version | v0.4.4 |
| 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 | -0.839 | 52.256 |
| 2026 Jun | 0.278 | 59.536 |
| 2026 May | 0.535 | 55.097 |
| 2026 Apr | -0.646 | 42.696 |
| 2026 Mar | -0.985 | 48.779 |
| 2026 Feb | -0.696 | 49.758 |
| 2026 Jan | 0.714 | 56.434 |
| 2025 Dec | 0.761 | 53.187 |
| 2025 Nov | 1.116 | 50.191 |
| 2025 Oct | 1.510 | 60.087 |
| 2025 Sep | 0.796 | 62.173 |
| 2025 Aug | 0.212 | 53.132 |
| 2025 Jul | 0.174 | 46.903 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| June 2026 | 0.278 | 59.536 |
| June 2025 | 0.003 | 55.682 |
| June 2024 | 1.176 | 62.127 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending June 2026 | 12 months ending May 2026 | Change |
|---|---|---|---|
| Sharpe | 0.926 | 0.825 | +0.101 |
| Ann Return (%) | 3.780 | 3.449 | +0.331 |
| Win Rate (%) | 53.380 | 53.054 | +0.326 |
| Max DD (%) | -3.498 | -3.498 | -0.000 |
| Volatility | 3.929 | 3.703 | +0.226 |
| Calmar | 1.040 | 0.874 | +0.166 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q2 2026 | 0.149 | 0.163 | 52.691 | -1.661 | 4.343 | 0.390 |
| Q1 2026 | -1.382 | -0.960 | 51.871 | -2.926 | 3.487 | -1.647 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the YM 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