1. Executive Summary
YM Macro Review for March 2026
The Dow Jones Industrial Average faced headwinds in March 2026 as investors grappled with mixed Q1 earnings reports and ongoing concerns about Federal Reserve monetary policy direction amid persistent inflation pressures. Large-cap value stocks within the index showed particular sensitivity to interest rate expectations, creating increased intraday volatility that presented both breakout and reversal trading opportunities around key technical levels. Trading volumes remained elevated as institutional investors continued sector rotation strategies, with particular focus on the index’s technology and financial components responding to evolving economic data releases.
Signal Performance Overview for March 2026
The YM strategy demonstrates solid risk-adjusted performance with a 12-month Sharpe ratio of 1.60 and annual returns of 12.36%, though both metrics have declined from the previous period’s stronger performance (Sharpe: 2.02, Return: 14.77%). The strategy maintains excellent risk control with maximum drawdown limited to just -3.65% and a modest positive edge reflected in the 54.17% win rate. The primary concern is the notable deterioration in both absolute returns and risk-adjusted performance compared to the previous 12-month period, suggesting potential strategy degradation or challenging market conditions.
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 1/70 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 (YM: 1.5 bp ~ 2 ticks = $5). 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 | v0.3.0 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 24Q3 to 25Q3 |
| Final Validation Period | 25Q4 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | -0.960 | 51.871 |
| 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 |
| 2025 Jun | 0.100 | 55.688 |
| 2025 May | 0.835 | 58.398 |
| 2025 Apr | 7.793 | 52.574 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Mar 2026 | -0.985 | 48.779 |
| Mar 2025 | 0.935 | 58.711 |
| Mar 2024 | -0.038 | 41.694 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Mar 2026 | 12 months ending Feb 2026 | Change |
|---|---|---|---|
| Sharpe | 1.602 | 2.023 | -0.454 |
| Ann Return (%) | 12.358 | 14.769 | -2.736 |
| Win Rate (%) | 54.166 | 55.007 | -0.890 |
| Max DD (%) | -3.652 | -3.652 | 0.000 |
| Volatility | 7.485 | 7.784 | -0.306 |
| Calmar | 3.285 | 4.311 | -1.100 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q1 2026 | -1.382 | -0.960 | 51.871 | -2.926 | 3.487 | -1.647 |
| Q4 2025 | 2.974 | 14.404 | 54.559 | -1.177 | 4.843 | 12.239 |
| Q3 2025 | 1.444 | 4.292 | 54.167 | -1.123 | 2.972 | 3.822 |
| Q2 2025 | 2.286 | 37.891 | 55.700 | -3.651 | 16.575 | 10.378 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the YM price (100 = first day of March)
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