1. Executive Summary
YM Macro Review for May 2026
During May 2026, the Dow Jones benchmark gained +2.86% while our strategy returned +0.59%, underperforming the equity rally as risk assets benefited from the Federal Reserve's continued pause in its tightening cycle amid growing market expectations for potential rate cuts in the second half of the year. Geopolitical tensions in Eastern Europe showed signs of de-escalation mid-month, contributing to improved risk sentiment and supporting the broader equity advance. The index experienced a notable late-month surge, with the final week accounting for roughly half of May's gains as investors positioned ahead of key employment data expected in early June.
Signal Performance Overview for May 2026
Trailing 12-month Sharpe 0.825 and return 3.449% (through the period in Table 3 below). During the report month, the Dow Jones benchmark rose approximately 2.86%; the strategy returned +0.59% over the same window. The current 12-month period shows a slightly deteriorated risk profile with maximum drawdown expanding from -3.22% to -3.50%, while the win rate declined modestly from 53.31% to 53.05%. Despite these marginal increases in risk metrics, the strategy maintains relatively controlled downside exposure and consistent hit rates that remain above the 50% threshold.
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. 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 26Q1 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | -1.109 | 50.698 |
| 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 (%) |
|---|---|---|
| May 2026 | 0.535 | 55.097 |
| May 2025 | 0.835 | 58.398 |
| May 2024 | 0.692 | 56.589 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending May 2026 | 12 months ending Apr 2026 | Change |
|---|---|---|---|
| Sharpe | 0.825 | 1.064 | -0.239 |
| Ann Return (%) | 3.449 | 3.778 | -0.329 |
| Win Rate (%) | 53.054 | 53.307 | -0.254 |
| Max DD (%) | -3.498 | -3.220 | -0.278 |
| Volatility | 3.703 | 3.795 | -0.093 |
| Calmar | 0.874 | 1.254 | -0.380 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the YM price (100 = May 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