Alpha Report
EUR/USD | July 2026

1. Executive Summary

6E Macro Review for July 2026

The Euro appreciated roughly 1.20% against the US dollar over July, supported by a shift in ECB communication toward a more cautious, on-hold stance after a run of prior cuts, while the Federal Reserve signalled it remained in no hurry to ease further, keeping rate-differential dynamics broadly EUR-supportive. Geopolitical tensions in the Middle East and residual uncertainty around US trade policy added intermittent safe-haven demand for the dollar mid-month, briefly capping EUR/USD gains, though a late-month softening in US labour data reignited dollar selling and drove a modest rally into month-end. Against this backdrop, the strategy returned +0.10%, meaningfully lagging the benchmark's +1.20% advance, suggesting positioning was either defensively sized or partially faded the directional move during the month.

Signal Performance Overview for July 2026

Trailing 12-month Sharpe 0.217 and return 0.687% (through the period in Table 3 below). During the report month, the EUR/USD benchmark (rebased series, see Figure 1) rose approximately 1.20%; the strategy returned +0.10% over the same window. Risk Posture & Period Comparison: The strategy maintained disciplined risk control with a max drawdown of -2.75%, a modest 11 basis point deterioration versus the prior window's -2.64%, suggesting contained but slightly elevated tail exposure. Win rate edged down to 52.47% from 53.88%, indicating a marginally less favorable hit ratio that, combined with the drawdown drift, points to a modestly softer period without any meaningful breakdown in overall risk character.

Signal Coverage — EUR/USD

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 14:00 ET) we decide to take a long, short or no position using 1/51 of our starting portfolio for the day (there are 51 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 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 6E 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