Alpha Report
EUR/USD | June 2026

1. Executive Summary

6E Macro Review for June 2026

The EUR/USD futures benchmark declined approximately 1.52% in June 2026, as the U.S. dollar regained broad support amid a Federal Reserve that held rates steady but struck a notably hawkish tone, pushing back market expectations for near-term easing and reinforcing dollar demand into month-end. Renewed geopolitical uncertainty (including escalating trade friction between the U.S. and key European trading partners) weighed on euro sentiment, with a late-month sell-off amplifying losses as risk appetite deteriorated and positioning was unwound ahead of quarter-end rebalancing. Against this backdrop, the strategy contained drawdown more effectively, returning -0.81% over the same window and outperforming the benchmark by approximately 71 basis points.

Signal Performance Overview for June 2026

Trailing 12-month Sharpe 0.528 and return 1.261% (through the period in Table 3 below). During the report month, the 6E benchmark declined approximately 1.52%; the strategy returned -0.81% over the same window. Drawdown deepened modestly to -2.64% from -1.66% in the prior window, reflecting slightly elevated volatility exposure, while the win rate held broadly stable at 53.90% versus 54.01% (a negligible erosion that signals consistent directional accuracy). Overall, the current period feels marginally more turbulent beneath the surface, but the near-unchanged win rate suggests the strategy's edge remained intact despite the wider drawdown.

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

Table 4: Quarterly Performance

Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the 6E 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