Alpha Report
EUR/USD | May 2026

1. Executive Summary

6E Macro Review for May 2026

The 6E benchmark (rebased series) declined approximately 0.60% in May 2026, as the euro came under modest pressure amid a diverging monetary policy backdrop: the ECB signalling a continued, if gradual, easing trajectory while the Federal Reserve held rates steady, tempering near-term rate-differential support for the single currency. Lingering geopolitical uncertainty in Eastern Europe and renewed trade-policy concerns weighed on risk sentiment through mid-month, contributing to choppy price action before a partial late-month recovery faded into month-end selling. Against this backdrop, the strategy navigated the volatility effectively, returning +0.02% over the same window and broadly preserving capital where the benchmark gave ground.

Signal Performance Overview for May 2026

Trailing 12-month Sharpe 1.289 and return 2.575% (through the period in Table 3 below). During the report month, the 6E benchmark (rebased series) declined approximately 0.60%; the strategy returned +0.02% over the same window. The strategy maintained a win rate of 53.99%, identical to the prior 12-month window, while max drawdown deepened modestly from -1.24% to -1.66%, suggesting slightly elevated but still well-contained downside pressure. Overall, the current period reflects a marginally more stressed equity curve than its predecessor, though the consistency in win rate indicates no meaningful deterioration in trade-level accuracy.

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 = 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