1. Executive Summary
GC Macro Review for September 2026
Gold had a sharp monthly decline in September 2026 (reported between −6.6% and −8.5% depending on the cut-off): real yields rose at their fastest monthly pace in four years, with the 10-year TIPS yield up about 0.44 percentage points to near a record, after the Federal Reserve raised rates on 16 September and signalled more increases. A firmer dollar, oil-driven rate-hike expectations and futures liquidation added to the pressure, leaving gold more than 20% below its January record.
Signal Performance Overview for September 2026
Trailing 12-month Sharpe 1.714 and return 21.990% (Table 3), compared with Sharpe 1.749 and return 22.445% for the 12 months ending August.
During the report month the rebased gold series in Figure 1 fell about 4.8%; the strategy lost a modest 0.19% (Sharpe −0.41) despite a 55.24% win rate, with a maximum intra-month drawdown of −2.64%. Both sides gave back a little (long −0.12 points, short −0.08 points): the strategy limited the damage in the selloff but did not capture the decline.
Risk Posture: The trailing 12-month maximum drawdown was essentially unchanged (−6.61% vs −6.59%), and the win rate eased about 0.2 percentage points to 55.14%: a stable risk profile through a difficult month for the metal.
Signal Coverage: Gold
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | GC | Gold |
| Futures | MGC | Micro Gold |
| ETF | GLD | SPDR Gold Shares |
2. Trading Strategy
In order to produce the metrics below we use the signal in combination with the trading strategy below:
- Entry positions: every 5 minutes between 09:30 and 09:45 ET (4 possible openings per day) we take a long, short or no position. Each position is split into 5 parts, executed on each minute of the 5 minutes after the decision. No sizing adjustment.
- Exit positions: each decision's position is closed between 13:25 and 13:30 ET, its five parts over the five minutes.
- Costs: 0.75 bp per side, 1.5 bp round trip (GC). Extra exchange/clearing fees not included.
- Contract series & roll: Active gold delivery months only (Feb, Apr, Jun, Aug, Dec). Switch at the open 6 trading days before First Notice (the last business day of the month preceding delivery) and start trading the next active month.
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-v0.12.0: committee of models voting per decision |
| Version | GOLD_DTC v11 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Trained Time Period | Q1 2020 to Q4 2025 |
| Final Validation Period | Jan 2026 to Aug 2026 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 16.478 | 54.221 |
| 2026 Sep | -0.194 | 55.238 |
| 2026 Aug | -3.819 | 34.762 |
| 2026 Jul | 3.468 | 67.174 |
| 2026 Jun | 1.293 | 48.636 |
| 2026 May | 1.581 | 49.286 |
| 2026 Apr | 1.528 | 51.667 |
| 2026 Mar | 0.780 | 45.909 |
| 2026 Feb | 4.423 | 71.750 |
| 2026 Jan | 7.418 | 63.636 |
| 2025 Dec | 0.533 | 58.000 |
| 2025 Nov | -0.439 | 41.290 |
| 2025 Oct | 5.419 | 72.895 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Sep 2026 | -0.194 | 55.238 |
| Sep 2025 | 0.260 | 57.662 |
| Sep 2024 | -0.849 | 48.831 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Sep 2026 | 12 months ending Aug 2026 | Change |
|---|---|---|---|
| Sharpe | 1.714 | 1.749 | -0.035 |
| Return (%) | 21.990 | 22.445 | -0.455 |
| Win Rate (%) | 55.141 | 55.334 | -0.193 |
| Max DD (%) | -6.610 | -6.594 | -0.016 |
| Volatility | 13.659 | 13.724 | -0.065 |
| Calmar | 3.228 | 3.302 | -0.074 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q3 2026 | -0.251 | -0.545 | 52.636 | -6.832 | 7.972 | -0.303 |
| Q2 2026 | 1.726 | 4.402 | 49.844 | -5.829 | 11.633 | 3.171 |
| Q1 2026 | 2.609 | 12.622 | 60.078 | -6.960 | 29.585 | 8.575 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the GC price (100 = September 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: Create account
- API Documentation: https://quantumsignals.ai/documentation
6. Contact
Please reach out with any questions or comments at: info[at]quantumsignals.ai