1. Executive Summary
GC Macro Review for June 2026
Gold futures came under significant pressure in June 2026, with the benchmark declining approximately 10.63% over the month, as a combination of renewed USD strength and a Federal Reserve signalling a slower pace of easing than markets had priced (effectively pushing back rate-cut expectations and weighing on non-yielding metals). Geopolitical risk premiums that had supported gold earlier in the year faded mid-month as diplomatic progress on key flashpoints reduced safe-haven demand, and a sharp late-month sell-off into month-end accelerated losses as institutional positioning unwound ahead of quarter-end rebalancing. Against this backdrop, the strategy navigated the drawdown effectively, returning +4.47% for the month by reducing gross exposure to the long side and capturing short-side opportunities during the accelerating decline.
Signal Performance Overview for June 2026
Trailing 12-month Sharpe 1.600 and return 12.614% (through the period in Table 3 below). During the report month, the Gold benchmark declined approximately 10.63%; the strategy returned +4.47% over the same window. Win rate edged higher to 54.06% from 53.18%, signaling a modest but consistent improvement in trade selection quality. However, max drawdown deepened to -4.30% from -3.81%, suggesting the current window carries slightly more peak-to-trough stress despite the stronger hit rate.
Signal Coverage — Gold
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | GC | Gold Futures |
| Futures | MGC | Micro Gold Futures |
| 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:
- 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 1/69 of our starting portfolio for the day (there are 69 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 | v0.5.1 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 21Q1 to 24Q4 |
| Final Validation Period | 25Q1 to 26Q2 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 10.032 | 55.435 |
| 2026 Jun | 4.651 | 64.205 |
| 2026 May | -2.362 | 39.109 |
| 2026 Apr | 1.137 | 55.014 |
| 2026 Mar | 3.108 | 57.767 |
| 2026 Feb | 0.434 | 61.436 |
| 2026 Jan | 2.907 | 56.117 |
| 2025 Dec | -0.925 | 48.017 |
| 2025 Nov | -0.242 | 46.649 |
| 2025 Oct | 3.039 | 66.275 |
| 2025 Sep | -0.297 | 44.230 |
| 2025 Aug | -0.084 | 52.461 |
| 2025 Jul | 0.852 | 57.582 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| June 2026 | 4.651 | 64.205 |
| June 2025 | -0.409 | 53.080 |
| June 2024 | 1.357 | 58.480 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending June 2026 | 12 months ending May 2026 | Change |
|---|---|---|---|
| Sharpe | 1.600 | 1.058 | +0.542 |
| Ann Return (%) | 12.614 | 7.114 | +5.501 |
| Win Rate (%) | 54.056 | 53.182 | +0.874 |
| Max DD (%) | -4.300 | -3.808 | -0.492 |
| Volatility | 7.832 | 6.517 | +1.315 |
| Calmar | 2.915 | 1.811 | +1.105 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q2 2026 | 1.481 | 3.271 | 52.365 | -4.300 | 9.335 | 3.216 |
| Q1 2026 | 2.495 | 6.530 | 58.324 | -3.808 | 12.101 | 7.931 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the GC 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