1. Executive Summary
GC Macro Review for May 2026
During May 2026, gold futures posted a modest gain of +0.46% despite ongoing geopolitical tensions in Eastern Europe and persistent concerns over trade relations between major economies, which typically provide stronger tailwinds for the precious metal. The Federal Reserve's continued pause in its easing cycle, following mixed inflation data mid-month, kept real yields elevated and limited gold's appeal relative to yield-bearing assets. Our GC strategy underperformed significantly with a -2.94% return, as tactical positioning proved poorly timed around month-end volatility when gold experienced a sharp selloff in the final trading sessions despite earlier resilience.
Signal Performance Overview for May 2026
Trailing 12-month Sharpe 0.98 and return 6.60% (through the period in Table 3 below). During the report month, the Gold benchmark rose approximately 0.46%; the strategy returned -2.94% over the same window. The strategy maintained its maximum drawdown at -3.81% while experiencing a modest decline in win rate from 56.17% to 53.27%, indicating slightly less consistent performance despite preserved downside protection. The current period reflects a more challenging trading environment with reduced hit rate efficiency, though risk management remains well-controlled within historical parameters.
Signal Coverage — Gold
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | GC | Gold Futures (COMEX) |
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 1/70 of our starting portfolio for the day (there are 70 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–10 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 | v0.5.0 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 21Q1 to 24Q4 |
| Final Validation Period | 25Q1 to 26Q1 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 4.047 | 53.042 |
| 2026 May | -2.743 | 38.092 |
| 2026 Apr | 1.137 | 55.014 |
| 2026 Mar | 3.108 | 57.767 |
| 2026 Feb | -0.364 | 58.322 |
| 2026 Jan | 3.004 | 56.098 |
| 2025 Dec | -0.925 | 48.017 |
| 2025 Nov | 0.368 | 51.547 |
| 2025 Oct | 3.039 | 66.275 |
| 2025 Sep | -0.297 | 44.230 |
| 2025 Aug | -0.084 | 52.461 |
| 2025 Jul | 0.852 | 57.582 |
| 2025 Jun | -0.409 | 53.080 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| May 2026 | -2.743 | 38.092 |
| May 2025 | 3.138 | 73.522 |
| May 2024 | 0.231 | 54.168 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending May 2026 | 12 months ending Apr 2026 | Change |
|---|---|---|---|
| Sharpe | 0.976 | 1.844 | -0.868 |
| Ann Return (%) | 6.596 | 13.007 | -6.411 |
| Win Rate (%) | 53.272 | 56.172 | -2.900 |
| Max DD (%) | -3.808 | -3.808 | 0.000 |
| Volatility | 6.512 | 6.824 | -0.312 |
| Calmar | 1.670 | 3.305 | -1.636 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the GC 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