1. Executive Summary
GC Macro Review for May 2026
Gold futures edged higher by approximately 0.46% in May 2026, supported by a broadly cautious macro backdrop as the Federal Reserve signaled a patient, on-hold stance; markets continued to price out near-term rate cuts following resilient labour data, yet the absence of fresh tightening kept a floor under the metal. Geopolitical tensions, including renewed uncertainty around Middle East ceasefire negotiations and persistent U.S.-China trade friction, provided intermittent safe-haven bids, though a late-month dollar recovery capped upside and weighed on gold into month-end. Against this backdrop, the strategy underperformed, returning -2.56% versus the benchmark's +0.46%, as positioning was caught offside by the sharp reversal in the final sessions of May.
Signal Performance Overview for May 2026
Trailing 12-month Sharpe 1.058 and return 7.114% (through the period in Table 3 below). During the report month, the Gold benchmark rose approximately 0.46%; the strategy returned -2.56% over the same window. The strategy maintained a contained max drawdown of -3.81% across both windows, signaling consistent downside discipline with no meaningful deterioration in tail risk. Win rate eased modestly from 55.65% to 53.18% period-over-period, suggesting slightly less directional conviction in recent conditions while remaining above the 50% threshold that supports a positive expectancy framework.
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 | v0.4.4 |
| 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 | 5.192 | 53.759 |
| 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 (%) |
|---|---|---|
| May 2026 | -2.362 | 39.109 |
| May 2025 | 2.646 | 69.076 |
| May 2024 | 1.041 | 57.026 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending May 2026 | 12 months ending Apr 2026 | Change |
|---|---|---|---|
| Sharpe | 1.058 | 1.798 | -0.740 |
| Ann Return (%) | 7.114 | 12.572 | -5.458 |
| Win Rate (%) | 53.182 | 55.648 | -2.466 |
| Max DD (%) | -3.808 | -3.808 | 0.000 |
| Volatility | 6.517 | 6.791 | -0.274 |
| Calmar | 1.811 | 3.206 | -1.395 |
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