Alpha Report
JPY/USD | July 2026

1. Executive Summary

6J Macro Review for July 2026

The Japanese Yen appreciated roughly 1.89% against the US dollar during July 2026, supported by a continued Bank of Japan tightening bias as policymakers signalled further gradual rate increases following their June hike, while the Federal Reserve held rates steady amid softening US labour data and growing expectations of an autumn easing cycle. Heightened geopolitical uncertainty, particularly renewed tensions in the Middle East and associated safe-haven flows into the yen, amplified the move, with the currency extending gains into month-end as risk assets sold off broadly in the final sessions. Against this backdrop, the strategy returned -1.11% for the month, underperforming the benchmark as positioning was not sufficiently aligned to capture the late-month yen rally driven by these converging macro and geopolitical tailwinds.

Signal Performance Overview for July 2026

Trailing 12-month Sharpe 0.528 and return 0.969% (through the period in Table 3 below). During the report month, the JPY/USD benchmark (rebased series, see Figure 1) rose approximately 1.89%; the strategy returned -1.11% over the same window. Win rate eased to 56.96% from 59.89% in the prior window, while max drawdown deepened modestly to -2.65% versus -1.96%, signaling a slight deterioration in both trade consistency and downside containment. The current period carries a marginally softer risk profile overall, though drawdown remains shallow and the win rate holds above the majority threshold, suggesting the strategy retains structural discipline despite the incremental headwinds.

Signal Coverage — JPY/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 12:00 ET) we decide to take a long, short or no position using 1/27 of our starting portfolio for the day (there are 27 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: 1.3 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 6J price (100 = July 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