Alpha Report
JPY/USD | May 2026

1. Executive Summary

6J Macro Review for May 2026

The Japanese yen futures benchmark (6J) declined approximately 1.58% in May 2026, as the Bank of Japan maintained a cautious, gradual tightening trajectory while the Federal Reserve signaled a prolonged hold on rates, keeping the interest-rate differential broadly unfavorable for the yen through much of the month. Renewed trade-policy uncertainty and geopolitical tensions weighed on risk sentiment in mid-month, contributing to yen volatility, before a modest late-month recovery attempt faded into month-end as dollar demand reasserted itself. Against this backdrop, the strategy navigated the drawdown more defensively, limiting losses to -0.20% versus the benchmark's -1.58% decline.

Signal Performance Overview for May 2026

Trailing 12-month Sharpe 0.923 and return 2.704% (through the period in Table 3 below). During the report month, the 6J benchmark (rebased series) declined approximately 1.58%; the strategy returned -0.20% over the same window. Drawdown remains contained at -1.96%, unchanged from the prior window, reflecting consistent capital preservation discipline. Win rate eased modestly to 58.02% from 59.74%, a marginal softening that suggests slightly less directional conviction but still a solidly positive hit rate overall.

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 = 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