Alpha Report
Nasdaq-100
Composite Signal
2022–2026

1. Executive Summary

Signal Coverage: Nasdaq-100

Nasdaq-100 Macro Review:

• 2022: The Nasdaq-100 futures fell about 34%, the worst of the major indices, as rising rates hit long-duration growth stocks hardest. The index fell in every quarter, from its high on 3 January to a low in late December, as the Fed tightened at the fastest pace in four decades.
• 2023: A rebound of about 56% from a January low to a late-December high, led by the AI rally in the largest technology names. The March bank failures barely interrupted it, and a fall in yields in Q4 on expected rate cuts carried it close to its previous record.
• 2024: About +28%, with AI and semiconductor leadership intact and the Fed beginning to cut in September. The summer rotation and the August yen carry-trade unwind caused brief drawdowns, but the index ended near its mid-December high.
• 2025: About +20%. The early-April tariff shock produced the year's low on 8 April; technology then led a strong recovery to record highs in late October, with AI capital spending the main driver.
• 2026 (to 28 Sep): About +20%, most of it in Q2 (+26%). The Iran conflict and the oil spike drove the March sell-off to a 30 March low; semiconductors then posted a record quarter, and the index reached new highs in September despite a sharp chip sell-off in early June.

Signal Performance Overview:

• 2022: +4.1% (Sharpe 0.45) in a −34% market, with gains split evenly between longs and shorts, a 51% hit rate and a −7.4% drawdown. Modest, but positive in a year the index lost a third of its value.
• 2023: +5.6% (Sharpe 1.01), the most active year (50% participation) with a 58% hit rate. Gains came from the long side (+7.3%), following the rally, while shorts were roughly flat.
• 2024: −2.3% (Sharpe −0.67): neither side made money (longs −1.1%, shorts −0.2%) while the index rose 28%, so the signal did not capture the trend.
• 2025: +3.6% (Sharpe 0.38), long-driven (+5.6%), with the best stretch in the post-April recovery; shorts gave back about 1%.
• 2026 (F1, to 28 Sep): +6.2% (Sharpe 1.98), its best year of the walk-forward, with a shallow −2.8% drawdown and a 55% hit rate on fewer, more selective trades (34% participation). Both sides contributed.

2. Trading Strategy

In order to produce the metrics below we use the signal in combination with the trading strategy below:

• Entry positions: every 5 minutes between 09:45 and 15:25 ET (69 possible openings per day) we take a long, short or no position. Each position is split into 5 parts, executed on each minute of the 5 minutes after the decision. No sizing adjustment.
• Exit positions: each decision's position is closed between 15:55 and 16:00 ET, its five parts over the five minutes.
• Costs: 0.50 bp per side, 1.0 bp round trip (NQ). Extra exchange/clearing fees not included.
• Contract series & roll: Front month quarterly contract (Mar, Jun, Sep, Dec). Switch at the open 5 trading days before expiration (the third Friday of the contract month): stop trading the expiring contract and start trading the next.

3. Model Training Data and Timeframe

Each year of Section 4 is scored by the committee of its own walk-forward fold, trained and validated only on data before that year:

4. Performance Metrics: walk-forward, 2022 – 2026

4.1 Return and Risk Metrics

Quarterly and annual return, risk-adjusted performance and drawdown for the trading strategy defined in Section 2. Sharpe is per session on fixed capital. 2026 runs to 2026-09-28.

Table 1: Quarterly and Annual Metrics

Figure 1: Cumulative equity from $1,000,000, quarterly returns compounded from 22Q1 (out-of-sample)

The curve compounds the quarterly returns from $1,000,000 for illustration. The strategy metrics in this report assume fixed capital, so the ending value is not the sum of the quarterly returns.

4.2 Participation, Recall and Effective Leverage

Quarterly and annual view of how often the signal trades, how many of the realised moves it captures, and how much of the notional capital is deployed on average.

Table 2: Quarterly and Annual Participation, Recall and Effective Leverage

5. Next Steps

Download historical predictions using the Client API and confirm performance in your own test harness:

• Sign-up: Create account
• API Documentation: https://quantumsignals.ai/documentation

6. Contact

Please reach out with any questions or comments at: info[at]quantumsignals.ai