1. Executive Summary
Nasdaq-100 Macro Review for October 2026
The rebased NQ series fell about 7.0% in October, the weakest of the four equity indices, as technology and AI shares sold off on disappointing earnings and stubborn inflation (September CPI 3.7% year on year). The Federal Reserve held rates at 3.75–4.00% on 28 October after its September hike, and markets priced a possible further hike in December. The strategy returned +0.09%: gains on short positions offset losses on longs.
Sources: Federal Reserve, FOMC statement, 28 Oct 2026; MMBB, Monthly Market Review: October 2026.
Signal Performance Overview for October 2026
Risk Posture: Over the 12 months ending October 2026, Sharpe was 1.67, maximum drawdown -1.47% and win rate 51.84%.
Signal Coverage: Nasdaq-100
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | NQ | Nasdaq 100 E-mini |
| Futures | MNQ | Micro E-mini Nasdaq 100 |
| ETF | QQQ | Invesco QQQ Trust |
Metrics in this report are computed on NQ front-month futures. The other symbols are listed for reference.
2. Trading Strategy
In order to produce the metrics below we use the signal in combination with the trading strategy below:
- Leverage: Base metrics are unlevered. Because capital is deployed in 1/69 increments and some slots are flat, average gross exposure can be well below 100% of capital.
- Realized Leverage (x): time-weighted average gross notional during the trading session ÷ starting capital for the day, averaged across the trading days in the period.
- Implied Leverage (x): 1 ÷ average Realized Leverage over the three calendar months preceding the reporting month. It is the scale-up needed to deploy full capital (1.0x average gross exposure) given recent participation. It uses only prior months, so there is no look-ahead.
- Implied Return / Implied Max DD: each day's net P&L (costs included) in the reporting month multiplied by that month's Implied Leverage, then added up on fixed capital.
- Positions:
- Decision points: every 5 minutes between 09:45 and 15:25 ET, giving 69 decision points per day.
- Entry positions: at each decision point, the signal value at that minute sets a long, short or flat position. Each position is entered in full at that minute and sized at 1/69 of the notional capital. There is no sizing adjustment.
- Signal confirmation (optional; not applied in the metrics below): a position may be opened only if a majority of the five one-minute signal values ending at the decision point (the decision minute and the four minutes before it) agree with the signal at the decision point. If they do not agree, the slot stays flat.
- Exit positions: each position is closed between 15:55 and 16:00 ET, split equally over the five minutes of the exit window. The exit window is specific to each signal.
- Costs: 1 bp round-turn assumption. 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.
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-v0.12.0: committee of models voting per decision |
| Version | NASDAQ100_DTC v17 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Trained Time Period | Q1 2020 to 3 Oct 2025 |
| Final Validation Period | Jan 2026 to 1 Sep 2026 |
4. Performance Metrics
Metric definitions
- Realized Return (%): net return of the unlevered strategy over the period, not annualized; daily net returns (after the cost assumption in Section 2) added up on fixed capital.
- Win Rate (%): share of positions closed with positive P&L before costs.
- Max DD (%): largest peak-to-trough decline in daily equity over the period.
- Volatility (%, ann.): standard deviation of daily returns × √252.
- Sharpe: annualized mean daily return ÷ annualized volatility; risk-free rate = 0.
- Calmar: annualized mean daily return ÷ |Max DD|.
- Participation (%): share of the available decision points at which the signal takes a position (long or short) rather than staying flat; (long decisions + short decisions) ÷ total decision points, where total decision points = 69 per trading day × trading days in the period.
- Realized / Implied Leverage: see Section 2.
Table 1: Monthly Return and Accuracy Metrics (Last 12 Months)
| Month | Realized Return (%) | Win Rate (%) | Max DD (%) | Participation (%) | Realized Leverage (x) | Implied Leverage (x) | Implied Return (%) | Implied Max DD (%) |
|---|---|---|---|---|---|---|---|---|
| 2026 YTD | 6.160 | 53.239 | -1.469 | 35.081 | 0.187 | – | 31.596 | -6.934 |
| 2026 Oct | 0.094 | 55.238 | -0.248 | 33.202 | 0.168 | 5.560 | 0.521 | -1.375 |
| 2026 Sep | 0.536 | 53.098 | -0.458 | 41.041 | 0.220 | 4.933 | 2.645 | -2.260 |
| 2026 Aug | 0.207 | 52.087 | -0.578 | 28.433 | 0.158 | 4.483 | 0.928 | -2.547 |
| 2026 Jul | 0.209 | 46.520 | -1.192 | 29.908 | 0.160 | 4.279 | 0.894 | -5.037 |
| 2026 Jun | 3.746 | 64.659 | -0.369 | 55.995 | 0.288 | 5.218 | 19.546 | -1.649 |
| 2026 May | 0.020 | 49.220 | -0.413 | 40.718 | 0.221 | 6.839 | 0.137 | -2.753 |
| 2026 Apr | 0.289 | 55.236 | -0.864 | 35.059 | 0.190 | 6.554 | 1.896 | -5.328 |
| 2026 Mar | 0.727 | 46.323 | -1.045 | 28.129 | 0.165 | 5.025 | 3.654 | -5.251 |
| 2026 Feb | -0.155 | 44.098 | -0.447 | 17.681 | 0.079 | 4.391 | -0.682 | -1.946 |
| 2026 Jan | 0.487 | 52.254 | -0.207 | 39.199 | 0.209 | 4.223 | 2.056 | -0.855 |
| 2025 Dec | 0.046 | 47.232 | -0.749 | 55.929 | 0.298 | 4.955 | 0.230 | -3.600 |
| 2025 Nov | 0.216 | 44.279 | -0.303 | 32.174 | 0.170 | 4.922 | 1.063 | -1.462 |
Table 2: Year over Year Performance Comparison
| Metric | Oct 2026 | Oct 2025 | Oct 2024 |
|---|---|---|---|
| Realized Return (%) | 0.094 | -0.704 | 0.837 |
| Win Rate (%) | 55.238 | 44.252 | 65.905 |
| Realized Leverage (x) | 0.168 | 0.236 | 0.213 |
| Max DD (%) | -0.248 | -0.837 | -0.354 |
| Implied Leverage (x) | 5.560 | 4.998 | 6.730 |
| Implied Return (%) | 0.521 | -3.520 | 5.633 |
| Implied Max DD (%) | -1.375 | -4.160 | -2.299 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Oct 2026 |
|---|---|
| Sharpe | 1.670 |
| Return (%) | 6.422 |
| Win Rate (%) | 51.837 |
| Max DD (%) | -1.465 |
| Volatility (%, ann.) | 3.786 |
| Calmar | 4.315 |
| Participation (%) | 36.645 |
| Realized Leverage (x) | 0.195 |
| Implied Return (%) | 32.889 |
| Implied Max DD (%) | -7.254 |
Sharpe, Realized Return, Win Rate, Max DD, Volatility and Calmar are unlevered. Implied rows accumulate the monthly implied results over the trailing 12 months.
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NQ price (100 = close of September 30, 2026)
5. Next Steps
Download historical predictions for this month 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