1. Executive Summary
NQ Macro Review for September 2026
Technology was the one bright spot of a rate-driven September: the Nasdaq-100 gained about 3.3% as large-cap growth names in Technology and Communications rallied on AI demand, even as the Federal Reserve raised rates to 3.75–4.00% on 16 September and the 10-year Treasury yield rose above 5.2%. The gains were narrow and volatile, the Nasdaq fell sharply on 23 September when the 5-year Treasury yield reached 5% for the first time since 2007, with a handful of mega-caps carrying the index while most stocks declined.
Signal Performance Overview for September 2026
Trailing 12-month Sharpe 1.443 and return 5.624% (Table 3), up from Sharpe 1.181 and return 4.605% for the 12 months ending August.
During the report month the rebased Nasdaq-100 futures series in Figure 1 rose about 5.5%; the strategy returned +0.54% with a Sharpe of 2.29 and a win rate of 53.10%, and a maximum intra-month drawdown of −0.53%. Both sides were profitable (long +0.21 points, short +0.33 points): the strategy earned steady, low-risk gains but captured only a small part of the index's rise.
Risk Posture: The trailing 12-month maximum drawdown was essentially unchanged (−2.85% vs −2.86%), and the win rate rose about 1.0 percentage point to 50.77%, a modest improvement in both return and consistency over the prior window.
Signal Coverage: Nasdaq-100
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | NQ | E-mini Nasdaq-100 |
| Futures | MNQ | Micro E-mini Nasdaq-100 |
| ETF | QQQ | Invesco QQQ Trust |
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.
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 Q4 2025 |
| Final Validation Period | Jan 2026 to Aug 2026 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 6.066 | 53.024 |
| 2026 Sep | 0.536 | 53.098 |
| 2026 Aug | 0.207 | 52.087 |
| 2026 Jul | 0.209 | 46.520 |
| 2026 Jun | 3.746 | 64.659 |
| 2026 May | 0.020 | 49.220 |
| 2026 Apr | 0.289 | 55.236 |
| 2026 Mar | 0.727 | 46.323 |
| 2026 Feb | -0.155 | 44.098 |
| 2026 Jan | 0.487 | 52.254 |
| 2025 Dec | 0.046 | 47.232 |
| 2025 Nov | 0.216 | 44.279 |
| 2025 Oct | -0.704 | 44.252 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Sep 2026 | 0.536 | 53.098 |
| Sep 2025 | -0.483 | 41.434 |
| Sep 2024 | 0.077 | 32.772 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Sep 2026 | 12 months ending Aug 2026 | Change |
|---|---|---|---|
| Sharpe | 1.443 | 1.181 | 0.262 |
| Return (%) | 5.624 | 4.605 | 1.019 |
| Win Rate (%) | 50.769 | 49.745 | 1.024 |
| Max DD (%) | -2.847 | -2.861 | 0.013 |
| Volatility | 3.947 | 3.937 | 0.010 |
| Calmar | 1.920 | 1.565 | 0.355 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q3 2026 | 1.167 | 0.952 | 50.813 | -2.639 | 3.238 | 1.396 |
| Q2 2026 | 3.339 | 4.055 | 57.526 | -1.906 | 5.506 | 8.887 |
| Q1 2026 | 0.959 | 1.059 | 48.604 | -2.085 | 4.540 | 2.031 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NQ price (100 = September 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: Create account
- API Documentation: https://quantumsignals.ai/documentation
6. Contact
Please reach out with any questions or comments at: info[at]quantumsignals.ai