1. Executive Summary
NQ Macro Review for July 2026
The Nasdaq-100 benchmark declined approximately 5.57% in July 2026, as risk assets came under broad pressure from a combination of renewed geopolitical tensions and a Federal Reserve that signaled it was in no hurry to ease, effectively keeping policy on hold and pushing back market expectations for near-term rate cuts. Sentiment deteriorated further into month-end, with a late-July sell-off amplifying losses as investors reduced exposure ahead of key earnings releases and reassessed stretched valuations in mega-cap technology names. Against this backdrop, the strategy navigated the drawdown with considerably more resilience, returning -0.96% over the same period, outperforming the benchmark by approximately 461 basis points.
Signal Performance Overview for July 2026
Trailing 12-month Sharpe 0.538 and return 2.672% (through the period in Table 3 below). During the report month, the Nasdaq-100 benchmark (rebased series, see Figure 1) declined approximately 5.57%; the strategy returned -0.96% over the same window. Risk Posture & Period Comparison: The current window shows a modest deterioration in drawdown depth (−6.95% vs. −6.43%) alongside a slight softening in win rate (53.47% vs. 53.88%), suggesting marginally less favorable conditions for capital preservation than the prior period. Both metrics remain within a disciplined range, indicating the strategy has absorbed increased volatility without meaningful structural breakdown.
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 |
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 15:30 ET) we decide to take a long, short or no position using 1/69 of our starting portfolio for the day (there are 69 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 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
| Category | Value |
|---|---|
| Model Family | Pythia |
| Version | v0.5.1 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 21Q1 to 25Q2 |
| Final Validation Period | 25Q2 to 26Q2 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | -2.936 | 51.090 |
| 2026 Jul | -0.849 | 49.949 |
| 2026 Jun | -3.361 | 49.556 |
| 2026 May | -0.007 | 50.706 |
| 2026 Apr | 0.002 | 46.921 |
| 2026 Mar | 0.458 | 50.401 |
| 2026 Feb | -0.725 | 49.038 |
| 2026 Jan | 1.600 | 59.569 |
| 2025 Dec | 0.444 | 56.146 |
| 2025 Nov | 1.040 | 48.970 |
| 2025 Oct | 0.695 | 49.452 |
| 2025 Sep | 2.698 | 72.733 |
| 2025 Aug | 0.789 | 56.575 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Jul 2026 | -0.849 | 49.949 |
| Jul 2025 | 0.770 | 53.983 |
| Jul 2024 | 2.515 | 59.513 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Jul 2026 | 12 months ending Jun 2026 | Change |
|---|---|---|---|
| Sharpe | 0.538 | 0.876 | -0.338 |
| Ann Return (%) | 2.672 | 4.339 | -1.667 |
| Win Rate (%) | 53.471 | 53.875 | -0.404 |
| Max DD (%) | -6.951 | -6.428 | -0.523 |
| Volatility | 4.995 | 4.914 | +0.081 |
| Calmar | 0.387 | 0.670 | -0.283 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NQ 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