Alpha Report
Nasdaq-100 | June 2026

1. Executive Summary

NQ Macro Review for June 2026

The Nasdaq-100 benchmark (rebased series) edged lower by approximately 0.10% in June 2026, a broadly resilient outcome for equity markets navigating a Federal Reserve that remained firmly on hold amid still-sticky services inflation, with Chair Powell's mid-month commentary reinforcing that any pivot toward easing remained data-dependent and unlikely before year-end. Renewed geopolitical tensions (particularly escalating trade friction in the Asia-Pacific corridor and intermittent Middle East risk flare-ups) weighed on risk sentiment through much of the month, though dip-buying in mega-cap technology names cushioned the index from a deeper drawdown; a modest late-month sell-off into quarter-end rebalancing kept the benchmark in slightly negative territory at the close. Against this backdrop, the strategy underperformed, returning -3.45% for the month, as positioning was caught offside by the sharp intra-month reversals and the index's narrow, large-cap-driven resilience that masked broader weakness in the underlying constituents.

Signal Performance Overview for June 2026

Trailing 12-month Sharpe 0.876 and return 4.339% (through the period in Table 3 below). During the report month, the Nasdaq-100 benchmark declined approximately 0.10%; the strategy returned -3.45% over the same window. The current 12-month window shows a modestly wider max drawdown of -6.43% versus -3.08% in the prior period, indicating somewhat elevated downside stress despite a nearly unchanged win rate of 53.88% (up marginally from 53.79%). The consistency in win rate suggests the strategy's edge remains intact, but the deeper drawdown implies individual losing sequences carried greater magnitude, warranting continued attention to position sizing and loss management.

Signal Coverage — Nasdaq-100

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

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

Table 4: Quarterly Performance

Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NQ price (100 = June 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