1. Executive Summary
NQ Macro Review for March 2026
The Nasdaq-100 faced continued pressure in March as technology valuations remained under scrutiny amid persistent elevated interest rates and ongoing AI sector consolidation. Growth stocks experienced heightened volatility as investors rotated toward value sectors, creating challenging trading conditions with increased intraday ranges and reduced momentum consistency. The index’s sensitivity to rate expectations and earnings revisions suggests maintaining tighter risk management protocols and focusing on shorter-term technical setups rather than extended trend-following strategies.
Signal Performance Overview for March 2026
The NQ strategy demonstrates strong risk-adjusted performance with a 12-month Sharpe ratio of 2.22 and solid returns of 20.34%, while maintaining excellent risk control with maximum drawdown limited to just -3.83%. However, there is a notable decline from the previous period, with both Sharpe ratio dropping from 2.52 to 2.22 and returns decreasing from 21.47% to 20.34%, suggesting some deterioration in strategy effectiveness. The modest 54.37% win rate indicates the strategy relies on asymmetric risk/reward rather than high hit rates, which combined with the low drawdown demonstrates disciplined risk management.
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 1/70 of our starting portfolio for the day (there are 70 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 | v0.3.0 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 24Q3 to 25Q3 |
| Final Validation Period | 25Q4 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 1.349 | 53.297 |
| 2026 Mar | 0.458 | 50.400 |
| 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 |
| 2025 Jul | 0.770 | 53.983 |
| 2025 Jun | 0.617 | 48.194 |
| 2025 May | 0.241 | 48.117 |
| 2025 Apr | 10.605 | 56.335 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Mar 2026 | 0.458 | 50.400 |
| Mar 2025 | 0.887 | 51.389 |
| Mar 2024 | 0.903 | 47.252 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Mar 2026 | 12 months ending Feb 2026 | Change |
|---|---|---|---|
| Sharpe | 2.220 | 2.517 | -0.297 |
| Ann Return (%) | 20.338 | 21.474 | -1.136 |
| Win Rate (%) | 54.370 | 54.455 | -0.085 |
| Max DD (%) | -3.834 | -3.834 | 0.000 |
| Volatility | 8.790 | 9.154 | -0.364 |
| Calmar | 5.091 | 6.010 | -0.919 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q1 2026 | 0.973 | 1.349 | 53.297 | -3.023 | 5.474 | 1.763 |
| Q4 2025 | 2.504 | 2.510 | 51.687 | -1.002 | 4.937 | 12.332 |
| Q3 2025 | 4.895 | 4.454 | 61.682 | -0.979 | 3.711 | 12.697 |
| Q2 2025 | 2.533 | 10.957 | 50.550 | -3.834 | 19.218 | 4.002 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NQ price (100 = Mar 02, 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