1. Executive Summary
NQ Macro Review for May 2026
During May 2026, the Nasdaq-100 delivered a robust +9.24% return as technology stocks rallied on renewed optimism around Federal Reserve policy pivoting toward a more accommodative stance, with markets pricing in potential rate cuts following softer-than-expected inflation data mid-month. Geopolitical tensions in Eastern Europe showed signs of de-escalation during the period, contributing to improved risk sentiment and capital flows back into growth equities. The strategy significantly underperformed the benchmark with a modest +0.04% return, as defensive positioning and reduced beta exposure limited participation in the broad-based tech rally that accelerated into month-end.
Signal Performance Overview for May 2026
Trailing 12-month Sharpe 1.89 and return 9.09% (through the period in Table 3 below). During the report month, the Nasdaq-100 benchmark rose approximately 9.24%; the strategy returned +0.04% over the same window. The strategy maintained its disciplined risk posture with maximum drawdown holding steady at -3.08% while the win rate improved modestly to 54.17% from 54.01% in the previous period. This represents a period of consistent risk management with marginal enhancement in trade selection effectiveness compared to the prior 12-month window.
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 | v0.5.0 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 21Q1 to 24Q4 |
| Final Validation Period | 25Q1 to 26Q1 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 1.830 | 52.514 |
| 2026 May | -0.024 | 50.349 |
| 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 |
| 2025 Jul | 0.770 | 53.983 |
| 2025 Jun | 0.612 | 48.113 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| May 2026 | -0.024 | 50.349 |
| May 2025 | 0.241 | 48.117 |
| May 2024 | 1.045 | 54.447 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending May 2026 | 12 months ending Apr 2026 | Change |
|---|---|---|---|
| Sharpe | 1.888 | 2.058 | -0.170 |
| Ann Return (%) | 9.092 | 9.621 | -0.530 |
| Win Rate (%) | 54.173 | 54.008 | +0.165 |
| Max DD (%) | -3.075 | -3.075 | +0.000 |
| Volatility | 4.603 | 4.802 | -0.198 |
| Calmar | 2.826 | 3.213 | -0.387 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NQ price (100 = May 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