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 easing signals and diminishing geopolitical tensions following the resolution of trade disputes between major economies. The central bank's pivot toward a more accommodative stance, with markets pricing in potential rate cuts later in the year, provided significant tailwinds for growth-sensitive equities throughout the month. Our strategy generated a modest +0.06% return over the same period, significantly underperforming the benchmark as our risk management protocols limited exposure during the sustained rally that accelerated into month-end.
Signal Performance Overview for May 2026
Trailing 12-month Sharpe 1.791 and return 8.517% (through the period in Table 3 below). During the report month, the Nasdaq-100 benchmark rose approximately 9.24%; the strategy returned +0.06% over the same window. The strategy maintained its disciplined risk profile with maximum drawdown holding steady at -3.08% while achieving a modest improvement in win rate from 53.59% to 53.79%. This period reflects consistent risk management execution with marginally enhanced trade selection, suggesting stable performance characteristics relative to the previous 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 | v0.4.4 |
| 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 | 1.293 | 51.584 |
| 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 |
| 2025 Jul | 0.770 | 53.983 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| May 2026 | -0.007 | 50.706 |
| 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 | 1.791 | 1.962 | -0.171 |
| Ann Return (%) | 8.517 | 9.026 | -0.509 |
| Win Rate (%) | 53.792 | 53.591 | +0.201 |
| Max DD (%) | -3.075 | -3.075 | +0.000 |
| Volatility | 4.537 | 4.735 | -0.199 |
| Calmar | 2.642 | 3.021 | -0.379 |
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