Alpha Report
Natural Gas
Composite Signal
2022–2026

1. Executive Summary

Signal Coverage: Natural Gas

Natural Gas Macro Review:

• 2022: Natural gas futures rose to about $9.8 on 23 August, their highest since 2008, as Europe's energy crisis pulled record US LNG exports; the June outage at the Freeport LNG terminal and a mild early winter then drove a −32% Q4. The year ended about 21% higher.
• 2023: About −39%. A mild winter and record storage sent prices to about $2.0 by mid-April (Q1 −47%); a partial recovery through Q2–Q3 faded in Q4 as storage stayed high.
• 2024: About +46%, from a multi-decade low near $1.6 in February, as producers cut output, to a December high near $4.1 on LNG export growth and colder weather.
• 2025: About +2% overall, after a volatile path: winter strength in Q1, a −13% Q2 into an August low near $2.8, and a Q4 recovery to a December high above $5 on winter demand and growing LNG exports.
• 2026 (to 28 Sep): About −12%. The year opened with an extreme January spike (spot Henry Hub averaged $7.72 in January) before prices fell to an April low near $2.6; summer prices settled in the high-$2 to low-$3 range.

Signal Performance Overview:

• 2022: +13.2% (Sharpe 0.34), almost entirely from shorts (+13.5%), with a large −25.5% drawdown during the summer spike; the signal profited from the Q4 collapse but not from the run-up.
• 2023: +25.6% (Sharpe 1.13), mainly long-side (+19.6%), trading selectively (34% participation) through the year's large swings.
• 2024: +3.8% (Sharpe 0.16): shorts made +11.5% but longs lost 5.0% during a year in which prices rose 46%, so the signal largely missed the recovery from the February low.
• 2025: +35.9% (Sharpe 1.56), the strongest year, at a 61% hit rate and mostly from shorts (+28.2%), capturing the mid-year decline; the −21.1% drawdown shows how volatile the contract remains.
• 2026 (F1, to 28 Sep): +11.0% (Sharpe 0.72): shorts made +23.3% through the post-January decline while longs lost 10.4%, with a hit rate below 50%.

2. Trading Strategy

In order to produce the metrics below we use the signal in combination with the trading strategy below:

• Entry positions: every 5 minutes between 09:30 and 09:45 ET (4 possible openings per day) we take a long, short or no position. Each position is split into 5 parts, executed on each minute of the 5 minutes after the decision. No sizing adjustment.
• Exit positions: each decision's position is closed between 14:25 and 14:30 ET, its five parts over the five minutes.
• Costs: 1.25 bp per side, 2.5 bp round trip (NG). Extra exchange/clearing fees not included.
• Contract series & roll: Front month monthly contract. Switch at the open 7 trading days before the last business day of the month preceding delivery, ahead of the contract’s last trading day, and start trading the next month.

3. Model Training Data and Timeframe

Each year of Section 4 is scored by the committee of its own walk-forward fold, trained and validated only on data before that year:

4. Performance Metrics: walk-forward, 2022 – 2026

4.1 Return and Risk Metrics

Quarterly and annual return, risk-adjusted performance and drawdown for the trading strategy defined in Section 2. Sharpe is per session on fixed capital. 2026 runs to 2026-09-28.

Table 1: Quarterly and Annual Metrics

Figure 1: Cumulative equity from $1,000,000, quarterly returns compounded from 22Q1 (out-of-sample)

The curve compounds the quarterly returns from $1,000,000 for illustration. The strategy metrics in this report assume fixed capital, so the ending value is not the sum of the quarterly returns.

4.2 Participation, Recall and Effective Leverage

Quarterly and annual view of how often the signal trades, how many of the realised moves it captures, and how much of the notional capital is deployed on average.

Table 2: Quarterly and Annual Participation, Recall and Effective Leverage

5. Next Steps

Download historical predictions using the Client API and confirm performance in your own test harness:

• Sign-up: Create account
• API Documentation: https://quantumsignals.ai/documentation

6. Contact

Please reach out with any questions or comments at: info[at]quantumsignals.ai