1. Executive Summary
NG Macro Review for September 2026
Natural gas started September firmly: late-summer heat, tighter storage balances and LNG feedgas back above 19 Bcf/d gave prompt-month futures a fourth straight weekly gain by 4 September. The tone softened as forecasts cooled later in the month and speculators added to their net short positions, while storage stayed above its five-year average heading into the heating season.
Signal Performance Overview for September 2026
Trailing 12-month Sharpe 1.064 and return 21.693% (Table 3), down from Sharpe 1.408 and return 29.236% for the 12 months ending August.
The strategy was roughly flat in September at −0.11% (Sharpe −0.08) with a win rate of 39.05%. Longs gained 0.92 points and shorts lost 1.03 points; the rebased natural gas series in Figure 1 rose about 4.5% but in volatile swings, and the maximum intra-month drawdown reached −4.99%.
Risk Posture: The trailing 12-month maximum drawdown deepened to −10.65% from −8.65%, and the win rate fell about 2.0 percentage points to 53.44%; the trailing return also fell as a very strong September a year earlier (+7.4%) rolled out of the window.
Signal Coverage: Natural Gas
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | NG | Henry Hub Natural Gas |
| Futures | QG | E-mini Natural Gas |
| ETF | UNG | United States Natural Gas Fund |
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.
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-v0.12.0: committee of models voting per decision |
| Version | NATGAS_DTC v7 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Trained Time Period | Q1 2020 to Q4 2025 |
| Final Validation Period | Jan 2026 to Aug 2026 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 9.972 | 49.686 |
| 2026 Sep | -0.107 | 39.048 |
| 2026 Aug | -0.646 | 38.182 |
| 2026 Jul | 1.163 | 57.778 |
| 2026 Jun | -5.152 | 27.179 |
| 2026 May | -0.325 | 65.833 |
| 2026 Apr | 0.461 | 54.545 |
| 2026 Mar | 4.188 | 56.279 |
| 2026 Feb | 14.778 | 84.000 |
| 2026 Jan | -4.388 | 34.583 |
| 2025 Dec | 9.866 | 63.500 |
| 2025 Nov | 0.481 | 66.667 |
| 2025 Oct | 1.374 | 63.333 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Sep 2026 | -0.107 | 39.048 |
| Sep 2025 | 7.436 | 64.490 |
| Sep 2024 | 10.429 | 70.435 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Sep 2026 | 12 months ending Aug 2026 | Change |
|---|---|---|---|
| Sharpe | 1.064 | 1.408 | -0.344 |
| Return (%) | 21.693 | 29.236 | -7.544 |
| Win Rate (%) | 53.437 | 55.470 | -2.033 |
| Max DD (%) | -10.648 | -8.654 | -1.995 |
| Volatility | 21.656 | 22.267 | -0.612 |
| Calmar | 1.977 | 3.275 | -1.299 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q3 2026 | 0.158 | 0.409 | 46.000 | -6.819 | 10.234 | 0.231 |
| Q2 2026 | -1.365 | -5.016 | 46.250 | -10.892 | 11.715 | -1.684 |
| Q1 2026 | 1.909 | 14.579 | 54.545 | -10.231 | 52.034 | 6.929 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NG price (100 = September 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: Create account
- API Documentation: https://quantumsignals.ai/documentation
6. Contact
Please reach out with any questions or comments at: info[at]quantumsignals.ai