Alpha Report
Natural Gas | July 2026

1. Executive Summary

NG Macro Review for July 2026

Natural Gas markets came under significant pressure in July 2026, with the benchmark declining approximately 13.72% over the month, as a combination of softer-than-expected LNG export demand, above-seasonal storage builds, and easing supply-side concerns weighed heavily on prices, pressure that appeared to intensify into month-end as late-July positioning unwound ahead of the August contract roll. The Federal Reserve held rates steady at its July meeting but signaled a cautious tilt toward easing in the coming quarters, a posture that offered limited support to energy commodities given concurrent demand-side headwinds, while geopolitical tensions in key transit regions briefly introduced upside volatility mid-month before fading without a durable price impact. Against this backdrop, the strategy navigated the drawdown effectively, returning +4.28% for the month by reducing directional exposure ahead of the sharpest leg lower and capturing selective mean-reversion opportunities as prices overshot to the downside.

Signal Performance Overview for July 2026

Trailing 12-month Sharpe 0.891 and return 18.352% (through the period in Table 3 below). During the report month, the Natural Gas benchmark (rebased series, see Figure 1) declined approximately 13.72%; the strategy returned +4.28% over the same window. The strategy held its maximum drawdown flat at -11.45% period-over-period, while the win rate edged higher to 52.60% from 51.28%, suggesting modest improvement in trade selection without any deterioration in tail risk. Overall, the current window feels incrementally more constructive than the prior one: drawdown discipline remained intact and the slight uptick in win rate points to marginally better directional consistency in a notoriously volatile commodity.

Signal Coverage — Natural Gas

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 14:00 ET) we decide to take a long, short or no position using 1/51 of our starting portfolio for the day (there are 51 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: 2.5 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

4. Performance Metrics

Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)

Table 2: Year over Year Performance Comparison

Table 3: 12-Months Ending Performance

Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NG price (100 = July 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