1. Executive Summary
NG Macro Review for June 2026
Natural Gas futures edged higher over June 2026, with the benchmark (rebased series) advancing approximately 2.35% on the month, supported by firmer summer cooling demand expectations and lingering supply-side tightness across key LNG export corridors. The Federal Reserve held rates steady during the month but signaled a cautious easing bias heading into H2 2026, providing a modestly constructive macro backdrop for energy commodities, though geopolitical tensions in the Middle East periodically injected volatility and capped more decisive upside moves. Against this backdrop, the strategy returned +0.04% over the same window, meaningfully lagging the benchmark as positioning did not fully capture the directional move, with late-month price strength into the June close contributing to the bulk of the benchmark's gains at a point where the strategy carried limited net exposure.
Signal Performance Overview for June 2026
Trailing 12-month Sharpe 0.513 and return 9.826% (through the period in Table 3 below). During the report month, the Natural Gas benchmark (rebased series, see Figure 1) rose approximately 2.35%; the strategy returned +0.04% over the same window.
Signal Coverage — Natural Gas
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | NG | Natural Gas Futures |
| Futures | QG | E-mini Natural Gas Futures |
| 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:
- 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
| Category | Value |
|---|---|
| Model Family | Pythia |
| Version | v0.8.0 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 20Q1 to 24Q4 |
| Final Validation Period | 25Q1 to 26Q2 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 2.802 | 50.792 |
| 2026 Jun | 0.140 | 51.512 |
| 2026 May | -3.510 | 48.598 |
| 2026 Apr | -1.681 | 47.472 |
| 2026 Mar | -1.362 | 47.629 |
| 2026 Feb | 5.299 | 51.224 |
| 2026 Jan | 5.516 | 58.419 |
| 2025 Dec | -1.893 | 44.074 |
| 2025 Nov | 4.114 | 57.260 |
| 2025 Oct | 0.513 | 46.569 |
| 2025 Sep | 2.035 | 53.987 |
| 2025 Aug | 5.117 | 64.698 |
| 2025 Jul | -2.969 | 41.354 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| June 2026 | 0.140 | 51.512 |
| June 2025 | 0.219 | 48.663 |
| June 2024 | -4.367 | 44.677 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending June 2026 | 12 months ending May 2026 | Change |
|---|---|---|---|
| Sharpe | 0.513 | 0.512 | +0.002 |
| Ann Return (%) | 9.826 | 9.881 | -0.055 |
| Win Rate (%) | 51.085 | 50.907 | +0.178 |
| Max DD (%) | -12.128 | -11.238 | -0.890 |
| Volatility | 18.541 | 18.604 | -0.063 |
| Calmar | 0.784 | 0.847 | -0.062 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q2 2026 | -2.415 | -4.976 | 49.243 | -7.343 | 7.748 | -2.548 |
| Q1 2026 | 1.200 | 8.220 | 52.455 | -6.577 | 31.942 | 5.828 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the NG price (100 = June 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