1. Executive Summary
| Category | Value |
|---|---|
| PORTFOLIO | All 8 signals, 50% inverse volatility (previous year) + 50% equal weight |
| SIGNALS | ES, NQ, RTY, YM, CL, NG, SI, GC |
| WEIGHTING | 50% inverse volatility (previous year, as above) + 50% equal weight: w_i = ½ · ivol_i + ½ · 1/N (2022: equal weight) |
| MODEL | Pythia-v0.12.0 committees, one per signal and year (see each signal's report) |
This report shows the combined performance of a fixed-weight portfolio built from the independent signal backtests of the multi-year signal reports. Each signal is backtested on its own on the same capital. To combine them, we:
- Take each signal's minute-by-minute equity curve for the year
- Normalize each curve so it starts at 1.0
- Weight and sum the normalized curves
- Scale the result back to the portfolio capital
Weights are set at the start of each year, when each year's walk-forward committee starts, and are not rebalanced within the year. Portfolio metrics are computed on the combined curve with the same definitions as the signal reports.
2. Portfolio Composition
Weights, set at the start of each year:
Table 1: Portfolio weights by year
| Symbol | Asset | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|
| ES | S&P 500 futures | 12.5% | 14.8% | 15.1% | 18.5% | 13.8% |
| NQ | Nasdaq-100 futures | 12.5% | 12.9% | 13.3% | 16.2% | 12.7% |
| RTY | Russell 2000 futures | 12.5% | 13.8% | 14.5% | 12.5% | 13.4% |
| YM | Dow Jones Industrial Average futures | 12.5% | 16.4% | 17.8% | 16.1% | 15.0% |
| CL | Crude Oil (WTI) futures | 12.5% | 8.9% | 9.2% | 9.6% | 10.0% |
| NG | Natural Gas futures | 12.5% | 7.6% | 7.9% | 7.6% | 8.5% |
| SI | Silver futures | 12.5% | 11.3% | 9.7% | 8.8% | 11.9% |
| GC | Gold futures | 12.5% | 14.2% | 12.5% | 10.7% | 14.7% |
Annualized volatility (%) of each signal's previous-year run, from which the inverse-volatility weights are computed (2022 has no previous year in the backtests: equal weight):
Table 2: Previous-year annualized volatility (%) used for inverse-volatility weights
| Symbol | 2022 → 2023 weights | 2023 → 2024 weights | 2024 → 2025 weights | 2025 → 2026 weights |
|---|---|---|---|---|
| ES | 7.07 | 4.56 | 2.64 | 8.38 |
| NQ | 9.06 | 5.75 | 3.25 | 9.77 |
| RTY | 8.04 | 4.92 | 5.17 | 8.82 |
| YM | 5.96 | 3.52 | 3.27 | 7.27 |
| CL | 22.94 | 13.54 | 9.68 | 16.79 |
| NG | 45.25 | 24.53 | 24.56 | 28.63 |
| SI | 11.93 | 11.69 | 12.65 | 11.29 |
| GC | 7.61 | 6.44 | 7.21 | 7.45 |
3. Trading Strategy
Each signal trades as defined in Section 2 of its own report, on fixed capital:
Table 3: Trading schedule and costs by symbol
| Symbol | Decisions (ET) | Decisions per day | Exit (ET) | Cost bp per side |
|---|---|---|---|---|
| ES | 09:45–15:25 | 69 | 15:55–16:00 | 0.50 |
| NQ | 09:45–15:25 | 69 | 15:55–16:00 | 0.50 |
| RTY | 09:45–15:25 | 69 | 15:55–16:00 | 1.00 |
| YM | 09:45–15:25 | 69 | 15:55–16:00 | 0.75 |
| CL | 10:45–11:00 | 4 | 14:25–14:30 | 0.75 |
| NG | 09:30–09:45 | 4 | 14:25–14:30 | 1.25 |
| SI | 09:45–10:15 | 7 | 13:20–13:25 | 1.50 |
| GC | 09:30–09:45 | 4 | 13:25–13:30 | 0.75 |
4. Performance Metrics: walk-forward, 2022 – 2026
4.1 Return and Risk Metrics
Return is the actual return over each quarter or year (not annualized); Sharpe is per session on fixed capital; Win % is the weight-averaged win rate of the signals. 2026 runs to 2026-09-28.
Table 4: Quarterly and Annual Metrics
| Quarter | Fold | Return % | Sharpe | Win % | Calmar | Ann. Vol % | MDD % |
|---|---|---|---|---|---|---|---|
| 2026 | F1 | 12.363 | 2.444 | 53.419 | 5.429 | 7.358 | -3.045 |
| 26Q3 | F1 | -0.112 | -0.130 | 53.986 | -0.258 | 3.360 | -1.709 |
| 26Q2 | F1 | 3.529 | 3.066 | 52.407 | 5.955 | 5.080 | -2.457 |
| 26Q1 | F1 | 8.946 | 3.540 | 54.171 | 13.178 | 13.506 | -3.045 |
| 2025 | F2 | 8.848 | 2.016 | 54.156 | 2.171 | 4.543 | -3.961 |
| 25Q4 | F2 | 2.203 | 2.559 | 51.653 | 6.165 | 3.580 | -1.430 |
| 25Q3 | F2 | 1.280 | 2.375 | 53.751 | 6.044 | 2.139 | -0.823 |
| 25Q2 | F2 | 4.534 | 2.484 | 58.136 | 5.548 | 8.566 | -3.438 |
| 25Q1 | F2 | 0.830 | 1.251 | 51.611 | 1.990 | 2.683 | -1.663 |
| 2024 | F3 | -0.617 | -0.193 | 50.248 | -0.219 | 3.132 | -2.737 |
| 24Q4 | F3 | -0.300 | -0.362 | 46.514 | -0.650 | 3.195 | -1.779 |
| 24Q3 | F3 | 0.354 | 0.434 | 52.525 | 0.743 | 3.168 | -1.829 |
| 24Q2 | F3 | 0.823 | 1.022 | 53.355 | 1.709 | 3.213 | -1.890 |
| 24Q1 | F3 | -1.495 | -1.954 | 48.719 | -2.673 | 2.913 | -2.188 |
| 2023 | F4 | 2.674 | 0.673 | 53.970 | 0.948 | 3.995 | -2.767 |
| 23Q4 | F4 | 1.466 | 2.246 | 54.434 | 7.334 | 2.697 | -0.804 |
| 23Q3 | F4 | -0.265 | -0.343 | 54.099 | -0.606 | 2.949 | -1.692 |
| 23Q2 | F4 | 1.977 | 2.177 | 56.263 | 6.282 | 3.818 | -1.275 |
| 23Q1 | F4 | -0.503 | -0.346 | 51.342 | -0.711 | 5.685 | -2.767 |
| 2022 | F5 | 10.710 | 1.508 | 52.682 | 2.534 | 7.270 | -4.123 |
| 22Q4 | F5 | 3.192 | 1.827 | 50.593 | 5.348 | 7.707 | -2.463 |
| 22Q3 | F5 | -1.041 | -0.784 | 53.141 | -1.587 | 4.884 | -2.468 |
| 22Q2 | F5 | 4.860 | 2.065 | 52.163 | 6.788 | 11.090 | -3.027 |
| 22Q1 | F5 | 3.699 | 2.449 | 54.968 | 6.298 | 6.742 | -2.441 |
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
Participation, Recall and Hit rate are the weight-averaged values of the signals; Recall is ½ (recall UP + recall DOWN) on the slots each signal traded (a coin flip scores 50%). Effective Leverage is the weighted sum of the signals' Effective Leverage, the portfolio's average gross exposure relative to its capital.
Table 5: Quarterly and Annual Participation, Recall and Effective Leverage
| Quarter | Fold | Participation % | Recall % | Hit rate % | Effective Leverage (x) |
|---|---|---|---|---|---|
| 2026 | F1 | 52.96 | 54.15 | 54.20 | 0.420 |
| 26Q3 | F1 | 50.56 | 54.08 | 54.26 | 0.403 |
| 26Q2 | F1 | 58.75 | 52.14 | 52.72 | 0.450 |
| 26Q1 | F1 | 49.54 | 55.08 | 56.28 | 0.407 |
| 2025 | F2 | 49.67 | 54.10 | 55.08 | 0.353 |
| 25Q4 | F2 | 47.62 | 51.51 | 52.39 | 0.346 |
| 25Q3 | F2 | 46.24 | 52.25 | 54.89 | 0.333 |
| 25Q2 | F2 | 57.59 | 57.26 | 58.36 | 0.392 |
| 25Q1 | F2 | 47.24 | 51.69 | 53.38 | 0.341 |
| 2024 | F3 | 50.25 | 50.05 | 50.59 | 0.379 |
| 24Q4 | F3 | 52.23 | 46.44 | 47.42 | 0.393 |
| 24Q3 | F3 | 44.80 | 51.84 | 52.78 | 0.346 |
| 24Q2 | F3 | 54.71 | 51.67 | 53.43 | 0.405 |
| 24Q1 | F3 | 49.29 | 50.45 | 48.76 | 0.371 |
| 2023 | F4 | 56.90 | 54.18 | 54.11 | 0.415 |
| 23Q4 | F4 | 53.20 | 55.09 | 54.06 | 0.385 |
| 23Q3 | F4 | 53.54 | 55.08 | 54.51 | 0.392 |
| 23Q2 | F4 | 61.10 | 56.32 | 56.73 | 0.441 |
| 23Q1 | F4 | 59.78 | 51.56 | 51.33 | 0.442 |
| 2022 | F5 | 56.88 | 52.32 | 52.77 | 0.450 |
| 22Q4 | F5 | 57.49 | 50.83 | 50.51 | 0.464 |
| 22Q3 | F5 | 52.58 | 51.76 | 53.39 | 0.422 |
| 22Q2 | F5 | 59.76 | 52.93 | 52.28 | 0.461 |
| 22Q1 | F5 | 57.80 | 53.94 | 55.12 | 0.455 |
4.3 Portfolio and signals by year
Table 6: Annual Sharpe of the portfolio and of each signal
| Year | Portfolio | ES | NQ | RTY | YM | CL | NG | SI | GC |
|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.44 | 1.29 | 1.98 | 2.32 | 2.16 | 1.29 | 0.72 | 1.35 | 1.59 |
| 2025 | 2.02 | 0.67 | 0.38 | 1.49 | 1.01 | 0.22 | 1.56 | 1.42 | 0.22 |
| 2024 | -0.19 | -1.17 | -0.67 | 0.11 | -0.92 | 0.45 | 0.16 | -0.16 | 0.15 |
| 2023 | 0.67 | 1.22 | 1.01 | 0.72 | 1.38 | -1.21 | 1.13 | -0.17 | -0.27 |
| 2022 | 1.51 | 0.91 | 0.45 | 1.10 | 0.91 | 2.12 | 0.34 | 0.30 | 0.35 |
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