1. Executive Summary
- Portfolio: Composite signals, 8 signals, 50% inverse volatility (previous year) + 50% equal weight
- Signals: ES, NQ, RTY, YM, GC, SI, CL, NG
- Weighting: 50% inverse volatility + 50% equal weight: w_i = ½ · (1/σ_i) / Σ_j (1/σ_j) + ½ · 1/8, σ_i the annualized volatility of signal i's daily returns in 2025
- Signal Versions: Current version of each signal (each signal's Current report)
This is the October 2026 monthly edition of our All Symbols Blended Weights portfolio. The 2022 to 2026 walk-forward version of the same portfolio, with the same eight composite signals and the same weighting, is in the multi-year report.
This report shows the combined performance of a fixed-weight portfolio of our eight composite signals. Each signal's daily returns are the ones in its own October report, so every day was traded by a model that had not seen it. To combine the signals, we:
- Take each signal's daily net return on fixed capital (costs included)
- Weight and sum the daily returns
- Add the result up into the portfolio's daily equity, on fixed capital
Weights are fixed for the whole report and are not rebalanced. Portfolio metrics use the same definitions as the signal reports. Win Rate is the weighted average of the signals' win rates, and Realized Leverage is the weighted sum of theirs.
Why FX is not included. This portfolio holds the eight composite signals only. The EUR/USD and JPY/USD signals are not composite signals and have no walk-forward folds, so they have no out-of-sample record on the same basis as the other eight and are left out.
2. Portfolio Composition
| Symbol | Name | Signal Version (October 2026) | Volatility (%, ann., 2025) | Models in composite | Weight |
|---|---|---|---|---|---|
| ES | E-mini S&P 500 | SP500_DTC@v16 | 7.84 | 5 | 13.8% |
| NQ | Nasdaq 100 E-mini | NASDAQ100_DTC@v17 | 9.17 | 5 | 12.7% |
| RTY | Russell 2000 E-mini | RUSSELL2000_DTC@v17 | 7.95 | 5 | 13.7% |
| YM | Dow Jones E-mini | DOW30_DTC@v16 | 6.81 | 5 | 15.0% |
| GC | Gold Futures (COMEX) | GOLD_DTC@v11 | 7.27 | 9 | 14.4% |
| SI | Silver Futures (COMEX) | SILVER_DTC@v10 | 10.85 | 10 | 11.7% |
| CL | Crude Oil WTI (NYMEX) | OIL_DTC@v11 | 16.45 | 12 | 9.9% |
| NG | Natural Gas Henry Hub (NYMEX) | NATGAS_DTC@v7 | 22.73 | 10 | 8.9% |
3. Trading Strategy
Each signal trades as defined in Section 2 of its own report, on fixed capital and unlevered:
| Symbol | Decision points (ET) | Decision points per day | Exit (ET) | Costs |
|---|---|---|---|---|
| ES | 09:45–15:25 | 69 | 15:55–16:00 | 1 bp round-turn assumption |
| NQ | 09:45–15:25 | 69 | 15:55–16:00 | 1 bp round-turn assumption |
| RTY | 09:45–15:25 | 69 | 15:55–16:00 | 2 bp round-turn assumption |
| YM | 09:45–15:25 | 69 | 15:55–16:00 | 1.5 bp round-turn assumption |
| GC | 09:30–09:45 | 4 | 13:25–13:30 | 1.5 bp round-turn assumption |
| SI | 09:45–10:15 | 7 | 13:20–13:25 | 3.0 bp round-turn assumption |
| CL | 10:45–11:00 | 4 | 14:25–14:30 | 1.5 bp round-turn assumption |
| NG | 09:30–09:45 | 4 | 14:25–14:30 | 2.5 bp round-turn assumption |
4. Performance Metrics
Metric definitions
- Realized Return (%): net return of the unlevered portfolio over the period, not annualized; daily net returns added up on fixed capital.
- Sharpe: annualized mean daily return ÷ annualized volatility; risk-free rate = 0.
- Win Rate (%): weight-averaged share of positions closed with positive P&L before costs.
- Max DD (%): largest peak-to-trough decline in daily equity over the period.
- Volatility (%, ann.): standard deviation of daily returns × √252.
- Calmar: annualized mean daily return ÷ |Max DD|.
- Realized Leverage (x): weighted sum of the signals' time-weighted average gross notional ÷ capital.
Table 1: Monthly Portfolio Metrics
| Month | Realized Return (%) | Sharpe | Win Rate (%) | Max DD (%) | Volatility (%, ann.) | Calmar | Realized Leverage (x) |
|---|---|---|---|---|---|---|---|
| 2026 YTD | 13.466 | 2.516 | 53.289 | -1.966 | 6.274 | 8.027 | 0.416 |
| 2026 Oct | 0.898 | 4.430 | 51.496 | -0.340 | 2.321 | 30.266 | 0.391 |
| 2026 Sep | 0.293 | 1.258 | 50.305 | -0.884 | 2.665 | 3.791 | 0.400 |
| 2026 Aug | -0.885 | -2.994 | 55.978 | -1.256 | 3.547 | -8.456 | 0.382 |
| 2026 Jul | 0.772 | 2.311 | 55.822 | -0.698 | 3.663 | 12.132 | 0.400 |
| 2026 Jun | 2.105 | 4.308 | 57.555 | -0.829 | 5.596 | 29.084 | 0.497 |
| 2026 May | -0.735 | -3.105 | 44.509 | -1.497 | 2.839 | -5.890 | 0.416 |
| 2026 Apr | 2.178 | 5.792 | 54.041 | -0.879 | 4.512 | 29.718 | 0.437 |
| 2026 Mar | 0.751 | 0.939 | 52.532 | -2.104 | 9.158 | 4.088 | 0.420 |
| 2026 Feb | 3.534 | 7.150 | 55.059 | -0.196 | 6.556 | 238.958 | 0.374 |
| 2026 Jan | 4.555 | 4.033 | 54.942 | -1.240 | 12.938 | 42.068 | 0.437 |
| 2025 Dec | 0.878 | 2.256 | 51.050 | -0.531 | 4.457 | 18.927 | 0.394 |
| 2025 Nov | 0.165 | 0.653 | 49.368 | -0.776 | 3.175 | 2.672 | 0.329 |
Table 2: October 2026 Portfolio and Signal Metrics
| Metric | Portfolio | ES | NQ | RTY | YM | GC | SI | CL | NG |
|---|---|---|---|---|---|---|---|---|---|
| Realized Return (%) | 0.898 | -0.299 | 0.094 | -0.302 | 0.050 | 3.884 | -0.045 | 5.869 | -1.934 |
| Sharpe | 4.430 | -7.301 | 0.640 | -2.114 | 0.460 | 6.168 | -0.045 | 4.077 | -1.457 |
| Win Rate (%) | 51.496 | 36.594 | 55.238 | 40.517 | 51.898 | 64.750 | 57.966 | 56.949 | 49.500 |
| Max DD (%) | -0.340 | -0.317 | -0.248 | -0.654 | -0.399 | -1.058 | -2.809 | -2.653 | -5.863 |
| Volatility (%, ann.) | 2.321 | 0.469 | 1.677 | 1.636 | 1.253 | 7.212 | 11.380 | 16.489 | 15.209 |
| Calmar | 30.266 | -10.816 | 4.322 | -5.287 | 1.446 | 42.059 | -0.184 | 25.343 | -3.779 |
| Realized Leverage (x) | 0.391 | 0.130 | 0.168 | 0.157 | 0.155 | 0.861 | 0.696 | 0.634 | 0.435 |
Table 3: Year-to-date Portfolio and Signal Metrics (2026-01-01 to 2026-10-31)
| Metric | Portfolio | ES | NQ | RTY | YM | GC | SI | CL | NG |
|---|---|---|---|---|---|---|---|---|---|
| Realized Return (%) | 13.466 | 3.073 | 6.160 | 7.366 | 5.572 | 20.373 | 33.672 | 28.696 | 8.038 |
| Sharpe | 2.516 | 1.226 | 1.833 | 1.989 | 2.062 | 1.870 | 1.266 | 1.719 | 0.485 |
| Win Rate (%) | 53.289 | 50.684 | 53.239 | 55.897 | 54.913 | 55.283 | 50.279 | 54.836 | 49.664 |
| Max DD (%) | -1.966 | -1.859 | -1.469 | -1.136 | -1.601 | -5.535 | -13.711 | -8.804 | -10.547 |
| Volatility (%, ann.) | 6.274 | 2.965 | 3.975 | 4.401 | 3.197 | 12.827 | 31.170 | 19.842 | 19.797 |
| Calmar | 8.027 | 1.955 | 4.962 | 7.707 | 4.117 | 4.334 | 2.878 | 3.875 | 0.910 |
| Realized Leverage (x) | 0.416 | 0.195 | 0.188 | 0.189 | 0.201 | 0.920 | 0.715 | 0.612 | 0.371 |
Table 4: Last 12 Months Portfolio and Signal Metrics (2025-11-01 to 2026-10-31)
| Metric | Portfolio | ES | NQ | RTY | YM | GC | SI | CL | NG |
|---|---|---|---|---|---|---|---|---|---|
| Realized Return (%) | 14.509 | 2.922 | 6.422 | 9.527 | 6.028 | 20.466 | 33.868 | 25.777 | 18.384 |
| Sharpe | 2.393 | 1.032 | 1.673 | 2.139 | 1.947 | 1.656 | 1.129 | 1.376 | 0.927 |
| Win Rate (%) | 52.807 | 49.843 | 51.837 | 55.532 | 54.981 | 54.579 | 50.239 | 52.202 | 52.123 |
| Max DD (%) | -1.948 | -1.862 | -1.465 | -1.112 | -1.594 | -5.531 | -13.693 | -13.306 | -9.700 |
| Volatility (%, ann.) | 5.945 | 2.798 | 3.793 | 4.418 | 3.060 | 12.163 | 29.403 | 18.586 | 19.747 |
| Calmar | 7.302 | 1.551 | 4.332 | 8.497 | 3.737 | 3.642 | 2.425 | 1.922 | 1.888 |
| Realized Leverage (x) | 0.407 | 0.192 | 0.196 | 0.190 | 0.198 | 0.892 | 0.678 | 0.608 | 0.370 |
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