Alpha Report
Russell 2000 | April 2026

1. Executive Summary

RTY Macro Review for April 2026

During April 2026, the Russell 2000 benchmark delivered strong gains of +11.11% as small-cap equities benefited from continued Federal Reserve easing momentum and diminishing geopolitical tensions following the resolution of trade disputes in Southeast Asia. The Fed's dovish pivot accelerated mid-month with signals of additional rate cuts ahead, driving risk-on sentiment that particularly favored domestically-focused smaller companies over their large-cap counterparts. However, our strategy captured only +0.66% of this rally, underperforming significantly as defensive positioning and sector rotation hedges limited participation in the broad-based small-cap surge that intensified into month-end.

Signal Performance Overview for April 2026

Trailing 12-month Sharpe 2.28 and return 16.34% (through the period in Table 3 below). During the report month, the Russell 2000 benchmark rose approximately 11.11%; the strategy returned +0.66% over the same window. The risk profile remains highly controlled with maximum drawdown holding steady at the previous period's level, while the win rate experienced a modest decline of 36 basis points to 55.84%. Overall risk posture appears consistent with the prior window, maintaining tight drawdown discipline despite the slight deterioration in trade success frequency.

Signal Coverage — Russell 2000

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 15:30 ET) we decide to take a long, short or no position using 1/70 of our starting portfolio for the day (there are 70 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 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 RTY price (100 = Apr 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