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 RTY strategy underperformed significantly with a -0.49% return, as defensive positioning and hedges detracted from performance during the sustained late-month rally that carried the index to new highs into month-end.
Signal Performance Overview for April 2026
Trailing 12-month Sharpe 2.10 and return 14.97% (through the period in Table 3 below). During the report month, the Russell 2000 benchmark rose approximately 11.11%; the strategy returned -0.49% over the same window. The strategy maintained its disciplined risk profile with maximum drawdown holding steady at -3.02%, while the win rate experienced a modest decline of 50 basis points to 55.70%. This period reflects a slightly more challenging environment compared to the previous window, though risk management remained consistent with drawdown levels unchanged.
Signal Coverage — Russell 2000
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | RTY | Russell 2000 E-mini |
| Futures | M2K | Micro E-mini Russell 2000 |
| ETF | IWM | iShares Russell 2000 ETF |
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
| Category | Value |
|---|---|
| Model Family | Pythia |
| Version | v0.3.0 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 24Q3 to 25Q3 |
| Final Validation Period | 25Q4 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 5.105 | 54.785 |
| 2026 Apr | 1.250 | 57.057 |
| 2026 Mar | 1.690 | 48.885 |
| 2026 Feb | 3.167 | 63.262 |
| 2026 Jan | 0.174 | 53.486 |
| 2025 Dec | 0.670 | 61.352 |
| 2025 Nov | 0.985 | 51.295 |
| 2025 Oct | 3.169 | 54.731 |
| 2025 Sep | 2.080 | 60.255 |
| 2025 Aug | 1.684 | 58.312 |
| 2025 Jul | -1.659 | 46.887 |
| 2025 Jun | 1.612 | 62.949 |
| 2025 May | 0.514 | 55.739 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Apr 2026 | 1.250 | 57.057 |
| Apr 2025 | 4.572 | 60.056 |
| Apr 2024 | -0.767 | 51.940 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Apr 2026 | 12 months ending Mar 2026 | Change |
|---|---|---|---|
| Sharpe | 2.098 | 2.594 | -0.496 |
| Ann Return (%) | 14.971 | 20.133 | -5.162 |
| Win Rate (%) | 55.699 | 56.203 | -0.504 |
| Max DD (%) | -3.023 | -3.023 | 0.000 |
| Volatility | 7.071 | 7.630 | -0.560 |
| Calmar | 4.906 | 6.547 | -1.641 |
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