1. Executive Summary
RTY Macro Review for September 2026
Small caps had their worst month since March 2025: the Russell 2000 fell about 5.3% in September as the Federal Reserve raised rates to 3.75–4.00% on 16 September and Treasury yields surged, with the 5-year yield reaching 5% for the first time since 2007 on 23 September. Smaller, more rate-sensitive companies bore the brunt of the move while a few large technology names held the broad indices near flat.
Signal Performance Overview for September 2026
Trailing 12-month Sharpe 1.831 and return 8.466% (Table 3), compared with Sharpe 2.019 and return 9.587% for the 12 months ending August.
During the report month the rebased Russell 2000 futures series in Figure 1 fell about 3.5%; the strategy finished slightly positive at +0.07% (Sharpe 0.39, win rate 49.19%), with a maximum intra-month drawdown of −0.68%. Short positions gained 0.38 points while longs lost 0.31 points, so the strategy held its ground in a falling market but did not profit much from the decline.
Risk Posture: The trailing 12-month maximum drawdown improved to −2.24% from −2.41%, while the win rate slipped about 1.4 percentage points to 55.39%; the trailing return and Sharpe eased as a strong month a year earlier rolled out of the window.
Signal Coverage: Russell 2000
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | RTY | E-mini Russell 2000 |
| 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:
- Entry positions: every 5 minutes between 09:45 and 15:25 ET (69 possible openings per day) we take a long, short or no position. Each position is split into 5 parts, executed on each minute of the 5 minutes after the decision. No sizing adjustment.
- Exit positions: each decision's position is closed between 15:55 and 16:00 ET, its five parts over the five minutes.
- Costs: 1.00 bp per side, 2.0 bp round trip (RTY). Extra exchange/clearing fees not included.
- Contract series & roll: Front month quarterly contract (Mar, Jun, Sep, Dec). Switch at the open 5 trading days before expiration (the third Friday of the contract month): 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-v0.12.0: committee of models voting per decision |
| Version | RUSSELL2000_DTC v17 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Trained Time Period | Q1 2020 to Q4 2025 |
| Final Validation Period | Jan 2026 to Aug 2026 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 7.668 | 57.424 |
| 2026 Sep | 0.066 | 49.189 |
| 2026 Aug | 0.593 | 70.080 |
| 2026 Jul | 0.633 | 63.876 |
| 2026 Jun | 3.367 | 63.995 |
| 2026 May | -0.289 | 49.439 |
| 2026 Apr | 0.794 | 52.849 |
| 2026 Mar | 1.585 | 55.179 |
| 2026 Feb | -0.254 | 58.024 |
| 2026 Jan | 1.173 | 54.021 |
| 2025 Dec | 0.606 | 51.919 |
| 2025 Nov | 1.555 | 57.188 |
| 2025 Oct | -1.363 | 44.824 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Sep 2026 | 0.066 | 49.189 |
| Sep 2025 | 1.188 | 62.262 |
| Sep 2024 | -0.360 | 45.426 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Sep 2026 | 12 months ending Aug 2026 | Change |
|---|---|---|---|
| Sharpe | 1.831 | 2.019 | -0.188 |
| Return (%) | 8.466 | 9.587 | -1.122 |
| Win Rate (%) | 55.387 | 56.747 | -1.360 |
| Max DD (%) | -2.238 | -2.410 | 0.172 |
| Volatility | 4.757 | 4.895 | -0.137 |
| Calmar | 3.676 | 3.866 | -0.190 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q3 2026 | 2.099 | 1.292 | 60.014 | -1.861 | 2.456 | 2.700 |
| Q2 2026 | 3.140 | 3.871 | 56.721 | -1.937 | 5.556 | 8.328 |
| Q1 2026 | 1.683 | 2.504 | 55.601 | -1.952 | 6.404 | 5.240 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the RTY price (100 = September 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: Create account
- API Documentation: https://quantumsignals.ai/documentation
6. Contact
Please reach out with any questions or comments at: info[at]quantumsignals.ai