1. Executive Summary
RTY Macro Review for March 2026
The Russell 2000 faced headwinds in March as small-cap equities underperformed amid renewed concerns over regional banking stability and tightening credit conditions that disproportionately impact smaller companies’ access to capital. Trading volumes remained elevated as institutional investors continued rotating toward large-cap names, creating opportunities for tactical positioning around earnings announcements and sector-specific catalysts. The index’s higher volatility profile relative to large-cap benchmarks provided enhanced trading opportunities, though risk management remained critical given the asset class’s sensitivity to economic data releases and Federal Reserve commentary.
Signal Performance Overview for March 2026
The RTY strategy demonstrates strong risk-adjusted performance with a 12-month Sharpe ratio of 2.48 and solid returns of 18.92%, while maintaining excellent risk control with maximum drawdown limited to just -3.02%. The strategy shows consistent performance with a modest win rate of 55.96%, though there’s a slight decline in the Sharpe ratio from the previous period (2.53 to 2.48) despite higher absolute returns. Key strength: exceptional downside protection combined with strong absolute returns; minor concern: the declining Sharpe ratio suggests marginally less efficient risk-adjusted performance compared to the prior 12-month period.
Signal Coverage — Russell 2000
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | RTY | Russell 2000 E-mini |
| Futures | M2Q | 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 | 4.029 | 53.990 |
| 2026 Mar | 1.689 | 48.885 |
| 2026 Feb | 2.126 | 61.260 |
| 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 |
| 2025 Apr | 4.572 | 60.056 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Mar 2026 | 1.689 | 48.885 |
| Mar 2025 | 0.081 | 53.362 |
| Mar 2024 | -0.374 | 40.285 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Mar 2026 | 12 months ending Feb 2026 | Change |
|---|---|---|---|
| Sharpe | 2.484 | 2.533 | -0.049 |
| Ann Return (%) | 18.920 | 17.034 | +1.886 |
| Win Rate (%) | 55.963 | 56.300 | -0.337 |
| Max DD (%) | -3.022 | -3.023 | +0.001 |
| Volatility | 7.614 | 6.727 | +0.887 |
| Calmar | 6.258 | 5.636 | +0.622 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q1 2026 | 1.885 | 4.029 | 53.990 | -2.913 | 8.863 | 5.735 |
| Q4 2025 | 2.275 | 22.063 | 55.797 | -2.220 | 9.696 | 9.939 |
| Q3 2025 | 1.833 | 8.680 | 54.923 | -1.954 | 4.736 | 4.442 |
| Q2 2025 | 4.376 | 30.264 | 59.323 | -1.315 | 6.917 | 23.009 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the RTY price (100 = Mar 02, 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