1. Executive Summary
RTY Macro Review for May 2026
During May 2026, the Russell 2000 benchmark gained 3.69% as small-cap equities benefited from continued Federal Reserve easing signals and diminishing concerns over the Taiwan Strait tensions that had weighed on risk assets in April. The strategy underperformed significantly with a -2.16% return, likely hampered by defensive positioning that proved poorly timed as markets rallied through month-end on improving sentiment around potential trade normalization between the US and China. Small-cap stocks particularly outpaced large-caps during the final week of May as investors rotated into domestically-focused names amid expectations that the Fed's dovish pivot would support economic growth.
Signal Performance Overview for May 2026
Trailing 12-month Sharpe 1.817 and return 13.069% (through the period in Table 3 below). During the report month, the Russell 2000 benchmark rose approximately 3.69%; the strategy returned -2.16% over the same window. The strategy maintained its disciplined risk profile with maximum drawdown holding steady at -3.02%, though the win rate experienced a modest decline from 55.99% to 54.85%. This represents a slight deterioration in hit rate consistency while preserving the same downside protection characteristics as the previous period.
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 | v0.4.4 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 21Q1 to 24Q4 |
| Final Validation Period | 25Q1 to 26Q1 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 3.948 | 52.797 |
| 2026 May | -2.294 | 40.785 |
| 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 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| May 2026 | -2.294 | 40.785 |
| May 2025 | 0.514 | 55.739 |
| May 2024 | 0.949 | 55.671 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending May 2026 | 12 months ending Apr 2026 | Change |
|---|---|---|---|
| Sharpe | 1.817 | 2.280 | -0.463 |
| Ann Return (%) | 13.069 | 16.412 | -3.343 |
| Win Rate (%) | 54.847 | 55.991 | -1.144 |
| Max DD (%) | -3.023 | -3.023 | 0.000 |
| Volatility | 7.025 | 7.129 | -0.105 |
| Calmar | 4.222 | 5.377 | -1.155 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the RTY price (100 = May 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