1. Executive Summary
SI Macro Review for September 2026
Silver fell even harder than gold in September 2026 (about −13.5% by one month-end count) as rising real yields, the Federal Reserve's 16 September rate hike, a firmer dollar and oil-driven rate expectations hit precious metals; one analysis also pointed to silver's weaker technical position as a key support level came under pressure. The metal remains far below its January peak after a year of extreme swings.
Signal Performance Overview for September 2026
Trailing 12-month Sharpe 1.383 and return 41.606% (Table 3), up from Sharpe 1.254 and return 37.742% for the 12 months ending August.
During the report month the rebased silver series in Figure 1 fell about 7.5%; the strategy lost a modest 0.29% (Sharpe −0.41) with a win rate of 46.18% and a maximum intra-month drawdown of −2.77%. Longs were flat (+0.05 points) and shorts lost 0.34 points, so the strategy avoided most of the selloff but did not profit from it.
Risk Posture: The trailing 12-month maximum drawdown deepened slightly to −12.28% from −11.82%, while the win rate improved about 1.6 percentage points to 51.40%; the trailing return still rose as a weak September a year earlier (−4.2%) rolled out of the window.
Signal Coverage: Silver
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | SI | Silver |
| Futures | SIL | Micro Silver |
| ETF | SLV | iShares Silver Trust |
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 10:15 ET (7 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 13:20 and 13:25 ET, its five parts over the five minutes.
- Costs: 1.50 bp per side, 3.0 bp round trip (SI). Extra exchange/clearing fees not included.
- Contract series & roll: Active silver delivery months only (Mar, May, Jul, Sep, Dec). Switch at the open 6 trading days before First Notice (the last business day of the month preceding delivery) and start trading the next active month.
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 | SILVER_DTC v10 |
| 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 | 34.080 | 49.569 |
| 2026 Sep | -0.292 | 46.179 |
| 2026 Aug | -7.178 | 41.887 |
| 2026 Jul | -4.268 | 50.000 |
| 2026 Jun | 3.553 | 56.860 |
| 2026 May | -4.699 | 36.610 |
| 2026 Apr | 1.739 | 53.396 |
| 2026 Mar | -2.982 | 49.206 |
| 2026 Feb | 18.069 | 48.991 |
| 2026 Jan | 30.138 | 61.575 |
| 2025 Dec | 0.015 | 47.174 |
| 2025 Nov | 0.182 | 53.846 |
| 2025 Oct | 7.329 | 79.487 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Sep 2026 | -0.292 | 46.179 |
| Sep 2025 | -4.156 | 26.286 |
| Sep 2024 | -0.816 | 49.375 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Sep 2026 | 12 months ending Aug 2026 | Change |
|---|---|---|---|
| Sharpe | 1.383 | 1.254 | 0.130 |
| Return (%) | 41.606 | 37.742 | 3.864 |
| Win Rate (%) | 51.404 | 49.852 | 1.552 |
| Max DD (%) | -12.280 | -11.824 | -0.455 |
| Volatility | 33.800 | 34.256 | -0.456 |
| Calmar | 3.280 | 3.092 | 0.189 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q3 2026 | -3.826 | -11.739 | 46.316 | -14.018 | 7.834 | -2.705 |
| Q2 2026 | 0.137 | 0.593 | 48.870 | -13.569 | 17.721 | 0.174 |
| Q1 2026 | 3.427 | 45.226 | 53.481 | -7.264 | 207.718 | 46.059 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the SI 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