1. Executive Summary
SI Macro Review for May 2026
During the report month, the Silver benchmark (rebased series) declined approximately 0.17%, while the strategy returned -2.62% over the same window. Silver faced headwinds from a cautious Federal Reserve stance, with the Fed signaling a prolonged hold on rates through mid-year as policymakers continued to weigh sticky services inflation against moderating growth, a backdrop that tempered enthusiasm for non-yielding metals. Renewed trade-related uncertainty and geopolitical friction in the Middle East injected intermittent volatility into risk assets, and a late-month dollar strengthening episode pressured silver into month-end, amplifying the strategy's underperformance relative to the modest benchmark decline.
Signal Performance Overview for May 2026
Trailing 12-month Sharpe 1.326 and return 21.401% (through the period in Table 3 below). During the report month, the Silver benchmark declined approximately 0.17%; the strategy returned -2.62% over the same window. Drawdown improved marginally to -10.21% from -10.58%, suggesting slightly better capital preservation, while the win rate edged down to 51.41% from 53.42%, indicating a modest reduction in directional accuracy. Overall, the current window reflects a marginally tighter but somewhat less consistent trading environment compared to the prior period, with both metrics remaining within a narrow band that points to stable, if unspectacular, risk-adjusted behavior.
Signal Coverage — Silver
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | SI | Silver Futures |
| Futures | SIL | Micro Silver Futures |
| 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:
- 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 1/69 of our starting portfolio for the day (there are 69 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: 3.0 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 26Q2 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 26.526 | 54.249 |
| 2026 May | -1.970 | 42.887 |
| 2026 Apr | 0.862 | 53.264 |
| 2026 Mar | 2.037 | 47.333 |
| 2026 Feb | 9.883 | 63.649 |
| 2026 Jan | 14.590 | 64.685 |
| 2025 Dec | 3.532 | 59.487 |
| 2025 Nov | -0.481 | 48.007 |
| 2025 Oct | -1.413 | 43.395 |
| 2025 Sep | -0.935 | 44.836 |
| 2025 Aug | 0.289 | 50.920 |
| 2025 Jul | -2.115 | 54.734 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| May 2026 | -1.970 | 42.887 |
| May 2025 | 2.183 | 67.540 |
| May 2024 | -1.518 | 51.823 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending May 2026 | 12 months ending Apr 2026 | Change |
|---|---|---|---|
| Sharpe | 1.326 | 1.572 | -0.246 |
| Ann Return (%) | 21.401 | 25.850 | -4.449 |
| Win Rate (%) | 51.405 | 53.421 | -2.016 |
| Max DD (%) | -10.207 | -10.579 | +0.371 |
| Volatility | 16.305 | 16.231 | +0.074 |
| Calmar | 2.119 | 2.412 | -0.293 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the SI 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