1. Executive Summary
ES Macro Review for April 2026
During April 2026, the S&P 500 delivered a robust +9.46% return as markets rallied on dovish Federal Reserve signals indicating a potential shift toward monetary easing, while geopolitical tensions in Eastern Europe showed signs of de-escalation following diplomatic breakthroughs mid-month. The strategy underperformed significantly with a -0.82% return, likely caught off-guard by the sharp risk-on rotation that accelerated into month-end as institutional investors repositioned ahead of May earnings season. The benchmark's strong performance was further supported by better-than-expected corporate earnings and a late-month surge in technology stocks, creating a challenging environment for defensive positioning strategies.
Signal Performance Overview for April 2026
Trailing 12-month Sharpe 1.57 and return 6.17% (through the period in Table 3 below). During the report month, the S&P 500 benchmark rose approximately 9.46%; the strategy returned -0.82% over the same window. The current period demonstrates improved risk management with maximum drawdown compressing to -3.97% from the previous -4.37%, indicating better downside protection. However, the win rate declined modestly to 53.98% from 55.01%, suggesting slightly less consistent trade execution despite the enhanced drawdown control.
Signal Coverage — S&P 500
| Asset Class | Trading Symbol | Name |
|---|---|---|
| Futures | ES | E-mini S&P 500 |
| Futures | MES | Micro E-mini S&P 500 |
| ETF | SPY | SPDR S&P 500 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: 1 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 | 0.539 | 52.548 |
| 2026 Apr | -1.002 | 40.946 |
| 2026 Mar | -0.379 | 50.875 |
| 2026 Feb | -0.548 | 47.124 |
| 2026 Jan | 2.513 | 70.539 |
| 2025 Dec | 0.580 | 56.876 |
| 2025 Nov | 0.261 | 47.283 |
| 2025 Oct | 0.702 | 52.089 |
| 2025 Sep | 1.527 | 62.937 |
| 2025 Aug | 1.298 | 60.865 |
| 2025 Jul | 0.894 | 55.729 |
| 2025 Jun | -0.819 | 44.653 |
| 2025 May | 0.956 | 56.172 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Apr 2026 | -1.002 | 40.946 |
| Apr 2025 | 4.944 | 52.973 |
| Apr 2024 | -1.333 | 50.500 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Apr 2026 | 12 months ending Mar 2026 | Change |
|---|---|---|---|
| Sharpe | 1.565 | 1.386 | +0.179 |
| Ann Return (%) | 6.166 | 12.411 | -6.245 |
| Win Rate (%) | 53.979 | 55.006 | -1.027 |
| Max DD (%) | -3.972 | -4.374 | +0.401 |
| Volatility | 4.119 | 8.615 | -4.497 |
| Calmar | 1.623 | 2.731 | -1.108 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the ES price (100 = Apr 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