1. Executive Summary
ES Macro Review for September 2026
September 2026 was a month of rising rates: the Federal Reserve raised its target range by a quarter point to 3.75–4.00% on 16 September, its first hike since 2023, after August CPI came in at 3.4% year on year, and the 10-year Treasury yield climbed from about 4.75% to 5.29%. The S&P 500 finished roughly flat (about −0.35%), but only because a handful of AI-related mega-caps held it up: Information Technology and Communication Services were the only sectors to rise, while the average stock fell around 5%. Oil above $100 a barrel at points, as the Strait of Hormuz standoff continued, added to the inflation and rate pressure.
Signal Performance Overview for September 2026
Trailing 12-month Sharpe 0.910 and return 2.645% (Table 3), up from Sharpe 0.654 and return 1.880% for the 12 months ending August.
During the report month the rebased S&P 500 futures series in Figure 1 rose about 1.2%; the strategy returned +0.69% with a Sharpe of 3.46 and a win rate of 54.96%, and a maximum intra-month drawdown of only −0.51%. Both sides contributed, the short side more (+0.58 points) than the long side (+0.11 points), helping the strategy stay positive through the mid-month rate shock.
Risk Posture: The trailing 12-month maximum drawdown was unchanged at −2.32%, while the win rate improved by about 0.9 percentage points to 50.29%. September added return without adding drawdown, improving the risk-adjusted profile over the prior window.
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:
- Entry positions: every 5 minutes between 09:45 and 15:25 ET (69 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 15:55 and 16:00 ET, its five parts over the five minutes.
- Costs: 0.50 bp per side, 1.0 bp round trip (ES). Extra exchange/clearing fees not included.
- Contract series & roll: Front month quarterly contract (Mar, Jun, Sep, Dec). Switch at the open 5 trading days before expiration (the third Friday of the contract month): 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-v0.12.0: committee of models voting per decision |
| Version | SP500_DTC v16 |
| 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 | 3.372 | 51.849 |
| 2026 Sep | 0.691 | 54.963 |
| 2026 Aug | 0.392 | 67.917 |
| 2026 Jul | 0.214 | 48.841 |
| 2026 Jun | 1.654 | 63.453 |
| 2026 May | -1.133 | 31.094 |
| 2026 Apr | 0.235 | 44.928 |
| 2026 Mar | 1.299 | 57.439 |
| 2026 Feb | -0.499 | 39.133 |
| 2026 Jan | 0.520 | 58.853 |
| 2025 Dec | -0.035 | 47.332 |
| 2025 Nov | -0.116 | 42.272 |
| 2025 Oct | -0.577 | 45.959 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Sep 2026 | 0.691 | 54.963 |
| Sep 2025 | -0.075 | 44.485 |
| Sep 2024 | 0.387 | 45.759 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Sep 2026 | 12 months ending Aug 2026 | Change |
|---|---|---|---|
| Sharpe | 0.910 | 0.654 | 0.257 |
| Return (%) | 2.645 | 1.880 | 0.765 |
| Win Rate (%) | 50.291 | 49.359 | 0.932 |
| Max DD (%) | -2.323 | -2.324 | 0.002 |
| Volatility | 2.897 | 2.852 | 0.045 |
| Calmar | 1.108 | 0.787 | 0.321 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q3 2026 | 2.428 | 1.296 | 55.958 | -1.392 | 2.138 | 3.621 |
| Q2 2026 | 0.912 | 0.756 | 48.046 | -2.336 | 3.362 | 1.289 |
| Q1 2026 | 1.366 | 1.320 | 53.174 | -1.652 | 4.003 | 3.207 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the ES 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