Alpha Report
S&P 500 | July 2026

1. Executive Summary

ES Macro Review for July 2026

U.S. equity markets edged lower in July 2026, with the S&P 500 benchmark (rebased series) declining approximately 0.28% over the month, as investors navigated a Federal Reserve that remained firmly on hold amid still-sticky services inflation, tempering expectations for any near-term easing pivot. Geopolitical tensions, including renewed uncertainty in the Middle East and continued friction around Taiwan Strait trade routes, periodically weighed on risk sentiment, contributing to a choppy, range-bound tape through much of the month before a modest late-month sell-off pressured equities into the final sessions of July. Against this backdrop, the strategy outperformed, returning +0.18% over the same window, preserving capital during the month's softer close.

Signal Performance Overview for July 2026

Trailing 12-month Sharpe 0.397 and return 1.642% (through the period in Table 3 below). During the report month, the S&P 500 benchmark (rebased series, see Figure 1) declined approximately 0.28%; the strategy returned +0.18% over the same window. Risk Posture: The strategy held its drawdown profile nearly flat, with max drawdown edging marginally deeper to -7.15% from -7.11%, suggesting contained tail risk despite any shift in market conditions. Win rate slipped modestly to 52.57% from 52.99%, a negligible deterioration that keeps the edge intact and signals the current window is broadly consistent with, though fractionally softer than, the prior period.

Signal Coverage — S&P 500

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: 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

4. Performance Metrics

Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)

Table 2: Year over Year Performance Comparison

Table 3: 12-Months Ending Performance

Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the ES price (100 = July 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