1. Executive Summary
ES Macro Review for March 2026
The S&P 500 faced mixed conditions in March as markets balanced ongoing Federal Reserve policy normalization against resilient corporate earnings growth, with technology and healthcare sectors showing particular strength amid continued AI infrastructure investment. Volatility remained elevated around key economic data releases, particularly employment figures and inflation readings, creating both intraday trading opportunities and increased risk management requirements. Quarter-end rebalancing flows and options expiration events provided additional liquidity dynamics that favored momentum-based strategies while requiring careful position sizing around these technical levels.
Signal Performance Overview for March 2026
The ES strategy delivered solid performance in March 2026 with a 12-month Sharpe ratio of 1.41 and returns of 12.61%, while maintaining excellent risk control with maximum drawdown limited to just -4.37%. However, performance has declined from the previous period, with both Sharpe ratio dropping from 1.84 to 1.41 and returns decreasing from 15.24% to 12.61%, suggesting some deterioration in risk-adjusted returns. The 55.38% win rate indicates consistent but modest edge, and the low maximum drawdown remains a key strength of the strategy.
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 | 1.588 | 56.457 |
| 2026 Mar | -0.379 | 50.875 |
| 2026 Feb | -0.548 | 47.124 |
| 2026 Jan | 2.513 | 70.539 |
| 2025 Dec | 0.629 | 57.796 |
| 2025 Nov | 0.355 | 49.794 |
| 2025 Oct | 0.702 | 52.089 |
| 2025 Sep | 1.527 | 62.937 |
| 2025 Aug | 1.298 | 60.865 |
| 2025 Jul | 0.928 | 56.907 |
| 2025 Jun | -0.819 | 44.653 |
| 2025 May | 0.956 | 56.172 |
| 2025 Apr | 4.944 | 52.973 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| Mar 2026 | -0.379 | 50.875 |
| Mar 2025 | 1.648 | 57.807 |
| Mar 2024 | 1.019 | 57.595 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending Mar 2026 | 12 months ending Feb 2026 | Change |
|---|---|---|---|
| Sharpe | 1.406 | 1.841 | -0.435 |
| Ann Return (%) | 12.610 | 15.245 | -2.635 |
| Win Rate (%) | 55.382 | 55.967 | -0.585 |
| Max DD (%) | -4.373 | -4.374 | +0.001 |
| Volatility | 8.629 | 8.913 | -0.284 |
| Calmar | 2.775 | 3.753 | -0.978 |
Table 4: Quarterly Performance
| Quarter | Sharpe | Return (%) | Win Rate (%) | Max DD (%) | Volatility | Calmar |
|---|---|---|---|---|---|---|
| Q1 2026 | 1.248 | 1.588 | 56.457 | -2.547 | 5.059 | 2.478 |
| Q4 2025 | 2.650 | 2.076 | 53.896 | -1.412 | 3.926 | 7.366 |
| Q3 2025 | 4.818 | 4.454 | 60.061 | -1.135 | 3.152 | 13.378 |
| Q2 2025 | 1.587 | 6.563 | 55.739 | -4.374 | 19.722 | 7.156 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the ES price (100 = Mar 02, 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