1. Executive Summary
ES Macro Review for May 2026
During May 2026, the S&P 500 benchmark delivered a strong +4.64% return as markets rallied on emerging signs of monetary policy easing, with the Federal Reserve signaling a more dovish stance amid cooling inflation data and growing concerns about economic growth sustainability. Geopolitical tensions in Eastern Europe showed signs of de-escalation mid-month, contributing to improved risk sentiment and a notable equity rally that accelerated into month-end as institutional investors rotated back into growth assets. Our ES strategy returned +0.38% over the same period, underperforming the benchmark as our risk management protocols limited exposure during the late-month surge in equity volatility and momentum-driven price action.
Signal Performance Overview for May 2026
Trailing 12-month Sharpe 1.206 and return 5.135% (through the period in Table 3 below). During the report month, the S&P 500 benchmark rose approximately 4.64%; the strategy returned +0.38% over the same window. The strategy maintained its disciplined risk profile with maximum drawdown holding steady at -3.97%, while the win rate experienced a modest decline from 53.98% to 53.35%. This represents a slight deterioration in hit rate consistency compared to the previous period, though overall risk management remains well-controlled.
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 | v0.4.4 |
| Exchange | CME Globex |
| Data | Level II Limit Order Book (10 levels) |
| Retrained Time Period | 21Q1 to 24Q4 |
| Final Validation Period | 25Q1 to 26Q1 |
4. Performance Metrics
Table 1: Monthly Return and Win Rate Metrics (Last 12 Months)
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| 2026 YTD | 0.681 | 51.777 |
| 2026 May | 0.154 | 48.416 |
| 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 |
Table 2: Year over Year Performance Comparison
| Month | Return (%) | Win Rate (%) |
|---|---|---|
| May 2026 | 0.154 | 48.416 |
| May 2025 | 0.956 | 56.172 |
| May 2024 | 1.022 | 54.480 |
Table 3: 12-Months Ending Performance
| Metric | 12 months ending May 2026 | 12 months ending Apr 2026 | Change |
|---|---|---|---|
| Sharpe | 1.206 | 1.565 | -0.359 |
| Ann Return (%) | 5.135 | 6.166 | -1.031 |
| Win Rate (%) | 53.349 | 53.979 | -0.631 |
| Max DD (%) | -3.972 | -3.972 | 0.000 |
| Volatility | 3.929 | 4.119 | -0.189 |
| Calmar | 1.193 | 1.623 | -0.430 |
Figure 1: Cumulative equity curve showing the trading strategy net long/short performance compared with the ES 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