Annual Return ⓘ

-9.76%

Total Return ⓘ

-0%

Max Drawdown ⓘ

-1.81%

RoMaD ⓘ

-5.38

Longest DD Days ⓘ

4

Sharpe ⓘ

-0.72

Sortino ⓘ

-1.14

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	3.56%	3.56%
Time in Market	67.0%	75.0%

Total Return	1%	-0%
CAGR% (Annual Return)	24.3%	-9.76%

Sharpe	2.59	-0.72
RoMaD	35.19	-5.38
Corr to Benchmark	1.0	0.49
Prob. Sharpe Ratio	67.18%	41.91%
Smart Sharpe	2.38	-0.66
Sortino	4.73	-1.14
Smart Sortino	4.34	-1.04
Sortino/√2	3.35	-0.8
Smart Sortino/√2	3.07	-0.74
Omega	1.5	0.9

Max Drawdown	-0.69%	-1.81%
Longest DD Days	3	4
Volatility (ann.)	6.41%	16.17%
R^2	0.24	0.24
Information Ratio	-0.1	-0.1
Calmar	35.19	-5.38
Skew	0.45	0.72
Kurtosis	0.14	0.28

Expected Daily%	0.05%	-0.03%
Expected Monthly%	0.66%	-0.31%
Expected Yearly%	0.66%	-0.31%
Daily Value-at-Risk	-0.5%	-1.41%
Expected Shortfall (cVaR)	-0.5%	-1.41%

MTD	0.66%	-0.31%
3M	0.66%	-0.31%
6M	0.66%	-0.31%
YTD	0.66%	-0.31%
1Y	0.66%	-0.31%
3Y (ann.)	24.3%	-9.76%
5Y (ann.)	24.3%	-9.76%
10Y (ann.)	24.3%	-9.76%
All-time (ann.)	24.3%	-9.76%

Best Day	0.66%	1.73%
Worst Day	-0.49%	-1.06%
Best Month	0.66%	-0.31%
Worst 1-Month Return	0.66%	-0.31%
Best Year	0.66%	-0.31%
Worst Year	0.66%	-0.31%

Avg. Drawdown	-0.51%	-1.64%
Avg. Drawdown Days	2	4
Recovery Factor	0.96	0.15
Ulcer Index	0.0	0.01
Serenity Index	-4.9	-1.53
Annualized Return on Risk Capital	2,895.24%	-517.88%
Worst 3-Month Return	-	-
Time to Recovery (Days)	1	2
5th Percentile Tail Loss	-0.4%	-1.01%
Time Underwater (Days)	5	8
Percent Positive Months	100.0	0.0

Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	6.0	5.33
Loss Days	6.0	6.67
Win Days%	50.0%	44.44%
Win Month%	100.0%	0.0%
Win Quarter%	100.0%	0.0%
Win Year%	100.0%	0.0%

Beta	-	1.22
Alpha	-	-0.33
Correlation	-	48.53%
Treynor Ratio	-	-3.16%

EOY Returns vs Benchmark

Year	SPY	Strategy	Multiplier	Won
2026	0.66	-0.31	-0.47	-

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2026-01-12	2026-01-15	-1.81	4
2026-01-05	2026-01-08	-1.46	4

Disclaimer: This report is for informational purposes only and should not be considered as investment advice. Past performance is not indicative of future results.

Parameters Used

Parameter	Value
universe	['AAPL', 'MSFT', 'NVDA', 'AMZN', 'META', 'GOOGL', 'TSLA', 'AVGO', 'COST', 'JPM', 'V', 'LLY', 'XOM']
agent_max_model_calls	200
agent_researcher_model	openai/gpt-6-luna
agent_bull_model	openai/gpt-6-luna
agent_bear_model	openai/gpt-6-luna
agent_trader_model	openai/gpt-6-luna
agent_model_calls	36
agent_researcher_calls	9
agent_researcher_cache_hits	0
agent_researcher_tool_calls	55
agent_researcher_input_tokens	826874
agent_researcher_output_tokens	24824
agent_researcher_total_tokens	851698
agent_researcher_thinking_tokens	12069
agent_researcher_cached_input_tokens	714612
agent_researcher_cache_write_input_tokens	0
agent_researcher_uncached_input_tokens	112262
agent_researcher_tool_use_input_tokens	0
agent_researcher_latency_ms_total	244378
agent_researcher_latency_ms_avg	27153.11
agent_researcher_first_event_latency_ms_avg	3801.22
agent_researcher_detail_parquet	logs/large-cap-plain_2026-09-29_22-55_DXopM0_agent_detail.parquet
agent_bull_calls	9
agent_bull_cache_hits	0
agent_bull_tool_calls	67
agent_bull_input_tokens	824569
agent_bull_output_tokens	20035
agent_bull_total_tokens	844604
agent_bull_thinking_tokens	11108
agent_bull_cached_input_tokens	714319
agent_bull_cache_write_input_tokens	0
agent_bull_uncached_input_tokens	110250
agent_bull_tool_use_input_tokens	0
agent_bull_latency_ms_total	214296
agent_bull_latency_ms_avg	23810.67
agent_bull_first_event_latency_ms_avg	3593.89
agent_bull_detail_parquet	logs/large-cap-plain_2026-09-29_22-55_DXopM0_agent_detail.parquet
agent_bear_calls	9
agent_bear_cache_hits	0
agent_bear_tool_calls	87
agent_bear_input_tokens	911170
agent_bear_output_tokens	33330
agent_bear_total_tokens	944500
agent_bear_thinking_tokens	17175
agent_bear_cached_input_tokens	772479
agent_bear_cache_write_input_tokens	0
agent_bear_uncached_input_tokens	138691
agent_bear_tool_use_input_tokens	0
agent_bear_latency_ms_total	343691
agent_bear_latency_ms_avg	38187.89
agent_bear_first_event_latency_ms_avg	4197.78
agent_bear_detail_parquet	logs/large-cap-plain_2026-09-29_22-55_DXopM0_agent_detail.parquet
agent_trader_calls	9
agent_trader_cache_hits	0
agent_trader_tool_calls	242
agent_trader_input_tokens	3612756
agent_trader_output_tokens	69886
agent_trader_total_tokens	3682642
agent_trader_thinking_tokens	53319
agent_trader_cached_input_tokens	3428867
agent_trader_cache_write_input_tokens	0
agent_trader_uncached_input_tokens	183889
agent_trader_tool_use_input_tokens	0
agent_trader_latency_ms_total	850553
agent_trader_latency_ms_avg	94505.89
agent_trader_first_event_latency_ms_avg	3672.56
agent_trader_detail_parquet	logs/large-cap-plain_2026-09-29_22-55_DXopM0_agent_detail.parquet
BACKTESTING_DATA_SOURCE	yahoo

large-cap-plain Compared to SPY
4 Jan, 2026 - 15 Jan, 2026

Benchmark is SPY | LumiBot 4.6.3 | DataSource yahoo | Backtest time 24:01 | Generated by QuantStats (Lumiwealth Version) (v.1.1.5)

-9.76%

-0%

-1.81%

-5.38

4

-0.72

-1.14

Key Performance Metrics

EOY Returns vs Benchmark

Worst 10 Drawdowns

Parameters Used

large-cap-plain Compared to SPY 4 Jan, 2026 - 15 Jan, 2026

Benchmark is SPY | LumiBot 4.6.3 | DataSource yahoo | Backtest time 24:01 | Generated by QuantStats (Lumiwealth Version) (v.1.1.5)

-9.76%

-0%

-1.81%

-5.38

4

-0.72

-1.14

Key Performance Metrics

EOY Returns vs Benchmark

Worst 10 Drawdowns

Parameters Used

large-cap-plain Compared to SPY
4 Jan, 2026 - 15 Jan, 2026