| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 3.56% | 3.56% |
| Time in Market | 67.0% | 75.0% |
| Total Return | 1% | 1% |
| CAGR% (Annual Return) | 24.3% | 43.62% |
| Sharpe | 2.59 | 1.41 |
| RoMaD | 35.19 | 18.18 |
| Corr to Benchmark | 1.0 | -0.54 |
| Prob. Sharpe Ratio | 67.18% | 56.09% |
| Smart Sharpe | 1.6 | 0.87 |
| Sortino | 4.73 | 2.24 |
| Smart Sortino | 2.92 | 1.38 |
| Sortino/√2 | 3.35 | 1.58 |
| Smart Sortino/√2 | 2.06 | 0.98 |
| Omega | 1.5 | 1.28 |
| Max Drawdown | -0.69% | -2.4% |
| Longest DD Days | 3 | 5 |
| Volatility (ann.) | 6.41% | 22.75% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 35.19 | 18.18 |
| Skew | 0.45 | -0.01 |
| Kurtosis | 0.14 | 1.78 |
| Expected Daily% | 0.05% | 0.09% |
| Expected Monthly% | 0.66% | 1.1% |
| Expected Yearly% | 0.66% | 1.1% |
| Daily Value-at-Risk | -0.5% | -1.86% |
| Expected Shortfall (cVaR) | -0.5% | -2.4% |
| MTD | 0.66% | 1.1% |
| 3M | 0.66% | 1.1% |
| 6M | 0.66% | 1.1% |
| YTD | 0.66% | 1.1% |
| 1Y | 0.66% | 1.1% |
| 3Y (ann.) | 24.3% | 43.62% |
| 5Y (ann.) | 24.3% | 43.62% |
| 10Y (ann.) | 24.3% | 43.62% |
| All-time (ann.) | 24.3% | 43.62% |
| Best Day | 0.66% | 2.37% |
| Worst Day | -0.49% | -2.4% |
| Best Month | 0.66% | 1.1% |
| Worst 1-Month Return | 0.66% | 1.1% |
| Best Year | 0.66% | 1.1% |
| Worst Year | 0.66% | 1.1% |
| Avg. Drawdown | -0.51% | -1.25% |
| Avg. Drawdown Days | 2 | 3 |
| Recovery Factor | 0.96 | 0.49 |
| Ulcer Index | 0.0 | 0.01 |
| Serenity Index | -4.9 | -1.46 |
| Annualized Return on Risk Capital | 2,895.24% | 1,389.96% |
| Worst 3-Month Return | - | - |
| Time to Recovery (Days) | 1 | 0 |
| 5th Percentile Tail Loss | -0.4% | -1.55% |
| Time Underwater (Days) | 5 | 8 |
| Percent Positive Months | 100.0 | 100.0 |
| Avg. Up Month | 0.66% | 1.1% |
| 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% | 100.0% |
| Win Quarter% | 100.0% | 100.0% |
| Win Year% | 100.0% | 100.0% |
| Beta | - | -1.9 |
| Alpha | - | 0.74 |
| Correlation | - | -53.55% |
| Treynor Ratio | - | 1.3% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 0.66 | 1.10 | 1.67 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-15 | 2026-01-15 | -2.40 | 1 |
| 2026-01-09 | 2026-01-13 | -0.90 | 5 |
| 2026-01-06 | 2026-01-07 | -0.45 | 2 |
| Parameter | Value |
|---|---|
| agent_max_model_calls | 40 |
| agent_trader_model | openai/gpt-6-luna |
| agent_model_calls | 9 |
| agent_trader_calls | 9 |
| agent_trader_cache_hits | 0 |
| agent_trader_tool_calls | 85 |
| agent_trader_input_tokens | 655055 |
| agent_trader_output_tokens | 8727 |
| agent_trader_total_tokens | 663782 |
| agent_trader_thinking_tokens | 4150 |
| agent_trader_cached_input_tokens | 583393 |
| agent_trader_cache_write_input_tokens | 0 |
| agent_trader_uncached_input_tokens | 71662 |
| agent_trader_tool_use_input_tokens | 0 |
| agent_trader_latency_ms_total | 139630 |
| agent_trader_latency_ms_avg | 15514.44 |
| agent_trader_first_event_latency_ms_avg | 2983.67 |
| agent_trader_detail_parquet | logs/m2-generic_2026-09-29_23-15_4BL7hm_agent_detail.parquet |
| BACKTESTING_DATA_SOURCE | yahoo |