| 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% | -14.98% |
| Sharpe | 2.59 | -1.17 |
| RoMaD | 35.19 | -8.54 |
| Corr to Benchmark | 1.0 | 0.16 |
| Prob. Sharpe Ratio | 67.18% | 39.04% |
| Smart Sharpe | 1.59 | -0.72 |
| Sortino | 4.73 | -1.71 |
| Smart Sortino | 2.9 | -1.05 |
| Sortino/√2 | 3.35 | -1.21 |
| Smart Sortino/√2 | 2.05 | -0.74 |
| Omega | 1.5 | 0.76 |
| Max Drawdown | -0.69% | -1.75% |
| Longest DD Days | 3 | 7 |
| Volatility (ann.) | 6.41% | 14.8% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 35.19 | -8.54 |
| Skew | 0.45 | 0.28 |
| Kurtosis | 0.14 | 4.91 |
| Expected Daily% | 0.05% | -0.04% |
| Expected Monthly% | 0.66% | -0.49% |
| Expected Yearly% | 0.66% | -0.49% |
| Daily Value-at-Risk | -0.5% | -1.31% |
| Expected Shortfall (cVaR) | -0.5% | -1.75% |
| MTD | 0.66% | -0.49% |
| 3M | 0.66% | -0.49% |
| 6M | 0.66% | -0.49% |
| YTD | 0.66% | -0.49% |
| 1Y | 0.66% | -0.49% |
| 3Y (ann.) | 24.3% | -14.98% |
| 5Y (ann.) | 24.3% | -14.98% |
| 10Y (ann.) | 24.3% | -14.98% |
| All-time (ann.) | 24.3% | -14.98% |
| Best Day | 0.66% | 1.81% |
| Worst Day | -0.49% | -1.75% |
| Best Month | 0.66% | -0.49% |
| Worst 1-Month Return | 0.66% | -0.49% |
| Best Year | 0.66% | -0.49% |
| Worst Year | 0.66% | -0.49% |
| Avg. Drawdown | -0.51% | -1.15% |
| Avg. Drawdown Days | 2 | 5 |
| Recovery Factor | 0.96 | 0.26 |
| Ulcer Index | 0.0 | 0.01 |
| Serenity Index | -4.9 | -2.87 |
| Annualized Return on Risk Capital | 2,895.24% | -845.65% |
| Worst 3-Month Return | - | - |
| Time to Recovery (Days) | 1 | 0 |
| 5th Percentile Tail Loss | -0.4% | -1.07% |
| Time Underwater (Days) | 5 | 10 |
| Percent Positive Months | 100.0 | 0.0 |
| Avg. Up Month | - | - |
| Avg. Down Month | - | - |
| Win Days | 6.0 | 6.67 |
| Loss Days | 6.0 | 5.33 |
| Win Days% | 50.0% | 55.56% |
| Win Month% | 100.0% | 0.0% |
| Win Quarter% | 100.0% | 0.0% |
| Win Year% | 100.0% | 0.0% |
| Beta | - | 0.38 |
| Alpha | - | -0.21 |
| Correlation | - | 16.44% |
| Treynor Ratio | - | -10.66% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 0.66 | -0.49 | -0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-05 | 2026-01-07 | -1.75 | 3 |
| 2026-01-09 | 2026-01-15 | -0.54 | 7 |
| 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 | 131 |
| agent_trader_input_tokens | 1537597 |
| agent_trader_output_tokens | 86699 |
| agent_trader_total_tokens | 1624296 |
| agent_trader_thinking_tokens | 12115 |
| agent_trader_cached_input_tokens | 1429777 |
| agent_trader_cache_write_input_tokens | 0 |
| agent_trader_uncached_input_tokens | 107820 |
| agent_trader_tool_use_input_tokens | 0 |
| agent_trader_latency_ms_total | 699690 |
| agent_trader_latency_ms_avg | 77743.33 |
| agent_trader_first_event_latency_ms_avg | 2588.22 |
| agent_trader_detail_parquet | logs/momentum-news-generic_2026-09-29_23-15_QgGFGC_agent_detail.parquet |
| BACKTESTING_DATA_SOURCE | yahoo |