| 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% | 33.95% |
| Sharpe | 2.59 | 1.07 |
| RoMaD | 35.19 | 15.59 |
| Corr to Benchmark | 1.0 | -0.16 |
| Prob. Sharpe Ratio | 67.18% | 53.74% |
| Smart Sharpe | 2.43 | 1.0 |
| Sortino | 4.73 | 1.88 |
| Smart Sortino | 4.44 | 1.76 |
| Sortino/√2 | 3.35 | 1.33 |
| Smart Sortino/√2 | 3.14 | 1.25 |
| Omega | 1.5 | 1.18 |
| Max Drawdown | -0.69% | -2.18% |
| Longest DD Days | 3 | 5 |
| Volatility (ann.) | 6.41% | 24.42% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 35.19 | 15.59 |
| Skew | 0.45 | 0.65 |
| Kurtosis | 0.14 | 0.15 |
| Expected Daily% | 0.05% | 0.07% |
| Expected Monthly% | 0.66% | 0.88% |
| Expected Yearly% | 0.66% | 0.88% |
| Daily Value-at-Risk | -0.5% | -2.02% |
| Expected Shortfall (cVaR) | -0.5% | -2.02% |
| MTD | 0.66% | 0.88% |
| 3M | 0.66% | 0.88% |
| 6M | 0.66% | 0.88% |
| YTD | 0.66% | 0.88% |
| 1Y | 0.66% | 0.88% |
| 3Y (ann.) | 24.3% | 33.95% |
| 5Y (ann.) | 24.3% | 33.95% |
| 10Y (ann.) | 24.3% | 33.95% |
| All-time (ann.) | 24.3% | 33.95% |
| Best Day | 0.66% | 2.64% |
| Worst Day | -0.49% | -1.69% |
| Best Month | 0.66% | 0.88% |
| Worst 1-Month Return | 0.66% | 0.88% |
| Best Year | 0.66% | 0.88% |
| Worst Year | 0.66% | 0.88% |
| Avg. Drawdown | -0.51% | -1.59% |
| Avg. Drawdown Days | 2 | 3 |
| Recovery Factor | 0.96 | 0.45 |
| Ulcer Index | 0.0 | 0.01 |
| Serenity Index | -4.9 | -1.51 |
| Annualized Return on Risk Capital | 2,895.24% | 1,235.09% |
| Worst 3-Month Return | - | - |
| Time to Recovery (Days) | 1 | 0 |
| 5th Percentile Tail Loss | -0.4% | -1.63% |
| Time Underwater (Days) | 5 | 9 |
| Percent Positive Months | 100.0 | 100.0 |
| Avg. Up Month | 0.66% | 0.88% |
| Avg. Down Month | - | - |
| Win Days | 6.0 | 4.0 |
| Loss Days | 6.0 | 8.0 |
| Win Days% | 50.0% | 33.33% |
| Win Month% | 100.0% | 100.0% |
| Win Quarter% | 100.0% | 100.0% |
| Win Year% | 100.0% | 100.0% |
| Beta | - | -0.6 |
| Alpha | - | 0.42 |
| Correlation | - | -15.73% |
| Treynor Ratio | - | 4.46% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 0.66 | 0.88 | 1.35 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-14 | 2026-01-15 | -2.18 | 2 |
| 2026-01-05 | 2026-01-06 | -1.69 | 2 |
| 2026-01-08 | 2026-01-12 | -0.89 | 5 |
| 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 | 184 |
| agent_trader_input_tokens | 2752411 |
| agent_trader_output_tokens | 40960 |
| agent_trader_total_tokens | 2793371 |
| agent_trader_thinking_tokens | 29292 |
| agent_trader_cached_input_tokens | 2616316 |
| agent_trader_cache_write_input_tokens | 0 |
| agent_trader_uncached_input_tokens | 136095 |
| agent_trader_tool_use_input_tokens | 0 |
| agent_trader_latency_ms_total | 599259 |
| agent_trader_latency_ms_avg | 66584.33 |
| agent_trader_first_event_latency_ms_avg | 2886.67 |
| agent_trader_detail_parquet | logs/news-sentiment-generic_2026-09-29_23-15_4pDSl0_agent_detail.parquet |
| BACKTESTING_DATA_SOURCE | yahoo |