| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 3.51% | 3.51% |
| Time in Market | 67.0% | 67.0% |
| Total Return | 1% | 0% |
| CAGR% (Annual Return) | 93.85% | 9.68% |
| Sharpe | 7.02 | 0.55 |
| RoMaD | 275.11 | 14.4 |
| Corr to Benchmark | 1.0 | 0.81 |
| Prob. Sharpe Ratio | 82.88% | 51.42% |
| Smart Sharpe | 4.58 | 0.36 |
| Sortino | 20.14 | 0.85 |
| Smart Sortino | 13.14 | 0.55 |
| Sortino/√2 | 14.24 | 0.6 |
| Smart Sortino/√2 | 9.29 | 0.39 |
| Omega | 3.25 | 1.11 |
| Max Drawdown | -0.34% | -0.67% |
| Longest DD Days | 2 | 3 |
| Volatility (ann.) | 7.4% | 8.16% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.52 | -0.52 |
| Calmar | 275.11 | 14.4 |
| Skew | 0.51 | -0.24 |
| Kurtosis | -1.41 | 2.32 |
| Expected Daily% | 0.15% | 0.02% |
| Expected Monthly% | 0.91% | 0.13% |
| Expected Yearly% | 0.91% | 0.13% |
| Daily Value-at-Risk | -0.49% | -0.68% |
| Expected Shortfall (cVaR) | -0.49% | -0.68% |
| MTD | 0.91% | 0.13% |
| 3M | 0.91% | 0.13% |
| 6M | 0.91% | 0.13% |
| YTD | 0.91% | 0.13% |
| 1Y | 0.91% | 0.13% |
| 3Y (ann.) | 93.85% | 9.68% |
| 5Y (ann.) | 93.85% | 9.68% |
| 10Y (ann.) | 93.85% | 9.68% |
| All-time (ann.) | 93.85% | 9.68% |
| Best Day | 0.66% | 0.67% |
| Worst Day | -0.32% | -0.67% |
| Best Month | 0.91% | 0.13% |
| Worst 1-Month Return | 0.91% | 0.13% |
| Best Year | 0.91% | 0.13% |
| Worst Year | 0.91% | 0.13% |
| Avg. Drawdown | -0.34% | -0.67% |
| Avg. Drawdown Days | 2 | 3 |
| Recovery Factor | 2.67 | 0.19 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | -12.34 | -3.37 |
| Annualized Return on Risk Capital | 16,231.79% | 1,145.29% |
| Worst 3-Month Return | - | - |
| Time to Recovery (Days) | 0 | 2 |
| 5th Percentile Tail Loss | -0.25% | -0.5% |
| Time Underwater (Days) | 2 | 3 |
| Percent Positive Months | 100.0 | 100.0 |
| Avg. Up Month | 0.91% | 0.13% |
| Avg. Down Month | - | - |
| Win Days | 3.0 | 4.5 |
| Loss Days | 3.0 | 1.5 |
| Win Days% | 50.0% | 75.0% |
| Win Month% | 100.0% | 100.0% |
| Win Quarter% | 100.0% | 100.0% |
| Win Year% | 100.0% | 100.0% |
| Beta | - | 0.9 |
| Alpha | - | -0.42 |
| Correlation | - | 81.44% |
| Treynor Ratio | - | -3.77% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 0.91 | 0.13 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-07 | 2026-01-09 | -0.67 | 3 |
| Parameter | Value |
|---|---|
| universe | ['SPY', 'QQQ', 'AAPL', 'MSFT', 'NVDA', 'AMZN', 'META', 'GOOGL', 'TSLA', 'AMD'] |
| agent_max_model_calls | 120 |
| agent_researcher_model | openai/gpt-6-luna |
| agent_trader_model | openai/gpt-6-luna |
| agent_model_calls | 60 |
| agent_researcher_calls | 30 |
| agent_researcher_cache_hits | 0 |
| agent_researcher_tool_calls | 163 |
| agent_researcher_input_tokens | 2390391 |
| agent_researcher_output_tokens | 48234 |
| agent_researcher_total_tokens | 2438625 |
| agent_researcher_thinking_tokens | 24614 |
| agent_researcher_cached_input_tokens | 2156959 |
| agent_researcher_cache_write_input_tokens | 0 |
| agent_researcher_uncached_input_tokens | 233432 |
| agent_researcher_tool_use_input_tokens | 0 |
| agent_researcher_latency_ms_total | 557334 |
| agent_researcher_latency_ms_avg | 18577.8 |
| agent_researcher_first_event_latency_ms_avg | 3250.97 |
| agent_researcher_detail_parquet | logs/orb-plain_2026-09-29_22-55_miMr1d_agent_detail.parquet |
| agent_trader_calls | 30 |
| agent_trader_cache_hits | 0 |
| agent_trader_tool_calls | 429 |
| agent_trader_input_tokens | 5427422 |
| agent_trader_output_tokens | 105321 |
| agent_trader_total_tokens | 5532743 |
| agent_trader_thinking_tokens | 73160 |
| agent_trader_cached_input_tokens | 5116331 |
| agent_trader_cache_write_input_tokens | 0 |
| agent_trader_uncached_input_tokens | 311091 |
| agent_trader_tool_use_input_tokens | 0 |
| agent_trader_latency_ms_total | 1435517 |
| agent_trader_latency_ms_avg | 47850.57 |
| agent_trader_first_event_latency_ms_avg | 3951.63 |
| agent_trader_detail_parquet | logs/orb-plain_2026-09-29_22-55_miMr1d_agent_detail.parquet |
| BACKTESTING_DATA_SOURCE | alpaca |