| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 3.58% | 3.58% |
| Time in Market | 58.0% | 58.0% |
| Total Return | -0% | -0% |
| CAGR% (Annual Return) | -7.98% | -0.49% |
| Sharpe | -0.92 | -4.02 |
| RoMaD | -3.16 | -2.48 |
| Corr to Benchmark | 1.0 | 0.04 |
| Prob. Sharpe Ratio | 38.28% | 39.88% |
| Smart Sharpe | -0.64 | -2.77 |
| Sortino | -1.14 | -4.87 |
| Smart Sortino | -0.79 | -3.35 |
| Sortino/√2 | -0.81 | -3.44 |
| Smart Sortino/√2 | -0.56 | -2.37 |
| Omega | 0.83 | 0.54 |
| Max Drawdown | -2.53% | -0.2% |
| Longest DD Days | 10 | 7 |
| Volatility (ann.) | 11.63% | 0.99% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -3.16 | -2.48 |
| Skew | -1.71 | -0.59 |
| Kurtosis | 7.04 | 1.77 |
| Expected Daily% | -0.02% | -0.0% |
| Expected Monthly% | -0.41% | -0.02% |
| Expected Yearly% | -0.41% | -0.02% |
| Daily Value-at-Risk | -1.02% | -0.09% |
| Expected Shortfall (cVaR) | -2.04% | -0.14% |
| MTD | -0.41% | -0.02% |
| 3M | -0.41% | -0.02% |
| 6M | -0.41% | -0.02% |
| YTD | -0.41% | -0.02% |
| 1Y | -0.41% | -0.02% |
| 3Y (ann.) | -7.98% | -0.49% |
| 5Y (ann.) | -7.98% | -0.49% |
| 10Y (ann.) | -7.98% | -0.49% |
| All-time (ann.) | -7.98% | -0.49% |
| Best Day | 1.15% | 0.09% |
| Worst Day | -2.04% | -0.14% |
| Best Month | -0.41% | -0.02% |
| Worst 1-Month Return | -0.41% | -0.02% |
| Best Year | -0.41% | -0.02% |
| Worst Year | -0.41% | -0.02% |
| Avg. Drawdown | -1.43% | -0.08% |
| Avg. Drawdown Days | 6 | 4 |
| Recovery Factor | 0.15 | 0.12 |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | -1.21 | -16.39 |
| Annualized Return on Risk Capital | -310.75% | -235.43% |
| Worst 3-Month Return | - | - |
| Time to Recovery (Days) | 2 | 1 |
| 5th Percentile Tail Loss | -0.65% | -0.08% |
| Time Underwater (Days) | 12 | 14 |
| Percent Positive Months | 0.0 | 0.0 |
| Avg. Up Month | - | - |
| Avg. Down Month | -0.41% | -0.02% |
| Win Days | 8.64 | 6.91 |
| Loss Days | 10.36 | 12.09 |
| Win Days% | 45.45% | 36.36% |
| Win Month% | 0.0% | 0.0% |
| Win Quarter% | 0.0% | 0.0% |
| Win Year% | 0.0% | 0.0% |
| Beta | - | 0.0 |
| Alpha | - | -0.0 |
| Correlation | - | 4.39% |
| Treynor Ratio | - | -966.58% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | -0.41 | -0.02 | 0.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-16 | 2026-01-22 | -0.20 | 7 |
| 2026-01-14 | 2026-01-14 | -0.07 | 1 |
| 2026-01-08 | 2026-01-12 | -0.03 | 5 |
| 2026-01-06 | 2026-01-06 | -0.01 | 1 |
| Parameter | Value |
|---|---|
| symbol | SPY |
| agent_max_model_calls | 120 |
| agent_researcher_model | openai/gpt-6-luna |
| agent_trader_model | openai/gpt-6-luna |
| agent_model_calls | 26 |
| agent_researcher_calls | 13 |
| agent_researcher_cache_hits | 0 |
| agent_researcher_tool_calls | 431 |
| agent_researcher_input_tokens | 3559038 |
| agent_researcher_output_tokens | 45548 |
| agent_researcher_total_tokens | 3604586 |
| agent_researcher_thinking_tokens | 22403 |
| agent_researcher_cached_input_tokens | 3317570 |
| agent_researcher_cache_write_input_tokens | 0 |
| agent_researcher_uncached_input_tokens | 241468 |
| agent_researcher_tool_use_input_tokens | 0 |
| agent_researcher_latency_ms_total | 942251 |
| agent_researcher_latency_ms_avg | 72480.85 |
| agent_researcher_first_event_latency_ms_avg | 3116.23 |
| agent_researcher_detail_parquet | logs/credit-spread-plain-v2_2026-09-29_23-32_ps7tFd_agent_detail.parquet |
| agent_trader_calls | 13 |
| agent_trader_cache_hits | 0 |
| agent_trader_tool_calls | 203 |
| agent_trader_input_tokens | 2264752 |
| agent_trader_output_tokens | 25781 |
| agent_trader_total_tokens | 2290533 |
| agent_trader_thinking_tokens | 12954 |
| agent_trader_cached_input_tokens | 2070785 |
| agent_trader_cache_write_input_tokens | 0 |
| agent_trader_uncached_input_tokens | 193967 |
| agent_trader_tool_use_input_tokens | 0 |
| agent_trader_latency_ms_total | 357979 |
| agent_trader_latency_ms_avg | 27536.85 |
| agent_trader_first_event_latency_ms_avg | 3141.23 |
| agent_trader_detail_parquet | logs/credit-spread-plain-v2_2026-09-29_23-32_ps7tFd_agent_detail.parquet |
| BACKTESTING_DATA_SOURCE | alpaca |