| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 3.51% | 3.51% |
| Time in Market | 67.0% | 50.0% |
| Total Return | 1% | 0% |
| CAGR% (Annual Return) | 93.85% | 6.0% |
| Sharpe | 7.02 | 0.76 |
| RoMaD | 275.11 | 49.35 |
| Corr to Benchmark | 1.0 | -0.54 |
| Prob. Sharpe Ratio | 82.88% | 60.2% |
| Smart Sharpe | 5.33 | 0.58 |
| Sortino | 20.14 | 1.73 |
| Smart Sortino | 15.3 | 1.31 |
| Sortino/√2 | 14.24 | 1.22 |
| Smart Sortino/√2 | 10.82 | 0.93 |
| Omega | 3.25 | 1.14 |
| Max Drawdown | -0.34% | -0.12% |
| Longest DD Days | 2 | 2 |
| Volatility (ann.) | 7.4% | 1.87% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.31 | -0.31 |
| Calmar | 275.11 | 49.35 |
| Skew | 0.51 | 1.82 |
| Kurtosis | -1.41 | 4.05 |
| Expected Daily% | 0.15% | 0.01% |
| Expected Monthly% | 0.91% | 0.08% |
| Expected Yearly% | 0.91% | 0.08% |
| Daily Value-at-Risk | -0.49% | -0.15% |
| Expected Shortfall (cVaR) | -0.49% | -0.15% |
| MTD | 0.91% | 0.08% |
| 3M | 0.91% | 0.08% |
| 6M | 0.91% | 0.08% |
| YTD | 0.91% | 0.08% |
| 1Y | 0.91% | 0.08% |
| 3Y (ann.) | 93.85% | 6.0% |
| 5Y (ann.) | 93.85% | 6.0% |
| 10Y (ann.) | 93.85% | 6.0% |
| All-time (ann.) | 93.85% | 6.0% |
| Best Day | 0.66% | 0.2% |
| Worst Day | -0.32% | -0.08% |
| Best Month | 0.91% | 0.08% |
| Worst 1-Month Return | 0.91% | 0.08% |
| Best Year | 0.91% | 0.08% |
| Worst Year | 0.91% | 0.08% |
| Avg. Drawdown | -0.34% | -0.12% |
| Avg. Drawdown Days | 2 | 2 |
| Recovery Factor | 2.67 | 0.66 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | -12.34 | -41.89 |
| Annualized Return on Risk Capital | 16,231.79% | 3,992.68% |
| Worst 3-Month Return | - | - |
| Time to Recovery (Days) | 0 | 0 |
| 5th Percentile Tail Loss | -0.25% | -0.07% |
| Time Underwater (Days) | 2 | 2 |
| Percent Positive Months | 100.0 | 100.0 |
| Avg. Up Month | 0.91% | 0.08% |
| Avg. Down Month | - | - |
| Win Days | 3.0 | 2.0 |
| Loss Days | 3.0 | 4.0 |
| 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 | - | -0.14 |
| Alpha | - | 0.12 |
| Correlation | - | -53.52% |
| Treynor Ratio | - | 25.41% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 0.91 | 0.08 | 0.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-08 | 2026-01-09 | -0.12 | 2 |
| 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 | 60 |
| agent_researcher_calls | 30 |
| agent_researcher_cache_hits | 0 |
| agent_researcher_tool_calls | 205 |
| agent_researcher_input_tokens | 2670700 |
| agent_researcher_output_tokens | 57596 |
| agent_researcher_total_tokens | 2728296 |
| agent_researcher_thinking_tokens | 31033 |
| agent_researcher_cached_input_tokens | 2464368 |
| agent_researcher_cache_write_input_tokens | 0 |
| agent_researcher_uncached_input_tokens | 206332 |
| agent_researcher_tool_use_input_tokens | 0 |
| agent_researcher_latency_ms_total | 705232 |
| agent_researcher_latency_ms_avg | 23507.73 |
| agent_researcher_first_event_latency_ms_avg | 2954.6 |
| agent_researcher_detail_parquet | logs/vwap-plain_2026-09-29_22-55_U3mBSD_agent_detail.parquet |
| agent_trader_calls | 30 |
| agent_trader_cache_hits | 0 |
| agent_trader_tool_calls | 338 |
| agent_trader_input_tokens | 4046337 |
| agent_trader_output_tokens | 65217 |
| agent_trader_total_tokens | 4111554 |
| agent_trader_thinking_tokens | 38851 |
| agent_trader_cached_input_tokens | 3805084 |
| agent_trader_cache_write_input_tokens | 0 |
| agent_trader_uncached_input_tokens | 241253 |
| agent_trader_tool_use_input_tokens | 0 |
| agent_trader_latency_ms_total | 899923 |
| agent_trader_latency_ms_avg | 29997.43 |
| agent_trader_first_event_latency_ms_avg | 3087.2 |
| agent_trader_detail_parquet | logs/vwap-plain_2026-09-29_22-55_U3mBSD_agent_detail.parquet |
| BACKTESTING_DATA_SOURCE | alpaca |