Reading a Short-Window Strategy Backtest Tearsheet
Document Lumibot
Summary
This document is a QuantStats performance tearsheet comparing a strategy labeled Ray Dalio Luna with SPY over the stated January 4–15, 2026 interval. It reports return and risk statistics, including a 1% total return for both, a 63.01% annualized return for the strategy, a 7.39 Sharpe ratio, and a maximum drawdown of -0.32%. The strategy’s reported correlation to the benchmark is negative, while its time in market is higher. These are descriptive outputs from the supplied backtest, not an explanation of how the strategy selects or trades assets.
The evidence is severely limited by the brief observation window: annualized figures extrapolate a small amount of data and should not be treated as durable expected performance. The document gives no trading rules, position sizing, transaction costs, portfolio holdings, or validation procedure. It therefore illustrates the contents of a performance report and the kinds of metrics available, but cannot establish that the strategy is reproducible or robust. Several repeated long-horizon fields reflect the same short sample rather than independent history.
Key ideas
- The tearsheet compares a strategy labeled Ray Dalio Luna with SPY over a short January 2026 interval.
- It reports equal total returns of 1% and a higher annualized return and Sharpe ratio for the strategy.
- Reported benchmark correlation for the strategy is negative, and its time in market is higher.
- Annualized metrics from a short sample are unstable and do not establish persistent performance.
- The document does not disclose the strategy rules, costs, holdings, or validation method.
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Full text
# ray dalio idea meritocracy
Tearsheet (generated by QuantStats)
ray-dalio-luna Compared to SPY 4 Jan, 2026 - 15 Jan, 2026
Benchmark is SPY | LumiBot 4.6.0 | DataSource yahoo | Backtest time 35:22 | Generated by QuantStats (Lumiwealth Version) (v.1.1.5)
Annual Return ⓘ
63.01%
Total Return ⓘ
1%
Max Drawdown ⓘ
-0.32%
RoMaD ⓘ
196.59
Longest DD Days ⓘ
3
Sharpe ⓘ
7.39
Sortino ⓘ
16.02
Key Performance Metrics
MetricSPYStrategy
Risk-Free Rate3.56%3.56%
Time in Market67.0%75.0%
Total Return1%1%
CAGR% (Annual Return)24.3%63.01%
Sharpe2.597.39
RoMaD35.19196.59
Corr to Benchmark1.0-0.46
Prob. Sharpe Ratio67.18%90.5%
Smart Sharpe1.995.68
Sortino4.7316.02
Smart Sortino3.6412.31
Sortino/√23.3511.32
Smart Sortino/√22.578.71
Omega1.52.78
Max Drawdown-0.69%-0.32%
Longest DD Days33
Volatility (ann.)6.41%5.61%
R^20.210.21
Information Ratio0.130.13
Calmar35.19196.59
Skew0.45-0.09
Kurtosis0.14-1.17
Expected Daily%0.05%0.12%
Expected Monthly%0.66%1.48%
Expected Yearly%0.66%1.48%
Daily Value-at-Risk-0.5%-0.36%
Expected Shortfall (cVaR)-0.5%-0.36%
MTD0.66%1.48%
3M0.66%1.48%
6M0.66%1.48%
YTD0.66%1.48%
1Y0.66%1.48%
3Y (ann.)24.3%63.01%
5Y (ann.)24.3%63.01%
10Y (ann.)24.3%63.01%
All-time (ann.)24.3%63.01%
Best Day0.66%0.54%
Worst Day-0.49%-0.32%
Best Month0.66%1.48%
Worst 1-Month Return0.66%1.48%
Best Year0.66%1.48%
Worst Year0.66%1.48%
Avg. Drawdown-0.51%-0.24%
Avg. Drawdown Days22
Recovery Factor0.964.61
Ulcer Index0.00.0
Serenity Index-4.9-8.65
Annualized Return on Risk Capital2,895.24%14,068.55%
Worst 3-Month Return--
Time to Recovery (Days)12
5th Percentile Tail Loss-0.4%-0.32%
Time Underwater (Days)56
Percent Positive Months100.0100.0
Avg. Up Month0.66%1.48%
Avg. Down Month--
Win Days6.08.0
Loss Days6.04.0
Win Days%50.0%66.67%
Win Month%100.0%100.0%
Win Quarter%100.0%100.0%
Win Year%100.0%100.0%
Beta--0.4
Alpha-0.53
Correlation--46.08%
Treynor Ratio-5.14%
EOY Returns vs Benchmark
YearSPYStrategyMultiplierWon
20260.661.482.26+
Worst 10 Drawdowns
StartedRecoveredDrawdownDays
2026-01-092026-01-11-0.323
2026-01-052026-01-06-0.312
2026-01-152026-01-15-0.081
2026-09-24T12:37:15.273333
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Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.317352
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Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.371253
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Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.429803
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Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.473254
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Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.520931
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Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.569391
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.622683
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.671313
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.716055
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.753902
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.802985
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-24T12:37:15.850225
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Matplotlib v3.10.9, https://matplotlib.org/
Disclaimer: This report is for informational purposes only and
should not be considered as investment advice. Past performance
is not indicative of future results.
Parameters Used
ParameterValue
universe['SPY', 'QQQ', 'IWM', 'TLT', 'IEF', 'TIP', 'GLD', 'DBC', 'VNQ', 'UUP', 'FXI', 'EEM', 'SHV']
min_positions3
agent_max_model_calls96
agent_growth_agent_modelopenai/gpt-6-luna
agent_inflation_agent_modelopenai/gpt-6-luna
agent_debt_liquidity_agent_modelopenai/gpt-6-luna
agent_thoughtful_disagreement_modelopenai/gpt-6-luna
agent_trader_modelopenai/gpt-6-luna
agent_model_calls45
agent_growth_agent_calls9
agent_growth_agent_cache_hits0
agent_growth_agent_tool_calls61
agent_growth_agent_input_tokens773869
agent_growth_agent_output_tokens20449
agent_growth_agent_total_tokens794318
agent_growth_agent_thinking_tokens11064
agent_growth_agent_cached_input_tokens676029
agent_growth_agent_cache_write_input_tokens0
agent_growth_agent_uncached_input_tokens97840
agent_growth_agent_tool_use_input_tokens0
agent_growth_agent_latency_ms_total370364
agent_growth_agent_latency_ms_avg41151.56
agent_growth_agent_first_event_latency_ms_avg4124.56
agent_growth_agent_detail_parquetlogs/ray-dalio-luna_2026-09-24_12-01_LsKUBq_agent_detail.parquet
agent_inflation_agent_calls9
agent_inflation_agent_cache_hits0
agent_inflation_agent_tool_calls55
agent_inflation_agent_input_tokens779393
agent_inflation_agent_output_tokens21582
agent_inflation_agent_total_tokens800975
agent_inflation_agent_thinking_tokens12033
agent_inflation_agent_cached_input_tokens672700
agent_inflation_agent_cache_write_input_tokens0
agent_inflation_agent_uncached_input_tokens106693
agent_inflation_agent_tool_use_input_tokens0
agent_inflation_agent_latency_ms_total314023
agent_inflation_agent_latency_ms_avg34891.44
agent_inflation_agent_first_event_latency_ms_avg3804.56
agent_inflation_agent_detail_parquetlogs/ray-dalio-luna_2026-09-24_12-01_LsKUBq_agent_detail.parquet
agent_debt_liquidity_agent_calls9
agent_debt_liquidity_agent_cache_hits0
agent_debt_liquidity_agent_tool_calls58
agent_debt_liquidity_agent_input_tokens854597
agent_debt_liquidity_agent_output_tokens26168
agent_debt_liquidity_agent_total_tokens880765
agent_debt_liquidity_agent_thinking_tokens12392
agent_debt_liquidity_agent_cached_input_tokens744624
agent_debt_liquidity_agent_cache_write_input_tokens0
agent_debt_liquidity_agent_uncached_input_tokens109973
agent_debt_liquidity_agent_tool_use_input_tokens0
agent_debt_liquidity_agent_latency_ms_total356588
agent_debt_liquidity_agent_latency_ms_avg39620.89
agent_debt_liquidity_agent_first_event_latency_ms_avg3230.78
agent_debt_liquidity_agent_detail_parquetlogs/ray-dalio-luna_2026-09-24_12-01_LsKUBq_agent_detail.parquet
agent_thoughtful_disagreement_calls9
agent_thoughtful_disagreement_cache_hits0
agent_thoughtful_disagreement_tool_calls46
agent_thoughtful_disagreement_input_tokens1010041
agent_thoughtful_disagreement_output_tokens39849
agent_thoughtful_disagreement_total_tokens1049890
agent_thoughtful_disagreement_thinking_tokens25906
agent_thoughtful_disagreement_cached_input_tokens898832
agent_thoughtful_disagreement_cache_write_input_tokens0
agent_thoughtful_disagreement_uncached_input_tokens111209
agent_thoughtful_disagreement_tool_use_input_tokens0
agent_thoughtful_disagreement_latency_ms_total541766
agent_thoughtful_disagreement_latency_ms_avg60196.22
agent_thoughtful_disagreement_first_event_latency_ms_avg6642.11
agent_thoughtful_disagreement_detail_parquetlogs/ray-dalio-luna_2026-09-24_12-01_LsKUBq_agent_detail.parquet
agent_trader_calls9
agent_trader_cache_hits0
agent_trader_tool_calls139
agent_trader_input_tokens2044850
agent_trader_output_tokens29212
agent_trader_total_tokens2074062
agent_trader_thinking_tokens18701
agent_trader_cached_input_tokens1902102
agent_trader_cache_write_input_tokens0
agent_trader_uncached_input_tokens142748
agent_trader_tool_use_input_tokens0
agent_trader_latency_ms_total526595
agent_trader_latency_ms_avg58510.56
agent_trader_first_event_latency_ms_avg4221.44
agent_trader_detail_parquetlogs/ray-dalio-luna_2026-09-24_12-01_LsKUBq_agent_detail.parquet
BACKTESTING_DATA_SOURCEyahooShown in full with attribution under the source's licence. Licence: GPL-3.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.