Short-Window Insider-Themed Strategy Backtest Compared with SPY
Document Lumibot
Summary
This document presents a QuantStats tear sheet for a strategy labeled “insider-plain,” compared with SPY over January 4–22, 2026. It reports a 1% total return for the strategy and 0% for the benchmark, with annualized returns of 11.59% and 3.78%, respectively. The strategy’s reported maximum drawdown was -1.61%, compared with -2.53% for SPY, and its Sharpe ratio was 0.78 versus 0.06. The report also includes volatility, downside-risk, benchmark-correlation, and drawdown statistics.
The included parameters identify a ten-stock watchlist and show that the backtest used Yahoo data and an automated researcher/trader workflow. They do not explain how the system selected or traded stocks, so the “insider” label should not be taken as a description of a verified signal. The sample covers less than three weeks, making annualized figures especially unstable. The tear sheet offers a snapshot of reported backtest results, not evidence that the strategy is robust or likely to perform similarly in live trading.
Key ideas
- The tear sheet compares a strategy labeled “insider-plain” with SPY over a short January 2026 period.
- The strategy had a reported 1% total return, while SPY was reported at 0% for the period.
- Reported risk measures include a -1.61% maximum drawdown and a 0.78 Sharpe ratio for the strategy.
- The document names a ten-stock watchlist but does not describe the trading rules or signal construction.
- The brief backtest window makes annualized performance statistics poor evidence of future results.
Tags
Full text
# insider trading bot
Tearsheet (generated by QuantStats)
insider-plain Compared to SPY 4 Jan, 2026 - 22 Jan, 2026
Benchmark is SPY | LumiBot 4.6.3 | DataSource yahoo | Backtest time 23:04 | Generated by QuantStats (Lumiwealth Version) (v.1.1.5)
Annual Return ⓘ
11.59%
Total Return ⓘ
1%
Max Drawdown ⓘ
-1.61%
RoMaD ⓘ
7.2
Longest DD Days ⓘ
5
Sharpe ⓘ
0.78
Sortino ⓘ
1.13
Key Performance Metrics
MetricSPYStrategy
Risk-Free Rate3.58%3.58%
Time in Market64.0%69.0%
Total Return0%1%
CAGR% (Annual Return)3.78%11.59%
Sharpe0.060.78
RoMaD1.57.2
Corr to Benchmark1.0-0.06
Prob. Sharpe Ratio47.1%54.12%
Smart Sharpe0.050.74
Sortino0.071.13
Smart Sortino0.071.07
Sortino/√20.050.8
Smart Sortino/√20.050.76
Omega1.011.14
Max Drawdown-2.53%-1.61%
Longest DD Days105
Volatility (ann.)11.94%9.35%
R^20.00.0
Information Ratio0.020.02
Calmar1.57.2
Skew-1.69-0.38
Kurtosis6.462.18
Expected Daily%0.01%0.03%
Expected Monthly%0.18%0.54%
Expected Yearly%0.18%0.54%
Daily Value-at-Risk-1.02%-0.78%
Expected Shortfall (cVaR)-2.04%-1.24%
MTD0.18%0.54%
3M0.18%0.54%
6M0.18%0.54%
YTD0.18%0.54%
1Y0.18%0.54%
3Y (ann.)3.78%11.59%
5Y (ann.)3.78%11.59%
10Y (ann.)3.78%11.59%
All-time (ann.)3.78%11.59%
Best Day1.15%1.02%
Worst Day-2.04%-1.24%
Best Month0.18%0.54%
Worst 1-Month Return0.18%0.54%
Best Year0.18%0.54%
Worst Year0.18%0.54%
Avg. Drawdown-1.43%-0.87%
Avg. Drawdown Days63
Recovery Factor0.090.35
Ulcer Index0.010.01
Serenity Index-1.06-1.52
Annualized Return on Risk Capital139.18%646.49%
Worst 3-Month Return--
Time to Recovery (Days)21
5th Percentile Tail Loss-0.65%-0.67%
Time Underwater (Days)129
Percent Positive Months100.0100.0
Avg. Up Month0.18%0.54%
Avg. Down Month--
Win Days9.510.23
Loss Days9.58.77
Win Days%50.0%53.85%
Win Month%100.0%100.0%
Win Quarter%100.0%100.0%
Win Year%100.0%100.0%
Beta--0.05
Alpha-0.11
Correlation--6.19%
Treynor Ratio-62.77%
EOY Returns vs Benchmark
YearSPYStrategyMultiplierWon
20260.180.542.96+
Worst 10 Drawdowns
StartedRecoveredDrawdownDays
2026-01-202026-01-22-1.613
2026-01-072026-01-11-0.925
2026-01-152026-01-15-0.091
2026-09-29T23:19:03.312975
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.374371
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.440683
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.514480
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.586860
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.661468
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.727363
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.792406
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.851339
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.929956
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:03.987999
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:04.063232
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:19:04.270162
image/svg+xml
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
watchlist['AAPL', 'MSFT', 'JPM', 'BAC', 'XOM', 'CVX', 'PFE', 'INTC', 'F', 'KO']
agent_max_model_calls120
agent_researcher_modelopenai/gpt-6-luna
agent_trader_modelopenai/gpt-6-luna
agent_model_calls26
agent_researcher_calls13
agent_researcher_cache_hits0
agent_researcher_tool_calls376
agent_researcher_input_tokens3248543
agent_researcher_output_tokens66102
agent_researcher_total_tokens3314645
agent_researcher_thinking_tokens36754
agent_researcher_cached_input_tokens2615185
agent_researcher_cache_write_input_tokens0
agent_researcher_uncached_input_tokens633358
agent_researcher_tool_use_input_tokens0
agent_researcher_latency_ms_total646888
agent_researcher_latency_ms_avg49760.62
agent_researcher_first_event_latency_ms_avg2813.0
agent_researcher_detail_parquetlogs/insider-plain_2026-09-29_22-55_Xkomlx_agent_detail.parquet
agent_trader_calls13
agent_trader_cache_hits0
agent_trader_tool_calls315
agent_trader_input_tokens3924480
agent_trader_output_tokens60173
agent_trader_total_tokens3984653
agent_trader_thinking_tokens43007
agent_trader_cached_input_tokens3628771
agent_trader_cache_write_input_tokens0
agent_trader_uncached_input_tokens295709
agent_trader_tool_use_input_tokens0
agent_trader_latency_ms_total733825
agent_trader_latency_ms_avg56448.08
agent_trader_first_event_latency_ms_avg4648.69
agent_trader_detail_parquetlogs/insider-plain_2026-09-29_22-55_Xkomlx_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.