VWAP Strategy Backtest Report Against SPY
Document Lumibot
Summary
This document is a QuantStats tear sheet comparing a strategy labeled “vwap-plain” with SPY over January 4–9, 2026. It reports a 0% total return for the strategy, a 0.12% maximum drawdown, a 0.76 Sharpe ratio, and 50% time in the market. The benchmark’s reported total return is 1%, with a 7.02 Sharpe ratio. The report also lists risk, return, and benchmark-comparison statistics, including negative correlation for the strategy.
The document does not explain the VWAP entry or exit rules, position sizing, assets traded, or transaction-cost assumptions, so it offers little detail for reproducing or assessing the strategy itself. Its evidence is a very short backtest window, which is far too limited to establish robust behavior across market conditions; many annualized figures in the tear sheet are extrapolations from that brief period. The report itself warns that past performance does not predict future results. Treat the metrics as a snapshot, not evidence of durable performance.
Key ideas
- The tear sheet compares a strategy labeled vwap-plain with SPY over a five-day period in January 2026.
- It reports a 0% total return and a 0.12% maximum drawdown for the strategy.
- The strategy’s reported Sharpe ratio is 0.76, compared with 7.02 for SPY over the same window.
- The document does not describe the strategy rules, sizing, or transaction-cost assumptions.
- The short test period makes annualized statistics unreliable as evidence of lasting performance.
Tags
Full text
# vwap strategy ai trading bot
Tearsheet (generated by QuantStats)
vwap-plain Compared to SPY 4 Jan, 2026 - 9 Jan, 2026
Benchmark is SPY | LumiBot 4.6.3 | DataSource alpaca | Backtest time 26:51 | Generated by QuantStats (Lumiwealth Version) (v.1.1.5)
Annual Return ⓘ
6.0%
Total Return ⓘ
0%
Max Drawdown ⓘ
-0.12%
RoMaD ⓘ
49.35
Longest DD Days ⓘ
2
Sharpe ⓘ
0.76
Sortino ⓘ
1.73
Key Performance Metrics
MetricSPYStrategy
Risk-Free Rate3.51%3.51%
Time in Market67.0%50.0%
Total Return1%0%
CAGR% (Annual Return)93.85%6.0%
Sharpe7.020.76
RoMaD275.1149.35
Corr to Benchmark1.0-0.54
Prob. Sharpe Ratio82.88%60.2%
Smart Sharpe5.330.58
Sortino20.141.73
Smart Sortino15.31.31
Sortino/√214.241.22
Smart Sortino/√210.820.93
Omega3.251.14
Max Drawdown-0.34%-0.12%
Longest DD Days22
Volatility (ann.)7.4%1.87%
R^20.290.29
Information Ratio-0.31-0.31
Calmar275.1149.35
Skew0.511.82
Kurtosis-1.414.05
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%
MTD0.91%0.08%
3M0.91%0.08%
6M0.91%0.08%
YTD0.91%0.08%
1Y0.91%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 Day0.66%0.2%
Worst Day-0.32%-0.08%
Best Month0.91%0.08%
Worst 1-Month Return0.91%0.08%
Best Year0.91%0.08%
Worst Year0.91%0.08%
Avg. Drawdown-0.34%-0.12%
Avg. Drawdown Days22
Recovery Factor2.670.66
Ulcer Index0.00.0
Serenity Index-12.34-41.89
Annualized Return on Risk Capital16,231.79%3,992.68%
Worst 3-Month Return--
Time to Recovery (Days)00
5th Percentile Tail Loss-0.25%-0.07%
Time Underwater (Days)22
Percent Positive Months100.0100.0
Avg. Up Month0.91%0.08%
Avg. Down Month--
Win Days3.02.0
Loss Days3.04.0
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%
EOY Returns vs Benchmark
YearSPYStrategyMultiplierWon
20260.910.080.09-
Worst 10 Drawdowns
StartedRecoveredDrawdownDays
2026-01-082026-01-09-0.122
2026-09-29T23:22:48.587434
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:48.632493
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:48.675548
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:48.738336
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:48.782185
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:48.829854
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:48.884831
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:48.941237
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:48.996728
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:49.047649
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:49.089712
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:49.143566
image/svg+xml
Matplotlib v3.10.9, https://matplotlib.org/
2026-09-29T23:22:49.195721
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
symbolSPY
agent_max_model_calls120
agent_researcher_modelopenai/gpt-6-luna
agent_trader_modelopenai/gpt-6-luna
agent_model_calls60
agent_researcher_calls30
agent_researcher_cache_hits0
agent_researcher_tool_calls205
agent_researcher_input_tokens2670700
agent_researcher_output_tokens57596
agent_researcher_total_tokens2728296
agent_researcher_thinking_tokens31033
agent_researcher_cached_input_tokens2464368
agent_researcher_cache_write_input_tokens0
agent_researcher_uncached_input_tokens206332
agent_researcher_tool_use_input_tokens0
agent_researcher_latency_ms_total705232
agent_researcher_latency_ms_avg23507.73
agent_researcher_first_event_latency_ms_avg2954.6
agent_researcher_detail_parquetlogs/vwap-plain_2026-09-29_22-55_U3mBSD_agent_detail.parquet
agent_trader_calls30
agent_trader_cache_hits0
agent_trader_tool_calls338
agent_trader_input_tokens4046337
agent_trader_output_tokens65217
agent_trader_total_tokens4111554
agent_trader_thinking_tokens38851
agent_trader_cached_input_tokens3805084
agent_trader_cache_write_input_tokens0
agent_trader_uncached_input_tokens241253
agent_trader_tool_use_input_tokens0
agent_trader_latency_ms_total899923
agent_trader_latency_ms_avg29997.43
agent_trader_first_event_latency_ms_avg3087.2
agent_trader_detail_parquetlogs/vwap-plain_2026-09-29_22-55_U3mBSD_agent_detail.parquet
BACKTESTING_DATA_SOURCEalpacaShown 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.