P/L comparison
Buy & hold
P/L COMPARISON · PERCENT FROM ENTRY
buy & hold · participation factor overlaybuy & hold · Qlib / Alpha158 baseline
Weekly rebalance
P/L COMPARISON · PERCENT FROM ENTRY
weekly rebalance · participation factor overlayweekly rebalance · Qlib / Alpha158 baseline
Performance tables
| Management | Arm | Horizon | Status | Return | Maximum | Max date | Drawdown |
|---|---|---|---|---|---|---|---|
| buy & hold | participation factor overlay | 3 months | complete | 2.84% | 8.42% | 2022-08-12 | -17.74% |
| buy & hold | participation factor overlay | 6 months | complete | 14.62% | 14.62% | 2023-01-25 | -17.74% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.66% | 9.20% | 2022-08-12 | -18.59% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.67% | 13.67% | 2023-01-25 | -18.59% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.96% | 8.60% | 2022-08-12 | -16.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.83% | 12.10% | 2023-01-13 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.75% | 8.28% | 2022-08-12 | -17.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.82% | 10.42% | 2023-01-13 | -17.44% |
Position ledger
This portfolio holds the initial selection. There are no scheduled rebalance decisions after entry.
Selected arm positions
50 positions in the selected record: buy & hold · participation factor overlay. The charts and performance table above contain all four arms in this formation group.
| Ticker | Entry date | Entry open | Model prediction | Participation score | Excluded |
|---|---|---|---|---|---|
| AMAT | 2022-07-25 | 97.00 | 0.7622 | 0.5581 | no |
| AMD | 2022-07-25 | 86.57 | 0.8474 | 0.5213 | no |
| APA | 2022-07-25 | 29.04 | 0.9171 | 0.6898 | no |
| AVGO | 2022-07-25 | 47.82 | 0.6954 | 0.5644 | no |
| CAT | 2022-07-25 | 168.07 | 0.9388 | 0.5052 | no |
| CE | 2022-07-25 | 108.10 | 0.7547 | 0.4978 | no |
| CF | 2022-07-25 | 78.27 | 0.8287 | 0.5274 | no |
| COO | 2022-07-25 | 78.58 | 0.9283 | 0.5098 | no |
| COP | 2022-07-25 | 77.13 | 0.7795 | 0.6215 | no |
| CVX | 2022-07-25 | 122.88 | 0.7455 | 0.5711 | no |
| CZR | 2022-07-25 | 42.67 | 0.8488 | 0.5007 | no |
| DAL | 2022-07-25 | 30.24 | 0.9727 | 0.4602 | no |
| DVN | 2022-07-25 | 46.57 | 0.9656 | 0.6790 | no |
| EMN | 2022-07-25 | 79.12 | 0.9011 | 0.4834 | no |
| EOG | 2022-07-25 | 86.94 | 1.1953 | 0.6773 | no |
| FITB | 2022-07-25 | 28.83 | 0.9941 | 0.4952 | no |
| GE | 2022-07-25 | 41.14 | 1.1265 | 0.4625 | no |
| HAL | 2022-07-25 | 25.53 | 1.0475 | 0.5637 | no |
| HLT | 2022-07-25 | 119.78 | 1.3026 | 0.4514 | no |
| HPE | 2022-07-25 | 12.41 | 0.9889 | 0.5198 | no |
| HPQ | 2022-07-25 | 27.58 | 1.9716 | 0.5484 | no |
| HST | 2022-07-25 | 13.52 | 0.9431 | 0.4447 | no |
| INTC | 2022-07-25 | 37.00 | 0.6775 | 0.5413 | no |
| ITW | 2022-07-25 | 173.65 | 0.6901 | 0.4766 | no |
| LNC | 2022-07-25 | 39.87 | 0.8410 | 0.4402 | no |
| LRCX | 2022-07-25 | 43.22 | 0.7639 | 0.5492 | no |
| LUV | 2022-07-25 | 36.97 | 0.9591 | 0.4875 | no |
| LYB | 2022-07-25 | 67.03 | 1.4306 | 0.5044 | no |
| MAR | 2022-07-25 | 146.77 | 0.9589 | 0.4472 | no |
| MOS | 2022-07-25 | 42.97 | 0.8968 | 0.5235 | no |
| MPC | 2022-07-25 | 79.39 | 1.1468 | 0.5672 | no |
| MU | 2022-07-25 | 60.17 | 1.4304 | 0.5644 | no |
| NRG | 2022-07-25 | 32.14 | 0.6921 | 0.4812 | no |
| NVDA | 2022-07-25 | 16.95 | 0.9239 | 0.5376 | no |
| OGN | 2022-07-25 | 26.92 | 1.3857 | 0.5758 | no |
| OKE | 2022-07-25 | 46.74 | 1.0747 | 0.5009 | no |
| PRU | 2022-07-25 | 77.96 | 0.7228 | 0.4385 | no |
| QRVO | 2022-07-25 | 103.94 | 0.8950 | — | no |
| SLB | 2022-07-25 | 32.27 | 1.1549 | 0.6260 | no |
| SPG | 2022-07-25 | 82.62 | 0.7006 | 0.4831 | no |
| SYF | 2022-07-25 | 29.83 | 0.9411 | 0.4420 | no |
| TER | 2022-07-25 | 98.14 | 0.6862 | 0.5448 | no |
| TFX | 2022-07-25 | 256.53 | 0.9139 | 0.4592 | no |
| UAL | 2022-07-25 | 36.03 | 1.0224 | 0.4689 | no |
| VLO | 2022-07-25 | 93.66 | 0.7861 | 0.5387 | no |
| VTRS | 2022-07-25 | 7.99 | 1.4343 | 0.5270 | no |
| WBD | 2022-07-25 | 14.65 | 0.7763 | 0.4636 | no |
| WY | 2022-07-25 | 30.58 | 1.0226 | 0.4812 | no |
| WYNN | 2022-07-25 | 59.69 | 0.7187 | 0.4608 | no |
| XOM | 2022-07-25 | 76.59 | 0.8463 | 0.5744 | no |