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 | 0.69% | 8.52% | 2022-08-12 | -18.16% |
| buy & hold | participation factor overlay | 6 months | complete | 13.25% | 13.25% | 2023-01-25 | -18.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.70% | 9.41% | 2022-08-12 | -18.77% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.78% | 12.78% | 2023-01-25 | -18.77% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.97% | 8.41% | 2022-08-12 | -16.40% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.55% | 12.04% | 2023-01-13 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.55% | 9.06% | 2022-08-12 | -17.15% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.73% | 9.77% | 2023-01-13 | -17.15% |
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 |
|---|---|---|---|---|---|
| ALB | 2022-07-25 | 209.54 | 0.9572 | 0.5699 | no |
| AMD | 2022-07-25 | 86.57 | 1.2110 | 0.5213 | no |
| ANET | 2022-07-25 | 25.60 | 0.6774 | 0.5001 | no |
| APA | 2022-07-25 | 29.04 | 0.9141 | 0.6898 | no |
| AVGO | 2022-07-25 | 47.82 | 0.6843 | 0.5644 | no |
| CAT | 2022-07-25 | 168.07 | 0.8995 | 0.5052 | no |
| CE | 2022-07-25 | 108.10 | 0.6976 | 0.4978 | no |
| COO | 2022-07-25 | 78.58 | 0.6946 | 0.5098 | no |
| CZR | 2022-07-25 | 42.67 | 0.8250 | 0.5007 | no |
| DAL | 2022-07-25 | 30.24 | 1.0561 | 0.4602 | no |
| DLTR | 2022-07-25 | 171.31 | 0.6786 | 0.6283 | no |
| DVN | 2022-07-25 | 46.57 | 1.0298 | 0.6790 | no |
| DXCM | 2022-07-25 | 83.07 | 0.8813 | 0.4654 | no |
| EMN | 2022-07-25 | 79.12 | 0.8629 | 0.4834 | no |
| EOG | 2022-07-25 | 86.94 | 1.1915 | 0.6773 | no |
| FITB | 2022-07-25 | 28.83 | 0.6973 | 0.4952 | no |
| GE | 2022-07-25 | 41.14 | 1.2086 | 0.4625 | no |
| GNRC | 2022-07-25 | 240.50 | 0.8681 | 0.5253 | no |
| HAL | 2022-07-25 | 25.53 | 1.1080 | 0.5637 | no |
| HLT | 2022-07-25 | 119.78 | 1.3512 | 0.4514 | no |
| HPE | 2022-07-25 | 12.41 | 1.0528 | 0.5198 | no |
| HPQ | 2022-07-25 | 27.58 | 1.9758 | 0.5484 | no |
| HST | 2022-07-25 | 13.52 | 1.0402 | 0.4447 | no |
| INTC | 2022-07-25 | 37.00 | 1.0916 | 0.5413 | no |
| LRCX | 2022-07-25 | 43.22 | 0.6746 | 0.5492 | no |
| LUV | 2022-07-25 | 36.97 | 1.0188 | 0.4875 | no |
| LYB | 2022-07-25 | 67.03 | 1.2777 | 0.5044 | no |
| MAR | 2022-07-25 | 146.77 | 1.2392 | 0.4472 | no |
| MLM | 2022-07-25 | 318.95 | 0.8054 | 0.5080 | no |
| MOS | 2022-07-25 | 42.97 | 0.7932 | 0.5235 | no |
| MPC | 2022-07-25 | 79.39 | 1.1049 | 0.5672 | no |
| MU | 2022-07-25 | 60.17 | 1.4327 | 0.5644 | no |
| NRG | 2022-07-25 | 32.14 | 0.7409 | 0.4812 | no |
| NVDA | 2022-07-25 | 16.95 | 0.7928 | 0.5376 | no |
| OGN | 2022-07-25 | 26.92 | 1.2043 | 0.5758 | no |
| OKE | 2022-07-25 | 46.74 | 1.0400 | 0.5009 | no |
| PKG | 2022-07-25 | 125.32 | 0.7086 | 0.5277 | no |
| QRVO | 2022-07-25 | 103.94 | 0.8815 | — | no |
| SLB | 2022-07-25 | 32.27 | 1.1443 | 0.6260 | no |
| SPG | 2022-07-25 | 82.62 | 0.7837 | 0.4831 | no |
| SYF | 2022-07-25 | 29.83 | 1.2423 | 0.4420 | no |
| TER | 2022-07-25 | 98.14 | 0.8718 | 0.5448 | no |
| TFX | 2022-07-25 | 256.53 | 0.9249 | 0.4592 | no |
| UAL | 2022-07-25 | 36.03 | 1.1024 | 0.4689 | no |
| VLO | 2022-07-25 | 93.66 | 0.7160 | 0.5387 | no |
| VTRS | 2022-07-25 | 7.99 | 1.5972 | 0.5270 | no |
| WBD | 2022-07-25 | 14.65 | 0.7368 | 0.4636 | no |
| WY | 2022-07-25 | 30.58 | 0.8129 | 0.4812 | no |
| WYNN | 2022-07-25 | 59.69 | 0.8487 | 0.4608 | no |
| XOM | 2022-07-25 | 76.59 | 0.7913 | 0.5744 | no |