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 | 2.73% | 8.96% | 2022-08-25 | -17.38% |
| buy & hold | participation factor overlay | 6 months | complete | 14.12% | 14.12% | 2023-01-25 | -17.38% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.19% | 9.27% | 2022-08-12 | -18.29% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.70% | 12.70% | 2023-01-25 | -18.29% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.81% | 8.83% | 2022-08-12 | -17.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.38% | 11.86% | 2023-01-13 | -17.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.78% | 9.09% | 2022-08-12 | -17.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.41% | 11.26% | 2023-01-13 | -17.63% |
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 | 0.7205 | 0.5699 | no |
| AMD | 2022-07-25 | 86.57 | 0.9804 | 0.5213 | no |
| APA | 2022-07-25 | 29.04 | 1.1483 | 0.6898 | no |
| AVGO | 2022-07-25 | 47.82 | 0.7789 | 0.5644 | no |
| BALL | 2022-07-25 | 66.50 | 0.6329 | 0.4831 | no |
| CAT | 2022-07-25 | 168.07 | 0.7894 | 0.5052 | no |
| CE | 2022-07-25 | 108.10 | 0.7755 | 0.4978 | no |
| CF | 2022-07-25 | 78.27 | 0.8571 | 0.5274 | no |
| COO | 2022-07-25 | 78.58 | 0.8894 | 0.5098 | no |
| COP | 2022-07-25 | 77.13 | 0.6989 | 0.6215 | no |
| COST | 2022-07-25 | 506.01 | 0.7233 | 0.6218 | no |
| CZR | 2022-07-25 | 42.67 | 1.0931 | 0.5007 | no |
| DAL | 2022-07-25 | 30.24 | 0.8845 | 0.4602 | no |
| DVN | 2022-07-25 | 46.57 | 1.0100 | 0.6790 | no |
| DXCM | 2022-07-25 | 83.07 | 0.7382 | 0.4654 | no |
| EOG | 2022-07-25 | 86.94 | 1.2338 | 0.6773 | no |
| FITB | 2022-07-25 | 28.83 | 0.7046 | 0.4952 | no |
| GE | 2022-07-25 | 41.14 | 0.9959 | 0.4625 | no |
| GNRC | 2022-07-25 | 240.50 | 0.7640 | 0.5253 | no |
| HAL | 2022-07-25 | 25.53 | 1.2787 | 0.5637 | no |
| HLT | 2022-07-25 | 119.78 | 1.2619 | 0.4514 | no |
| HPE | 2022-07-25 | 12.41 | 0.7426 | 0.5198 | no |
| HPQ | 2022-07-25 | 27.58 | 1.9839 | 0.5484 | no |
| HST | 2022-07-25 | 13.52 | 0.7812 | 0.4447 | no |
| ITW | 2022-07-25 | 173.65 | 0.6906 | 0.4766 | no |
| LRCX | 2022-07-25 | 43.22 | 0.7055 | 0.5492 | no |
| LUV | 2022-07-25 | 36.97 | 0.8313 | 0.4875 | no |
| LYB | 2022-07-25 | 67.03 | 1.4105 | 0.5044 | no |
| MAR | 2022-07-25 | 146.77 | 1.0975 | 0.4472 | no |
| MLM | 2022-07-25 | 318.95 | 0.6795 | 0.5080 | no |
| MOS | 2022-07-25 | 42.97 | 0.7705 | 0.5235 | no |
| MPC | 2022-07-25 | 79.39 | 0.7127 | 0.5672 | no |
| MU | 2022-07-25 | 60.17 | 1.2322 | 0.5644 | no |
| NRG | 2022-07-25 | 32.14 | 0.8580 | 0.4812 | no |
| NVDA | 2022-07-25 | 16.95 | 0.9085 | 0.5376 | no |
| OGN | 2022-07-25 | 26.92 | 1.4246 | 0.5758 | no |
| OKE | 2022-07-25 | 46.74 | 0.9204 | 0.5009 | no |
| PKG | 2022-07-25 | 125.32 | 0.7272 | 0.5277 | no |
| QRVO | 2022-07-25 | 103.94 | 0.8152 | — | no |
| SLB | 2022-07-25 | 32.27 | 1.0812 | 0.6260 | no |
| SPG | 2022-07-25 | 82.62 | 0.6606 | 0.4831 | no |
| SYF | 2022-07-25 | 29.83 | 0.8124 | 0.4420 | no |
| TFX | 2022-07-25 | 256.53 | 0.9519 | 0.4592 | no |
| UAL | 2022-07-25 | 36.03 | 1.0000 | 0.4689 | no |
| VLO | 2022-07-25 | 93.66 | 0.7591 | 0.5387 | no |
| VTRS | 2022-07-25 | 7.99 | 1.6598 | 0.5270 | no |
| WBD | 2022-07-25 | 14.65 | 0.8172 | 0.4636 | no |
| WY | 2022-07-25 | 30.58 | 0.7066 | 0.4812 | no |
| WYNN | 2022-07-25 | 59.69 | 0.8063 | 0.4608 | no |
| XOM | 2022-07-25 | 76.59 | 0.8693 | 0.5744 | no |