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 | 1.58% | 8.15% | 2022-08-12 | -18.08% |
| buy & hold | participation factor overlay | 6 months | complete | 11.53% | 11.53% | 2023-01-25 | -18.08% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.36% | 8.94% | 2022-08-25 | -18.28% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.87% | 12.87% | 2023-01-25 | -18.28% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.18% | 8.55% | 2022-08-12 | -17.48% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.26% | 10.54% | 2023-01-13 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.32% | 8.72% | 2022-08-12 | -19.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.11% | 8.72% | 2022-08-12 | -19.34% |
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 | 0.6941 | 0.5581 | no |
| AMD | 2022-07-25 | 86.57 | 1.0166 | 0.5213 | no |
| APA | 2022-07-25 | 29.04 | 1.0561 | 0.6898 | no |
| AVGO | 2022-07-25 | 47.82 | 0.7918 | 0.5644 | no |
| CAT | 2022-07-25 | 168.07 | 1.0461 | 0.5052 | no |
| CE | 2022-07-25 | 108.10 | 0.8284 | 0.4978 | no |
| CF | 2022-07-25 | 78.27 | 0.9493 | 0.5274 | no |
| COO | 2022-07-25 | 78.58 | 0.9068 | 0.5098 | no |
| COP | 2022-07-25 | 77.13 | 0.8284 | 0.6215 | no |
| COST | 2022-07-25 | 506.01 | 0.7957 | 0.6218 | no |
| CVX | 2022-07-25 | 122.88 | 0.7401 | 0.5711 | no |
| CZR | 2022-07-25 | 42.67 | 0.9189 | 0.5007 | no |
| DAL | 2022-07-25 | 30.24 | 1.0866 | 0.4602 | no |
| DVN | 2022-07-25 | 46.57 | 1.0442 | 0.6790 | no |
| DXCM | 2022-07-25 | 83.07 | 0.7585 | 0.4654 | no |
| EMN | 2022-07-25 | 79.12 | 0.9285 | 0.4834 | no |
| EOG | 2022-07-25 | 86.94 | 1.0379 | 0.6773 | no |
| FITB | 2022-07-25 | 28.83 | 0.9050 | 0.4952 | no |
| GE | 2022-07-25 | 41.14 | 1.2641 | 0.4625 | no |
| GNRC | 2022-07-25 | 240.50 | 0.7099 | 0.5253 | no |
| HAL | 2022-07-25 | 25.53 | 1.2754 | 0.5637 | no |
| HLT | 2022-07-25 | 119.78 | 1.2322 | 0.4514 | no |
| HPE | 2022-07-25 | 12.41 | 0.9645 | 0.5198 | no |
| HPQ | 2022-07-25 | 27.58 | 1.9276 | 0.5484 | no |
| HST | 2022-07-25 | 13.52 | 1.0586 | 0.4447 | no |
| INTC | 2022-07-25 | 37.00 | 0.7554 | 0.5413 | no |
| LNC | 2022-07-25 | 39.87 | 0.8313 | 0.4402 | no |
| LRCX | 2022-07-25 | 43.22 | 0.8953 | 0.5492 | no |
| LUV | 2022-07-25 | 36.97 | 1.0785 | 0.4875 | no |
| LYB | 2022-07-25 | 67.03 | 1.3181 | 0.5044 | no |
| MAR | 2022-07-25 | 146.77 | 1.0811 | 0.4472 | no |
| MLM | 2022-07-25 | 318.95 | 0.7270 | 0.5080 | no |
| MOH | 2022-07-25 | 303.53 | 0.7139 | 0.4840 | no |
| MOS | 2022-07-25 | 42.97 | 0.9435 | 0.5235 | no |
| MPC | 2022-07-25 | 79.39 | 0.9295 | 0.5672 | no |
| MU | 2022-07-25 | 60.17 | 1.3194 | 0.5644 | no |
| NVDA | 2022-07-25 | 16.95 | 0.7868 | 0.5376 | no |
| OGN | 2022-07-25 | 26.92 | 1.4677 | 0.5758 | no |
| OKE | 2022-07-25 | 46.74 | 1.0069 | 0.5009 | no |
| PSX | 2022-07-25 | 73.88 | 0.8193 | 0.5425 | no |
| QRVO | 2022-07-25 | 103.94 | 0.7226 | — | no |
| SLB | 2022-07-25 | 32.27 | 1.2725 | 0.6260 | no |
| SYF | 2022-07-25 | 29.83 | 0.9915 | 0.4420 | no |
| TER | 2022-07-25 | 98.14 | 0.7203 | 0.5448 | no |
| TFX | 2022-07-25 | 256.53 | 0.9587 | 0.4592 | no |
| UAL | 2022-07-25 | 36.03 | 1.1726 | 0.4689 | no |
| VMC | 2022-07-25 | 151.20 | 0.7085 | 0.4755 | no |
| VTRS | 2022-07-25 | 7.99 | 1.5843 | 0.5270 | no |
| WBD | 2022-07-25 | 14.65 | 0.9312 | 0.4636 | no |
| WY | 2022-07-25 | 30.58 | 0.9306 | 0.4812 | no |