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 | 2.87% | 4.78% | 2022-08-25 | -16.54% |
| buy & hold | participation factor overlay | 6 months | complete | 10.83% | 10.83% | 2023-02-01 | -16.54% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.77% | 4.24% | 2022-08-12 | -16.49% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.35% | 9.45% | 2023-01-26 | -16.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.03% | 5.32% | 2022-08-12 | -16.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.08% | 10.08% | 2023-02-01 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.52% | 4.89% | 2022-08-12 | -17.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.29% | 9.29% | 2023-02-01 | -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 |
|---|---|---|---|---|---|
| APA | 2022-08-01 | 31.54 | 0.7967 | 0.6898 | no |
| CAT | 2022-08-01 | 183.00 | 0.5885 | 0.5044 | no |
| CCI | 2022-08-01 | 144.10 | 0.3590 | 0.5096 | no |
| CE | 2022-08-01 | 109.13 | 0.4648 | 0.4960 | no |
| CME | 2022-08-01 | 164.60 | 0.4071 | 0.4973 | no |
| COST | 2022-08-01 | 516.43 | 0.4656 | 0.6181 | no |
| CZR | 2022-08-01 | 45.19 | 0.7824 | 0.5007 | no |
| DLR | 2022-08-01 | 114.05 | 0.3133 | 0.4799 | no |
| DVN | 2022-08-01 | 51.36 | 0.7605 | 0.6790 | no |
| DXCM | 2022-08-01 | 82.61 | 0.3909 | 0.4612 | no |
| EOG | 2022-08-01 | 92.39 | 1.0713 | 0.6773 | no |
| FANG | 2022-08-01 | 105.18 | 0.6877 | 0.7245 | no |
| FCX | 2022-08-01 | 29.21 | 0.5452 | 0.6499 | no |
| FITB | 2022-08-01 | 28.90 | 0.4356 | 0.4952 | no |
| FRT | 2022-08-01 | 88.21 | 0.6016 | 0.4623 | no |
| HAL | 2022-08-01 | 26.11 | 1.2929 | 0.5637 | no |
| HIG | 2022-08-01 | 58.57 | 0.3405 | 0.4762 | no |
| HLT | 2022-08-01 | 125.49 | 0.4508 | 0.4542 | no |
| HPQ | 2022-08-01 | 27.93 | 0.6143 | 0.5428 | no |
| HST | 2022-08-01 | 14.03 | 0.5156 | 0.4447 | no |
| IVZ | 2022-08-01 | 14.61 | 0.4569 | 0.4783 | no |
| KMI | 2022-08-01 | 14.41 | 0.5089 | 0.4655 | no |
| LIN | 2022-08-01 | 283.88 | 0.3687 | 0.5068 | no |
| LUV | 2022-08-01 | 34.89 | 0.4484 | 0.4835 | no |
| LYB | 2022-08-01 | 67.71 | 0.3676 | 0.5236 | no |
| MOS | 2022-08-01 | 46.30 | 0.8405 | 0.5231 | no |
| MPC | 2022-08-01 | 82.34 | 1.0987 | 0.5672 | no |
| MU | 2022-08-01 | 61.30 | 0.5557 | 0.5610 | no |
| NRG | 2022-08-01 | 34.08 | 0.4841 | 0.4812 | no |
| NTRS | 2022-08-01 | 87.20 | 0.3197 | 0.4930 | no |
| NWL | 2022-08-01 | 16.25 | 0.3282 | 0.4522 | no |
| NWS | 2022-08-01 | 16.58 | 0.3787 | — | no |
| OGN | 2022-08-01 | 26.55 | 1.7718 | 0.5758 | no |
| OKE | 2022-08-01 | 47.79 | 0.4143 | 0.5045 | no |
| PSX | 2022-08-01 | 75.51 | 0.9199 | 0.5410 | no |
| SLB | 2022-08-01 | 32.81 | 0.6562 | 0.6260 | no |
| SWK | 2022-08-01 | 81.62 | 0.4655 | 0.4557 | no |
| SYF | 2022-08-01 | 30.27 | 0.5563 | 0.4420 | no |
| SYK | 2022-08-01 | 203.96 | 0.4249 | 0.4427 | no |
| TER | 2022-08-01 | 98.27 | 0.5086 | 0.5192 | no |
| TFX | 2022-08-01 | 231.28 | 0.5177 | 0.4805 | no |
| UAL | 2022-08-01 | 36.69 | 0.6974 | 0.4695 | no |
| VLO | 2022-08-01 | 96.45 | 0.8237 | 0.5237 | no |
| VRTX | 2022-08-01 | 279.79 | 0.3400 | 0.5854 | no |
| VTRS | 2022-08-01 | 8.06 | 1.8727 | 0.5270 | no |
| WBD | 2022-08-01 | 15.01 | 0.4516 | 0.4636 | no |
| WFC | 2022-08-01 | 38.99 | 0.3252 | 0.4894 | no |
| WHR | 2022-08-01 | 138.06 | 0.4904 | 0.4569 | no |
| WMB | 2022-08-01 | 28.20 | 0.5954 | 0.4863 | no |
| WY | 2022-08-01 | 31.13 | 0.3890 | 0.5062 | no |