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 | 5.69% | 5.69% | 2022-11-01 | -16.09% |
| buy & hold | participation factor overlay | 6 months | complete | 12.50% | 12.50% | 2023-02-01 | -16.09% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.35% | 5.42% | 2022-08-12 | -17.55% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.68% | 12.81% | 2023-01-27 | -17.55% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.23% | 5.32% | 2022-08-12 | -16.40% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.53% | 9.53% | 2023-02-01 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.09% | 5.92% | 2022-08-12 | -17.15% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.03% | 8.03% | 2023-02-01 | -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 |
|---|---|---|---|---|---|
| AAP | 2022-08-01 | 174.75 | 0.3762 | 0.5917 | no |
| ALLE | 2022-08-01 | 98.79 | 0.3719 | 0.4736 | no |
| APA | 2022-08-01 | 31.54 | 0.7048 | 0.6898 | no |
| BAC | 2022-08-01 | 30.21 | 0.4641 | 0.4962 | no |
| CAT | 2022-08-01 | 183.00 | 0.4883 | 0.5044 | no |
| CE | 2022-08-01 | 109.13 | 0.4928 | 0.4960 | no |
| COP | 2022-08-01 | 82.17 | 0.4073 | 0.6215 | no |
| COST | 2022-08-01 | 516.43 | 0.4041 | 0.6181 | no |
| CSX | 2022-08-01 | 30.12 | 0.4091 | 0.5232 | no |
| CZR | 2022-08-01 | 45.19 | 0.9194 | 0.5007 | no |
| DVN | 2022-08-01 | 51.36 | 0.9231 | 0.6790 | no |
| DXCM | 2022-08-01 | 82.61 | 0.7577 | 0.4612 | no |
| EOG | 2022-08-01 | 92.39 | 1.1727 | 0.6773 | no |
| FANG | 2022-08-01 | 105.18 | 0.6948 | 0.7245 | no |
| FCX | 2022-08-01 | 29.21 | 0.5479 | 0.6499 | no |
| FRT | 2022-08-01 | 88.21 | 0.5303 | 0.4623 | no |
| GM | 2022-08-01 | 34.56 | 0.4148 | 0.4439 | no |
| HAL | 2022-08-01 | 26.11 | 1.1919 | 0.5637 | no |
| HIG | 2022-08-01 | 58.57 | 0.3675 | 0.4762 | no |
| HLT | 2022-08-01 | 125.49 | 0.6628 | 0.4542 | no |
| HPQ | 2022-08-01 | 27.93 | 0.4331 | 0.5428 | no |
| HST | 2022-08-01 | 14.03 | 0.8478 | 0.4447 | no |
| IVZ | 2022-08-01 | 14.61 | 0.5763 | 0.4783 | no |
| LIN | 2022-08-01 | 283.88 | 0.6109 | 0.5068 | no |
| LUV | 2022-08-01 | 34.89 | 0.5276 | 0.4835 | no |
| LYB | 2022-08-01 | 67.71 | 0.6795 | 0.5236 | no |
| MAR | 2022-08-01 | 151.75 | 0.4298 | 0.4472 | no |
| MOS | 2022-08-01 | 46.30 | 0.8675 | 0.5231 | no |
| MPC | 2022-08-01 | 82.34 | 0.8931 | 0.5672 | no |
| MU | 2022-08-01 | 61.30 | 0.6548 | 0.5610 | no |
| NOW | 2022-08-01 | 87.80 | 0.4595 | 0.4729 | no |
| NRG | 2022-08-01 | 34.08 | 0.8528 | 0.4812 | no |
| NTRS | 2022-08-01 | 87.20 | 0.4073 | 0.4930 | no |
| NWS | 2022-08-01 | 16.58 | 0.4141 | — | no |
| OGN | 2022-08-01 | 26.55 | 1.8452 | 0.5758 | no |
| OKE | 2022-08-01 | 47.79 | 0.4927 | 0.5045 | no |
| PSX | 2022-08-01 | 75.51 | 0.7946 | 0.5410 | no |
| RHI | 2022-08-01 | 65.51 | 0.3910 | 0.4484 | no |
| SLB | 2022-08-01 | 32.81 | 0.7832 | 0.6260 | no |
| STE | 2022-08-01 | 214.95 | 0.3917 | 0.4823 | no |
| SYF | 2022-08-01 | 30.27 | 0.8145 | 0.4420 | no |
| SYK | 2022-08-01 | 203.96 | 0.6739 | 0.4427 | no |
| TFX | 2022-08-01 | 231.28 | 0.5154 | 0.4805 | no |
| UAL | 2022-08-01 | 36.69 | 0.6029 | 0.4695 | no |
| VLO | 2022-08-01 | 96.45 | 0.8848 | 0.5237 | no |
| VRTX | 2022-08-01 | 279.79 | 0.4792 | 0.5854 | no |
| VTRS | 2022-08-01 | 8.06 | 1.7422 | 0.5270 | no |
| WBD | 2022-08-01 | 15.01 | 0.5698 | 0.4636 | no |
| WHR | 2022-08-01 | 138.06 | 0.5007 | 0.4569 | no |
| WMB | 2022-08-01 | 28.20 | 0.6984 | 0.4863 | no |