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 | 3.24% | 4.91% | 2022-08-25 | -17.06% |
| buy & hold | participation factor overlay | 6 months | complete | 11.32% | 11.33% | 2023-01-27 | -17.06% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.58% | 4.80% | 2022-08-16 | -17.13% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.80% | 10.83% | 2023-01-27 | -17.13% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.70% | 5.17% | 2022-08-12 | -17.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.89% | 8.89% | 2023-02-01 | -17.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.27% | 5.62% | 2022-08-12 | -17.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.99% | 9.99% | 2023-02-01 | -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 |
|---|---|---|---|---|---|
| ALLE | 2022-08-01 | 98.79 | 0.4616 | 0.4736 | no |
| APA | 2022-08-01 | 31.54 | 0.6366 | 0.6898 | no |
| BAC | 2022-08-01 | 30.21 | 0.4473 | 0.4962 | no |
| CAT | 2022-08-01 | 183.00 | 0.3740 | 0.5044 | no |
| CE | 2022-08-01 | 109.13 | 0.6114 | 0.4960 | no |
| COST | 2022-08-01 | 516.43 | 0.5270 | 0.6181 | no |
| CSX | 2022-08-01 | 30.12 | 0.4717 | 0.5232 | no |
| CZR | 2022-08-01 | 45.19 | 1.0098 | 0.5007 | no |
| DVN | 2022-08-01 | 51.36 | 0.7148 | 0.6790 | no |
| DXCM | 2022-08-01 | 82.61 | 0.7509 | 0.4612 | no |
| EOG | 2022-08-01 | 92.39 | 1.2876 | 0.6773 | no |
| FANG | 2022-08-01 | 105.18 | 0.6696 | 0.7245 | no |
| FCX | 2022-08-01 | 29.21 | 0.6904 | 0.6499 | no |
| FRT | 2022-08-01 | 88.21 | 0.4121 | 0.4623 | no |
| GM | 2022-08-01 | 34.56 | 0.4039 | 0.4439 | no |
| HAL | 2022-08-01 | 26.11 | 1.1867 | 0.5637 | no |
| HLT | 2022-08-01 | 125.49 | 0.7097 | 0.4542 | no |
| HPQ | 2022-08-01 | 27.93 | 0.5562 | 0.5428 | no |
| HST | 2022-08-01 | 14.03 | 0.8211 | 0.4447 | no |
| KMI | 2022-08-01 | 14.41 | 0.3580 | 0.4655 | no |
| LIN | 2022-08-01 | 283.88 | 0.5277 | 0.5068 | no |
| LUV | 2022-08-01 | 34.89 | 0.8151 | 0.4835 | no |
| LYB | 2022-08-01 | 67.71 | 0.4396 | 0.5236 | no |
| MAR | 2022-08-01 | 151.75 | 0.5152 | 0.4472 | no |
| MGM | 2022-08-01 | 32.51 | 0.4920 | 0.4684 | no |
| MOS | 2022-08-01 | 46.30 | 0.7927 | 0.5231 | no |
| MPC | 2022-08-01 | 82.34 | 0.9065 | 0.5672 | no |
| MU | 2022-08-01 | 61.30 | 0.7788 | 0.5610 | no |
| NRG | 2022-08-01 | 34.08 | 0.4224 | 0.4812 | no |
| NWL | 2022-08-01 | 16.25 | 0.3832 | 0.4522 | no |
| NWS | 2022-08-01 | 16.58 | 0.4715 | — | no |
| OGN | 2022-08-01 | 26.55 | 1.7053 | 0.5758 | no |
| OKE | 2022-08-01 | 47.79 | 0.7199 | 0.5045 | no |
| PSX | 2022-08-01 | 75.51 | 0.7082 | 0.5410 | no |
| RHI | 2022-08-01 | 65.51 | 0.3656 | 0.4484 | no |
| SLB | 2022-08-01 | 32.81 | 0.8302 | 0.6260 | no |
| STE | 2022-08-01 | 214.95 | 0.3904 | 0.4823 | no |
| SWK | 2022-08-01 | 81.62 | 0.4840 | 0.4557 | no |
| SWKS | 2022-08-01 | 95.29 | 0.4121 | 0.5668 | no |
| SYF | 2022-08-01 | 30.27 | 0.7004 | 0.4420 | no |
| TER | 2022-08-01 | 98.27 | 0.4509 | 0.5192 | no |
| TFX | 2022-08-01 | 231.28 | 0.3994 | 0.4805 | no |
| UAL | 2022-08-01 | 36.69 | 0.4598 | 0.4695 | no |
| VLO | 2022-08-01 | 96.45 | 0.8550 | 0.5237 | no |
| VRTX | 2022-08-01 | 279.79 | 0.3955 | 0.5854 | no |
| VTRS | 2022-08-01 | 8.06 | 1.7403 | 0.5270 | no |
| WBD | 2022-08-01 | 15.01 | 0.4842 | 0.4636 | no |
| WDC | 2022-08-01 | 36.89 | 0.4453 | 0.5373 | no |
| WHR | 2022-08-01 | 138.06 | 0.5080 | 0.4569 | no |
| WMB | 2022-08-01 | 28.20 | 0.7907 | 0.4863 | no |