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 | 3.38% | 5.00% | 2022-08-25 | -17.04% |
| buy & hold | participation factor overlay | 6 months | complete | 12.06% | 12.24% | 2023-01-27 | -17.04% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.91% | 4.61% | 2022-08-12 | -17.10% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.19% | 10.56% | 2023-01-26 | -17.10% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.26% | 5.24% | 2022-08-12 | -17.48% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.46% | 8.46% | 2023-02-01 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.59% | 5.44% | 2022-08-12 | -19.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.71% | 5.71% | 2023-02-01 | -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 |
|---|---|---|---|---|---|
| APA | 2022-08-01 | 31.54 | 0.7735 | 0.6898 | no |
| CAT | 2022-08-01 | 183.00 | 0.4263 | 0.5044 | no |
| CE | 2022-08-01 | 109.13 | 0.6920 | 0.4960 | no |
| COST | 2022-08-01 | 516.43 | 0.3579 | 0.6181 | no |
| CZR | 2022-08-01 | 45.19 | 0.7990 | 0.5007 | no |
| DVN | 2022-08-01 | 51.36 | 0.8791 | 0.6790 | no |
| DXCM | 2022-08-01 | 82.61 | 0.7014 | 0.4612 | no |
| EMN | 2022-08-01 | 79.47 | 0.3762 | 0.5060 | no |
| EOG | 2022-08-01 | 92.39 | 1.0884 | 0.6773 | no |
| FANG | 2022-08-01 | 105.18 | 0.6221 | 0.7245 | no |
| FCX | 2022-08-01 | 29.21 | 0.5710 | 0.6499 | no |
| FE | 2022-08-01 | 34.41 | 0.3637 | 0.5029 | no |
| FITB | 2022-08-01 | 28.90 | 0.3972 | 0.4952 | no |
| FRT | 2022-08-01 | 88.21 | 0.3849 | 0.4623 | no |
| GE | 2022-08-01 | 44.75 | 0.3590 | 0.4603 | no |
| HAL | 2022-08-01 | 26.11 | 1.3341 | 0.5637 | no |
| HLT | 2022-08-01 | 125.49 | 0.6507 | 0.4542 | no |
| HPQ | 2022-08-01 | 27.93 | 0.6271 | 0.5428 | no |
| HST | 2022-08-01 | 14.03 | 0.6973 | 0.4447 | no |
| IVZ | 2022-08-01 | 14.61 | 0.3856 | 0.4783 | no |
| KIM | 2022-08-01 | 17.96 | 0.3800 | 0.4460 | no |
| KMI | 2022-08-01 | 14.41 | 0.3527 | 0.4655 | no |
| LIN | 2022-08-01 | 283.88 | 0.4505 | 0.5068 | no |
| LUV | 2022-08-01 | 34.89 | 0.5854 | 0.4835 | no |
| LYB | 2022-08-01 | 67.71 | 0.5515 | 0.5236 | no |
| MAR | 2022-08-01 | 151.75 | 0.4222 | 0.4472 | no |
| MOS | 2022-08-01 | 46.30 | 0.9536 | 0.5231 | no |
| MPC | 2022-08-01 | 82.34 | 0.9244 | 0.5672 | no |
| MU | 2022-08-01 | 61.30 | 0.8829 | 0.5610 | no |
| NRG | 2022-08-01 | 34.08 | 0.5835 | 0.4812 | no |
| NWL | 2022-08-01 | 16.25 | 0.3679 | 0.4522 | no |
| NWS | 2022-08-01 | 16.58 | 0.3418 | — | no |
| OGN | 2022-08-01 | 26.55 | 1.8341 | 0.5758 | no |
| OKE | 2022-08-01 | 47.79 | 0.5613 | 0.5045 | no |
| PSX | 2022-08-01 | 75.51 | 0.8522 | 0.5410 | no |
| QRVO | 2022-08-01 | 102.84 | 0.3759 | — | no |
| RHI | 2022-08-01 | 65.51 | 0.3766 | 0.4484 | no |
| SLB | 2022-08-01 | 32.81 | 0.6883 | 0.6260 | no |
| SWK | 2022-08-01 | 81.62 | 0.4610 | 0.4557 | no |
| SYF | 2022-08-01 | 30.27 | 0.7254 | 0.4420 | no |
| SYK | 2022-08-01 | 203.96 | 0.3456 | 0.4427 | no |
| TFX | 2022-08-01 | 231.28 | 0.6397 | 0.4805 | no |
| UAL | 2022-08-01 | 36.69 | 0.7115 | 0.4695 | no |
| VLO | 2022-08-01 | 96.45 | 0.8197 | 0.5237 | no |
| VRTX | 2022-08-01 | 279.79 | 0.3473 | 0.5854 | no |
| VTRS | 2022-08-01 | 8.06 | 1.8057 | 0.5270 | no |
| WBD | 2022-08-01 | 15.01 | 0.5730 | 0.4636 | no |
| WDC | 2022-08-01 | 36.89 | 0.3599 | 0.5373 | no |
| WHR | 2022-08-01 | 138.06 | 0.6802 | 0.4569 | no |
| WMB | 2022-08-01 | 28.20 | 0.4858 | 0.4863 | no |