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 | 7.16% | 7.16% | 2022-11-08 | -16.45% |
| buy & hold | participation factor overlay | 6 months | complete | 12.11% | 12.99% | 2023-01-26 | -16.45% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.85% | 6.18% | 2022-08-25 | -16.42% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 14.37% | 15.36% | 2023-02-07 | -16.42% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.87% | 5.20% | 2022-08-12 | -16.75% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.48% | 10.61% | 2023-02-02 | -16.75% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.60% | 5.50% | 2022-08-12 | -17.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.35% | 10.76% | 2023-02-02 | -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 | 2022-08-08 | 27.45 | 1.2321 | 0.6554 | no |
| BALL | 2022-08-08 | 53.25 | 0.3404 | 0.4748 | no |
| CE | 2022-08-08 | 106.60 | 0.5125 | 0.4960 | no |
| COP | 2022-08-08 | 80.19 | 0.6742 | 0.6028 | no |
| DAL | 2022-08-08 | 32.13 | 0.4291 | 0.4606 | no |
| DE | 2022-08-08 | 328.81 | 0.4776 | 0.4881 | no |
| DVN | 2022-08-08 | 47.01 | 1.0893 | 0.6779 | no |
| EOG | 2022-08-08 | 90.75 | 1.2298 | 0.6980 | no |
| EXC | 2022-08-08 | 38.84 | 0.3426 | 0.4821 | no |
| FANG | 2022-08-08 | 101.48 | 1.0840 | 0.6735 | no |
| FCX | 2022-08-08 | 29.29 | 0.7835 | 0.6499 | no |
| FITB | 2022-08-08 | 29.71 | 0.3481 | 0.4952 | no |
| FRT | 2022-08-08 | 90.16 | 0.4233 | 0.4578 | no |
| FTNT | 2022-08-08 | 53.52 | 0.3329 | 0.5475 | no |
| GE | 2022-08-08 | 46.33 | 0.4632 | 0.4603 | no |
| GM | 2022-08-08 | 35.10 | 0.5577 | 0.4439 | no |
| GS | 2022-08-08 | 303.83 | 0.3680 | 0.4706 | no |
| HAL | 2022-08-08 | 25.51 | 1.4197 | 0.5683 | no |
| HLT | 2022-08-08 | 130.09 | 0.3935 | 0.4542 | no |
| HPQ | 2022-08-08 | 28.56 | 0.7462 | 0.5443 | no |
| ILMN | 2022-08-08 | 220.35 | 0.4917 | 0.4625 | no |
| IVZ | 2022-08-08 | 14.91 | 0.3580 | 0.4783 | no |
| JCI | 2022-08-08 | 51.65 | 0.3369 | 0.4599 | no |
| KMB | 2022-08-08 | 112.97 | 0.3484 | 0.4530 | no |
| KMI | 2022-08-08 | 14.19 | 0.5459 | 0.4655 | no |
| L | 2022-08-08 | 54.71 | 0.4796 | — | no |
| LIN | 2022-08-08 | 288.82 | 0.6264 | 0.5068 | no |
| LNC | 2022-08-08 | 36.74 | 0.5212 | 0.4627 | no |
| MOS | 2022-08-08 | 46.87 | 0.3345 | 0.5421 | no |
| MPC | 2022-08-08 | 82.91 | 0.4772 | 0.5796 | no |
| MU | 2022-08-08 | 60.80 | 0.8227 | 0.5594 | no |
| NTAP | 2022-08-08 | 66.37 | 0.3437 | 0.4980 | no |
| OGN | 2022-08-08 | 26.53 | 1.2324 | 0.5249 | no |
| OXY | 2022-08-08 | 54.52 | 0.8089 | 0.6080 | no |
| PH | 2022-08-08 | 280.70 | 0.3638 | 0.4923 | no |
| PSX | 2022-08-08 | 72.38 | 1.3443 | 0.5410 | no |
| SHW | 2022-08-08 | 230.61 | 0.4736 | 0.5183 | no |
| SLB | 2022-08-08 | 31.41 | 1.2313 | 0.6278 | no |
| SPG | 2022-08-08 | 85.73 | 0.3688 | 0.4742 | no |
| SWK | 2022-08-08 | 81.97 | 0.4132 | 0.4558 | no |
| TDG | 2022-08-08 | 534.42 | 0.4234 | 0.5959 | no |
| TER | 2022-08-08 | 98.54 | 0.6138 | 0.5205 | no |
| TGT | 2022-08-08 | 144.32 | 0.3583 | 0.6674 | no |
| UAL | 2022-08-08 | 38.01 | 0.3554 | 0.4695 | no |
| VLO | 2022-08-08 | 93.75 | 1.4092 | 0.5237 | no |
| VTRS | 2022-08-08 | 8.47 | 1.5096 | 0.5270 | no |
| WDC | 2022-08-08 | 35.18 | 0.5151 | 0.5489 | no |
| WFC | 2022-08-08 | 39.74 | 0.4393 | 0.4894 | no |
| WMB | 2022-08-08 | 26.91 | 0.5960 | 0.5519 | no |
| XOM | 2022-08-08 | 76.98 | 0.5615 | 0.5666 | no |