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 | 7.88% | 7.88% | 2022-11-08 | -15.58% |
| buy & hold | participation factor overlay | 6 months | complete | 11.36% | 12.81% | 2023-01-26 | -15.58% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.48% | 6.38% | 2022-08-25 | -16.62% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.13% | 12.62% | 2023-02-02 | -16.62% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.70% | 5.04% | 2022-08-12 | -16.40% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.97% | 10.15% | 2023-02-02 | -16.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.59% | 5.35% | 2022-08-12 | -17.16% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.18% | 8.42% | 2023-02-02 | -17.16% |
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 | 2022-08-08 | 97.05 | 0.3323 | 0.4745 | no |
| APA | 2022-08-08 | 27.45 | 1.1540 | 0.6554 | no |
| BALL | 2022-08-08 | 53.25 | 0.4428 | 0.4748 | no |
| BKR | 2022-08-08 | 21.91 | 0.3852 | 0.6100 | no |
| CE | 2022-08-08 | 106.60 | 0.5158 | 0.4960 | no |
| CNP | 2022-08-08 | 28.45 | 0.3462 | 0.4499 | no |
| COP | 2022-08-08 | 80.19 | 0.9008 | 0.6028 | no |
| COST | 2022-08-08 | 518.73 | 0.4700 | 0.6175 | no |
| CVX | 2022-08-08 | 129.54 | 0.3846 | 0.5383 | no |
| DAL | 2022-08-08 | 32.13 | 0.6153 | 0.4606 | no |
| DVN | 2022-08-08 | 47.01 | 1.1488 | 0.6779 | no |
| EOG | 2022-08-08 | 90.75 | 0.9663 | 0.6980 | no |
| EXC | 2022-08-08 | 38.84 | 0.3331 | 0.4821 | no |
| FANG | 2022-08-08 | 101.48 | 0.7238 | 0.6735 | no |
| FCX | 2022-08-08 | 29.29 | 0.5947 | 0.6499 | no |
| FITB | 2022-08-08 | 29.71 | 0.5315 | 0.4952 | no |
| FRT | 2022-08-08 | 90.16 | 0.5491 | 0.4578 | no |
| GM | 2022-08-08 | 35.10 | 0.6177 | 0.4439 | no |
| HAL | 2022-08-08 | 25.51 | 1.3897 | 0.5683 | no |
| HLT | 2022-08-08 | 130.09 | 0.5679 | 0.4542 | no |
| HPQ | 2022-08-08 | 28.56 | 0.4853 | 0.5443 | no |
| ILMN | 2022-08-08 | 220.35 | 0.5201 | 0.4625 | no |
| KMI | 2022-08-08 | 14.19 | 0.4822 | 0.4655 | no |
| L | 2022-08-08 | 54.71 | 0.4216 | — | no |
| LIN | 2022-08-08 | 288.82 | 0.7475 | 0.5068 | no |
| LNC | 2022-08-08 | 36.74 | 0.6791 | 0.4627 | no |
| MOS | 2022-08-08 | 46.87 | 0.5613 | 0.5421 | no |
| MPC | 2022-08-08 | 82.91 | 0.5461 | 0.5796 | no |
| MU | 2022-08-08 | 60.80 | 0.8918 | 0.5594 | no |
| NRG | 2022-08-08 | 35.16 | 0.4296 | 0.4754 | no |
| OGN | 2022-08-08 | 26.53 | 1.2599 | 0.5249 | no |
| OKE | 2022-08-08 | 47.62 | 0.4004 | 0.5045 | no |
| OXY | 2022-08-08 | 54.52 | 0.8570 | 0.6080 | no |
| PSX | 2022-08-08 | 72.38 | 1.3277 | 0.5410 | no |
| REGN | 2022-08-08 | 613.99 | 0.3643 | 0.6130 | no |
| RHI | 2022-08-08 | 65.61 | 0.5281 | 0.4484 | no |
| SBAC | 2022-08-08 | 321.70 | 0.3341 | 0.4967 | no |
| SLB | 2022-08-08 | 31.41 | 1.3538 | 0.6278 | no |
| SWK | 2022-08-08 | 81.97 | 0.5035 | 0.4558 | no |
| TDG | 2022-08-08 | 534.42 | 0.3396 | 0.5959 | no |
| TER | 2022-08-08 | 98.54 | 0.5297 | 0.5205 | no |
| TSCO | 2022-08-08 | 35.22 | 0.4755 | 0.5884 | no |
| UAL | 2022-08-08 | 38.01 | 0.4227 | 0.4695 | no |
| VLO | 2022-08-08 | 93.75 | 1.2339 | 0.5237 | no |
| VRTX | 2022-08-08 | 288.65 | 0.3717 | 0.6491 | no |
| VTRS | 2022-08-08 | 8.47 | 1.4205 | 0.5270 | no |
| WDC | 2022-08-08 | 35.18 | 0.7248 | 0.5489 | no |
| WFC | 2022-08-08 | 39.74 | 0.3476 | 0.4894 | no |
| WMB | 2022-08-08 | 26.91 | 0.6096 | 0.5519 | no |
| XOM | 2022-08-08 | 76.98 | 0.5906 | 0.5666 | no |