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 | 7.46% | 7.46% | 2022-11-08 | -16.21% |
| buy & hold | participation factor overlay | 6 months | complete | 11.71% | 13.59% | 2023-01-26 | -16.21% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.93% | 6.51% | 2022-08-25 | -16.49% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.92% | 14.11% | 2023-02-07 | -16.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.99% | 5.13% | 2022-08-12 | -17.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.86% | 9.50% | 2023-02-02 | -17.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.25% | 5.40% | 2022-08-12 | -17.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.76% | 11.11% | 2023-02-02 | -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 | 2022-08-08 | 97.05 | 0.4505 | 0.4745 | no |
| APA | 2022-08-08 | 27.45 | 1.4186 | 0.6554 | no |
| AVGO | 2022-08-08 | 51.47 | 0.3704 | 0.5673 | no |
| BALL | 2022-08-08 | 53.25 | 0.4779 | 0.4748 | no |
| BF.B | 2022-08-08 | 69.25 | 0.3574 | — | no |
| BKR | 2022-08-08 | 21.91 | 0.4370 | 0.6100 | no |
| CAT | 2022-08-08 | 175.20 | 0.4767 | 0.5073 | no |
| CE | 2022-08-08 | 106.60 | 0.6097 | 0.4960 | no |
| CME | 2022-08-08 | 170.05 | 0.3440 | 0.4973 | no |
| COP | 2022-08-08 | 80.19 | 0.8983 | 0.6028 | no |
| CVX | 2022-08-08 | 129.54 | 0.4157 | 0.5383 | no |
| DAL | 2022-08-08 | 32.13 | 0.5837 | 0.4606 | no |
| DE | 2022-08-08 | 328.81 | 0.4247 | 0.4881 | no |
| DVN | 2022-08-08 | 47.01 | 1.2820 | 0.6779 | no |
| EOG | 2022-08-08 | 90.75 | 1.1576 | 0.6980 | no |
| ES | 2022-08-08 | 76.78 | 0.3624 | 0.4835 | no |
| EXC | 2022-08-08 | 38.84 | 0.3433 | 0.4821 | no |
| FANG | 2022-08-08 | 101.48 | 1.0379 | 0.6735 | no |
| FCX | 2022-08-08 | 29.29 | 0.7685 | 0.6499 | no |
| FITB | 2022-08-08 | 29.71 | 0.3591 | 0.4952 | no |
| FRT | 2022-08-08 | 90.16 | 0.4197 | 0.4578 | no |
| GM | 2022-08-08 | 35.10 | 0.6875 | 0.4439 | no |
| HAL | 2022-08-08 | 25.51 | 1.2737 | 0.5683 | no |
| HLT | 2022-08-08 | 130.09 | 0.5927 | 0.4542 | no |
| HPQ | 2022-08-08 | 28.56 | 0.6132 | 0.5443 | no |
| ILMN | 2022-08-08 | 220.35 | 0.4675 | 0.4625 | no |
| IVZ | 2022-08-08 | 14.91 | 0.3617 | 0.4783 | no |
| KMI | 2022-08-08 | 14.19 | 0.4197 | 0.4655 | no |
| L | 2022-08-08 | 54.71 | 0.6012 | — | no |
| LIN | 2022-08-08 | 288.82 | 0.6925 | 0.5068 | no |
| LNC | 2022-08-08 | 36.74 | 0.7064 | 0.4627 | no |
| MOS | 2022-08-08 | 46.87 | 0.4609 | 0.5421 | no |
| MPC | 2022-08-08 | 82.91 | 0.6149 | 0.5796 | no |
| MU | 2022-08-08 | 60.80 | 0.7718 | 0.5594 | no |
| OGN | 2022-08-08 | 26.53 | 1.2730 | 0.5249 | no |
| OKE | 2022-08-08 | 47.62 | 0.4600 | 0.5045 | no |
| OXY | 2022-08-08 | 54.52 | 0.9237 | 0.6080 | no |
| PSX | 2022-08-08 | 72.38 | 1.0753 | 0.5410 | no |
| RF | 2022-08-08 | 17.88 | 0.3792 | 0.5014 | no |
| RHI | 2022-08-08 | 65.61 | 0.5448 | 0.4484 | no |
| SLB | 2022-08-08 | 31.41 | 1.3927 | 0.6278 | no |
| SWK | 2022-08-08 | 81.97 | 0.3862 | 0.4558 | no |
| TER | 2022-08-08 | 98.54 | 0.6559 | 0.5205 | no |
| UAL | 2022-08-08 | 38.01 | 0.5433 | 0.4695 | no |
| VLO | 2022-08-08 | 93.75 | 1.2225 | 0.5237 | no |
| VRTX | 2022-08-08 | 288.65 | 0.5371 | 0.6491 | no |
| VTRS | 2022-08-08 | 8.47 | 1.5017 | 0.5270 | no |
| WDC | 2022-08-08 | 35.18 | 0.8095 | 0.5489 | no |
| WMB | 2022-08-08 | 26.91 | 0.7239 | 0.5519 | no |
| XOM | 2022-08-08 | 76.98 | 0.5966 | 0.5666 | no |