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 | 8.41% | 8.41% | 2022-11-08 | -15.97% |
| buy & hold | participation factor overlay | 6 months | complete | 13.65% | 15.35% | 2023-01-26 | -15.97% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.43% | 6.67% | 2022-08-25 | -16.20% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 14.89% | 16.01% | 2023-02-07 | -16.20% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.42% | 5.28% | 2022-08-12 | -17.48% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.11% | 9.18% | 2023-02-02 | -17.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.15% | 5.82% | 2022-08-12 | -19.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.85% | 7.43% | 2023-02-02 | -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 | 2022-08-08 | 27.45 | 1.5222 | 0.6554 | no |
| BALL | 2022-08-08 | 53.25 | 0.4972 | 0.4748 | no |
| BKR | 2022-08-08 | 21.91 | 0.4398 | 0.6100 | no |
| CE | 2022-08-08 | 106.60 | 0.4726 | 0.4960 | no |
| COP | 2022-08-08 | 80.19 | 0.7120 | 0.6028 | no |
| COST | 2022-08-08 | 518.73 | 0.3489 | 0.6175 | no |
| CVX | 2022-08-08 | 129.54 | 0.3513 | 0.5383 | no |
| DAL | 2022-08-08 | 32.13 | 0.5907 | 0.4606 | no |
| DVN | 2022-08-08 | 47.01 | 1.3282 | 0.6779 | no |
| EOG | 2022-08-08 | 90.75 | 1.1724 | 0.6980 | no |
| ES | 2022-08-08 | 76.78 | 0.3567 | 0.4835 | no |
| FANG | 2022-08-08 | 101.48 | 0.8595 | 0.6735 | no |
| FCX | 2022-08-08 | 29.29 | 0.7265 | 0.6499 | no |
| FITB | 2022-08-08 | 29.71 | 0.3989 | 0.4952 | no |
| FRT | 2022-08-08 | 90.16 | 0.4251 | 0.4578 | no |
| GE | 2022-08-08 | 46.33 | 0.4246 | 0.4603 | no |
| GM | 2022-08-08 | 35.10 | 0.4984 | 0.4439 | no |
| HAL | 2022-08-08 | 25.51 | 1.5866 | 0.5683 | no |
| HLT | 2022-08-08 | 130.09 | 0.4283 | 0.4542 | no |
| HPQ | 2022-08-08 | 28.56 | 0.5036 | 0.5443 | no |
| HSIC | 2022-08-08 | 76.37 | 0.3364 | 0.4893 | no |
| ILMN | 2022-08-08 | 220.35 | 0.4243 | 0.4625 | no |
| JCI | 2022-08-08 | 51.65 | 0.3430 | 0.4599 | no |
| LIN | 2022-08-08 | 288.82 | 0.6810 | 0.5068 | no |
| LNC | 2022-08-08 | 36.74 | 0.6766 | 0.4627 | no |
| MGM | 2022-08-08 | 35.04 | 0.3895 | 0.4692 | no |
| MPC | 2022-08-08 | 82.91 | 0.4697 | 0.5796 | no |
| MU | 2022-08-08 | 60.80 | 0.8689 | 0.5594 | no |
| NWSA | 2022-08-08 | 16.42 | 0.3647 | — | no |
| OGN | 2022-08-08 | 26.53 | 1.2112 | 0.5249 | no |
| OKE | 2022-08-08 | 47.62 | 0.4825 | 0.5045 | no |
| OXY | 2022-08-08 | 54.52 | 0.8797 | 0.6080 | no |
| PSX | 2022-08-08 | 72.38 | 0.9699 | 0.5410 | no |
| RF | 2022-08-08 | 17.88 | 0.4161 | 0.5014 | no |
| RHI | 2022-08-08 | 65.61 | 0.5596 | 0.4484 | no |
| SLB | 2022-08-08 | 31.41 | 1.4135 | 0.6278 | no |
| SPG | 2022-08-08 | 85.73 | 0.4317 | 0.4742 | no |
| SWK | 2022-08-08 | 81.97 | 0.4535 | 0.4558 | no |
| TDG | 2022-08-08 | 534.42 | 0.4005 | 0.5959 | no |
| TER | 2022-08-08 | 98.54 | 0.6205 | 0.5205 | no |
| TGT | 2022-08-08 | 144.32 | 0.3806 | 0.6674 | no |
| TRV | 2022-08-08 | 147.88 | 0.3657 | 0.4752 | no |
| UAL | 2022-08-08 | 38.01 | 0.6270 | 0.4695 | no |
| VLO | 2022-08-08 | 93.75 | 1.3716 | 0.5237 | no |
| VRTX | 2022-08-08 | 288.65 | 0.4390 | 0.6491 | no |
| VTRS | 2022-08-08 | 8.47 | 1.4522 | 0.5270 | no |
| WDC | 2022-08-08 | 35.18 | 0.8740 | 0.5489 | no |
| WFC | 2022-08-08 | 39.74 | 0.4960 | 0.4894 | no |
| WMB | 2022-08-08 | 26.91 | 0.5977 | 0.5519 | no |
| XOM | 2022-08-08 | 76.98 | 0.7439 | 0.5666 | no |