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 | 1.74% | 1.94% | 2022-11-11 | -15.52% |
| buy & hold | participation factor overlay | 6 months | complete | 3.61% | 4.56% | 2023-01-13 | -15.52% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.55% | 1.71% | 2022-11-11 | -15.59% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.88% | 7.02% | 2023-02-02 | -15.59% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.34% | 1.35% | 2022-08-18 | -16.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.28% | 6.82% | 2023-02-02 | -16.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.50% | 1.17% | 2022-08-16 | -17.06% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.93% | 6.71% | 2023-02-02 | -17.06% |
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 |
|---|---|---|---|---|---|
| ADM | 2022-08-15 | 75.15 | 0.2689 | 0.5481 | no |
| APA | 2022-08-15 | 28.64 | 0.3616 | 0.6554 | no |
| C | 2022-08-15 | 46.94 | 0.2995 | 0.5034 | no |
| CHD | 2022-08-15 | 83.96 | 0.2811 | 0.4713 | no |
| CNP | 2022-08-15 | 29.08 | 0.3442 | 0.4499 | no |
| CSX | 2022-08-15 | 32.34 | 0.3013 | 0.5232 | no |
| D | 2022-08-15 | 67.97 | 0.2761 | 0.4478 | no |
| DAL | 2022-08-15 | 33.39 | 0.3303 | 0.4605 | no |
| DD | 2022-08-15 | 71.87 | 0.3443 | 0.5037 | no |
| DE | 2022-08-15 | 343.57 | 0.4552 | 0.4881 | no |
| EMN | 2022-08-15 | 84.37 | 0.5166 | 0.5060 | no |
| EMR | 2022-08-15 | 81.82 | 0.3217 | 0.4485 | no |
| EOG | 2022-08-15 | 92.85 | 0.3536 | 0.6980 | no |
| ES | 2022-08-15 | 78.60 | 0.3309 | 0.4835 | no |
| EXC | 2022-08-15 | 39.70 | 0.3144 | 0.4821 | no |
| FCX | 2022-08-15 | 28.62 | 0.4333 | 0.6499 | no |
| FE | 2022-08-15 | 34.64 | 0.3204 | 0.5029 | no |
| FRT | 2022-08-15 | 93.76 | 0.5125 | 0.4578 | no |
| GLW | 2022-08-15 | 33.60 | 0.2715 | 0.4436 | no |
| HAL | 2022-08-15 | 25.93 | 0.5756 | 0.5683 | no |
| HLT | 2022-08-15 | 134.56 | 0.4172 | 0.4535 | no |
| HPQ | 2022-08-15 | 29.05 | 0.2821 | 0.5443 | no |
| ILMN | 2022-08-15 | 202.55 | 0.4381 | 0.4451 | no |
| IVZ | 2022-08-15 | 15.75 | 0.3845 | 0.4783 | no |
| KIM | 2022-08-15 | 19.12 | 0.2944 | 0.4460 | no |
| KMI | 2022-08-15 | 14.85 | 0.5378 | 0.4655 | no |
| LDOS | 2022-08-15 | 94.45 | 0.3333 | 0.5720 | no |
| LIN | 2022-08-15 | 292.77 | 0.4746 | 0.5068 | no |
| MMM | 2022-08-15 | 109.24 | 0.3720 | 0.4635 | no |
| MO | 2022-08-15 | 32.50 | 0.2822 | 0.4586 | no |
| MPC | 2022-08-15 | 86.42 | 0.3559 | 0.5797 | no |
| MTD | 2022-08-15 | 1358.32 | 0.2885 | 0.4438 | no |
| MU | 2022-08-15 | 63.46 | 0.5066 | 0.5594 | no |
| NI | 2022-08-15 | 27.39 | 0.4679 | 0.5185 | no |
| OGN | 2022-08-15 | 26.23 | 0.8144 | 0.5249 | no |
| OKE | 2022-08-15 | 50.91 | 0.5243 | 0.4954 | no |
| ORCL | 2022-08-15 | 74.86 | 0.3281 | 0.5404 | no |
| OXY | 2022-08-15 | 59.26 | 0.3887 | 0.6081 | no |
| PNW | 2022-08-15 | 65.19 | 0.5442 | 0.5149 | no |
| SLB | 2022-08-15 | 32.36 | 0.6182 | 0.6278 | no |
| SO | 2022-08-15 | 67.65 | 0.3927 | 0.4664 | no |
| SWK | 2022-08-15 | 83.73 | 0.3390 | 0.4558 | no |
| TER | 2022-08-15 | 102.30 | 0.3493 | 0.5205 | no |
| TGT | 2022-08-15 | 148.80 | 0.3433 | 0.6671 | no |
| VMC | 2022-08-15 | 171.36 | 0.3705 | 0.4662 | no |
| WDC | 2022-08-15 | 37.64 | 0.3131 | 0.5489 | no |
| WEC | 2022-08-15 | 91.87 | 0.2977 | 0.4683 | no |
| WMB | 2022-08-15 | 27.89 | 0.4084 | 0.5519 | no |
| WRB | 2022-08-15 | 39.69 | 0.3072 | 0.4549 | no |
| ZBH | 2022-08-15 | 112.67 | 0.4405 | 0.4965 | no |