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 | 5.68% | 5.68% | 2022-11-15 | -15.20% |
| buy & hold | participation factor overlay | 6 months | complete | 6.40% | 8.11% | 2023-01-26 | -15.20% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.89% | 4.92% | 2022-11-11 | -15.65% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.49% | 9.39% | 2023-02-02 | -15.65% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.53% | 1.42% | 2022-08-18 | -16.19% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.46% | 6.62% | 2023-02-02 | -16.19% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.00% | 1.32% | 2022-08-18 | -16.92% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.46% | 4.56% | 2023-02-02 | -16.92% |
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 | 0.2856 | 0.5481 | no |
| AMAT | 2022-08-15 | 105.97 | 0.3143 | 0.5565 | no |
| APA | 2022-08-15 | 28.64 | 0.4701 | 0.6554 | no |
| CNP | 2022-08-15 | 29.08 | 0.3315 | 0.4499 | no |
| COP | 2022-08-15 | 85.21 | 0.6291 | 0.6028 | no |
| DAL | 2022-08-15 | 33.39 | 0.6316 | 0.4605 | no |
| DVN | 2022-08-15 | 52.37 | 0.6248 | 0.6779 | no |
| EMN | 2022-08-15 | 84.37 | 0.3755 | 0.5060 | no |
| EMR | 2022-08-15 | 81.82 | 0.3868 | 0.4485 | no |
| EOG | 2022-08-15 | 92.85 | 0.6900 | 0.6980 | no |
| ES | 2022-08-15 | 78.60 | 0.3133 | 0.4835 | no |
| EXC | 2022-08-15 | 39.70 | 0.2998 | 0.4821 | no |
| FANG | 2022-08-15 | 107.11 | 0.4355 | 0.6735 | no |
| FCX | 2022-08-15 | 28.62 | 0.5620 | 0.6499 | no |
| FE | 2022-08-15 | 34.64 | 0.3581 | 0.5029 | no |
| FRT | 2022-08-15 | 93.76 | 0.4983 | 0.4578 | no |
| GLW | 2022-08-15 | 33.60 | 0.3739 | 0.4436 | no |
| HAL | 2022-08-15 | 25.93 | 0.6495 | 0.5683 | no |
| HIG | 2022-08-15 | 62.77 | 0.3450 | 0.4758 | no |
| HLT | 2022-08-15 | 134.56 | 0.5235 | 0.4535 | no |
| ILMN | 2022-08-15 | 202.55 | 0.3606 | 0.4451 | no |
| INCY | 2022-08-15 | 73.75 | 0.3552 | 0.5200 | no |
| IVZ | 2022-08-15 | 15.75 | 0.2860 | 0.4783 | no |
| KMI | 2022-08-15 | 14.85 | 0.5077 | 0.4655 | no |
| LDOS | 2022-08-15 | 94.45 | 0.2934 | 0.5720 | no |
| LIN | 2022-08-15 | 292.77 | 0.3813 | 0.5068 | no |
| MMM | 2022-08-15 | 109.24 | 0.3079 | 0.4635 | no |
| MOS | 2022-08-15 | 47.19 | 0.3662 | 0.5421 | no |
| MPC | 2022-08-15 | 86.42 | 0.4690 | 0.5797 | no |
| MU | 2022-08-15 | 63.46 | 0.6973 | 0.5594 | no |
| NI | 2022-08-15 | 27.39 | 0.3420 | 0.5185 | no |
| NTRS | 2022-08-15 | 91.05 | 0.3060 | 0.4930 | no |
| NXPI | 2022-08-15 | 171.77 | 0.3223 | 0.5292 | no |
| OGN | 2022-08-15 | 26.23 | 0.6485 | 0.5249 | no |
| OKE | 2022-08-15 | 50.91 | 0.5814 | 0.4954 | no |
| ORCL | 2022-08-15 | 74.86 | 0.3215 | 0.5404 | no |
| PNW | 2022-08-15 | 65.19 | 0.3098 | 0.5149 | no |
| PSX | 2022-08-15 | 75.20 | 0.4199 | 0.5411 | no |
| ROP | 2022-08-15 | 426.30 | 0.3978 | 0.4603 | no |
| SLB | 2022-08-15 | 32.36 | 0.7574 | 0.6278 | no |
| SO | 2022-08-15 | 67.65 | 0.3553 | 0.4664 | no |
| TER | 2022-08-15 | 102.30 | 0.3505 | 0.5205 | no |
| TGT | 2022-08-15 | 148.80 | 0.3170 | 0.6671 | no |
| TXT | 2022-08-15 | 67.21 | 0.3191 | 0.5791 | no |
| UAL | 2022-08-15 | 39.42 | 0.4031 | 0.4694 | no |
| VLO | 2022-08-15 | 99.02 | 0.7148 | 0.5237 | no |
| VTRS | 2022-08-15 | 9.16 | 0.3190 | 0.5270 | no |
| WDC | 2022-08-15 | 37.64 | 0.6532 | 0.5489 | no |
| WMB | 2022-08-15 | 27.89 | 0.5180 | 0.5519 | no |
| ZBH | 2022-08-15 | 112.67 | 0.4706 | 0.4965 | no |