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 | 4.34% | 4.34% | 2022-11-15 | -15.10% |
| buy & hold | participation factor overlay | 6 months | complete | 5.21% | 6.73% | 2023-01-26 | -15.10% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.00% | 3.00% | 2022-11-15 | -15.57% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.20% | 8.53% | 2023-02-02 | -15.57% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.16% | 1.33% | 2022-08-18 | -16.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.67% | 6.02% | 2023-02-02 | -16.85% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.30% | 1.21% | 2022-08-18 | -17.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.13% | 7.15% | 2023-02-02 | -17.27% |
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 | 0.4512 | 0.5481 | no |
| AMAT | 2022-08-15 | 105.97 | 0.4010 | 0.5565 | no |
| APA | 2022-08-15 | 28.64 | 0.4868 | 0.6554 | no |
| AVGO | 2022-08-15 | 51.92 | 0.3035 | 0.5673 | no |
| CNP | 2022-08-15 | 29.08 | 0.3620 | 0.4499 | no |
| COP | 2022-08-15 | 85.21 | 0.7193 | 0.6028 | no |
| DAL | 2022-08-15 | 33.39 | 0.6589 | 0.4605 | no |
| DE | 2022-08-15 | 343.57 | 0.4169 | 0.4881 | no |
| DVA | 2022-08-15 | 92.32 | 0.4040 | 0.4484 | no |
| DVN | 2022-08-15 | 52.37 | 0.3948 | 0.6779 | no |
| EMN | 2022-08-15 | 84.37 | 0.4902 | 0.5060 | no |
| EMR | 2022-08-15 | 81.82 | 0.3704 | 0.4485 | no |
| EOG | 2022-08-15 | 92.85 | 0.7696 | 0.6980 | no |
| ES | 2022-08-15 | 78.60 | 0.3823 | 0.4835 | no |
| FANG | 2022-08-15 | 107.11 | 0.3027 | 0.6735 | no |
| FCX | 2022-08-15 | 28.62 | 0.6177 | 0.6499 | no |
| FE | 2022-08-15 | 34.64 | 0.4437 | 0.5029 | no |
| FRT | 2022-08-15 | 93.76 | 0.5468 | 0.4578 | no |
| GIS | 2022-08-15 | 65.17 | 0.3328 | 0.4988 | no |
| GLW | 2022-08-15 | 33.60 | 0.3115 | 0.4436 | no |
| HAL | 2022-08-15 | 25.93 | 0.5684 | 0.5683 | no |
| HLT | 2022-08-15 | 134.56 | 0.5543 | 0.4535 | no |
| ILMN | 2022-08-15 | 202.55 | 0.2907 | 0.4451 | no |
| INCY | 2022-08-15 | 73.75 | 0.4355 | 0.5200 | no |
| INTC | 2022-08-15 | 34.35 | 0.3584 | 0.5275 | no |
| IVZ | 2022-08-15 | 15.75 | 0.3336 | 0.4783 | no |
| KIM | 2022-08-15 | 19.12 | 0.3525 | 0.4460 | no |
| KMI | 2022-08-15 | 14.85 | 0.3681 | 0.4655 | no |
| LIN | 2022-08-15 | 292.77 | 0.3514 | 0.5068 | no |
| MMM | 2022-08-15 | 109.24 | 0.5363 | 0.4635 | no |
| MOS | 2022-08-15 | 47.19 | 0.4256 | 0.5421 | no |
| MU | 2022-08-15 | 63.46 | 0.7798 | 0.5594 | no |
| NI | 2022-08-15 | 27.39 | 0.3831 | 0.5185 | no |
| OGN | 2022-08-15 | 26.23 | 0.5089 | 0.5249 | no |
| OKE | 2022-08-15 | 50.91 | 0.5691 | 0.4954 | no |
| OMC | 2022-08-15 | 62.61 | 0.4164 | 0.4575 | no |
| PNW | 2022-08-15 | 65.19 | 0.4040 | 0.5149 | no |
| PSX | 2022-08-15 | 75.20 | 0.4444 | 0.5411 | no |
| ROP | 2022-08-15 | 426.30 | 0.2926 | 0.4603 | no |
| SLB | 2022-08-15 | 32.36 | 0.8333 | 0.6278 | no |
| SO | 2022-08-15 | 67.65 | 0.4021 | 0.4664 | no |
| SWK | 2022-08-15 | 83.73 | 0.3562 | 0.4558 | no |
| TER | 2022-08-15 | 102.30 | 0.7067 | 0.5205 | no |
| TGT | 2022-08-15 | 148.80 | 0.3432 | 0.6671 | no |
| UAL | 2022-08-15 | 39.42 | 0.5541 | 0.4694 | no |
| VLO | 2022-08-15 | 99.02 | 0.6470 | 0.5237 | no |
| WDC | 2022-08-15 | 37.64 | 0.5696 | 0.5489 | no |
| WMB | 2022-08-15 | 27.89 | 0.4671 | 0.5519 | no |
| ZBH | 2022-08-15 | 112.67 | 0.3361 | 0.4965 | no |
| ZTS | 2022-08-15 | 166.66 | 0.3117 | 0.4922 | no |