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 | 5.41% | 5.61% | 2022-11-11 | -15.68% |
| buy & hold | participation factor overlay | 6 months | complete | 5.96% | 7.30% | 2023-01-26 | -15.68% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.66% | 4.09% | 2022-11-11 | -15.92% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.66% | 8.75% | 2023-02-02 | -15.92% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.74% | 1.49% | 2022-08-18 | -17.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.14% | 5.40% | 2023-02-02 | -17.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.47% | 1.09% | 2022-08-16 | -18.89% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.82% | 3.21% | 2023-02-02 | -18.89% |
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 | 0.5480 | 0.5481 | no |
| AMAT | 2022-08-15 | 105.97 | 0.4462 | 0.5565 | no |
| AMCR | 2022-08-15 | 50.96 | 0.2769 | 0.4527 | no |
| APA | 2022-08-15 | 28.64 | 0.4951 | 0.6554 | no |
| BKR | 2022-08-15 | 22.69 | 0.3463 | 0.6100 | no |
| COP | 2022-08-15 | 85.21 | 0.4474 | 0.6028 | no |
| DAL | 2022-08-15 | 33.39 | 0.5035 | 0.4605 | no |
| DD | 2022-08-15 | 71.87 | 0.3698 | 0.5037 | no |
| DVA | 2022-08-15 | 92.32 | 0.3349 | 0.4484 | no |
| DVN | 2022-08-15 | 52.37 | 0.2864 | 0.6779 | no |
| EMN | 2022-08-15 | 84.37 | 0.4715 | 0.5060 | no |
| EMR | 2022-08-15 | 81.82 | 0.5357 | 0.4485 | no |
| EOG | 2022-08-15 | 92.85 | 0.5319 | 0.6980 | no |
| ES | 2022-08-15 | 78.60 | 0.3275 | 0.4835 | no |
| FANG | 2022-08-15 | 107.11 | 0.3261 | 0.6735 | no |
| FCX | 2022-08-15 | 28.62 | 0.5388 | 0.6499 | no |
| FE | 2022-08-15 | 34.64 | 0.4469 | 0.5029 | no |
| FRT | 2022-08-15 | 93.76 | 0.4648 | 0.4578 | no |
| GLW | 2022-08-15 | 33.60 | 0.3835 | 0.4436 | no |
| HAL | 2022-08-15 | 25.93 | 0.5231 | 0.5683 | no |
| HIG | 2022-08-15 | 62.77 | 0.3281 | 0.4758 | no |
| HLT | 2022-08-15 | 134.56 | 0.5567 | 0.4535 | no |
| ILMN | 2022-08-15 | 202.55 | 0.3381 | 0.4451 | no |
| INTC | 2022-08-15 | 34.35 | 0.3570 | 0.5275 | no |
| IRM | 2022-08-15 | 46.18 | 0.3408 | 0.5127 | no |
| IVZ | 2022-08-15 | 15.75 | 0.3177 | 0.4783 | no |
| KMI | 2022-08-15 | 14.85 | 0.4040 | 0.4655 | no |
| LIN | 2022-08-15 | 292.77 | 0.3196 | 0.5068 | no |
| LLY | 2022-08-15 | 299.66 | 0.3668 | 0.5577 | no |
| MCO | 2022-08-15 | 310.75 | 0.3251 | 0.4661 | no |
| MMM | 2022-08-15 | 109.24 | 0.5201 | 0.4635 | no |
| MTD | 2022-08-15 | 1358.32 | 0.3053 | 0.4438 | no |
| MU | 2022-08-15 | 63.46 | 0.6927 | 0.5594 | no |
| NI | 2022-08-15 | 27.39 | 0.3296 | 0.5185 | no |
| NRG | 2022-08-15 | 37.77 | 0.3488 | 0.4754 | no |
| OGN | 2022-08-15 | 26.23 | 0.7430 | 0.5249 | no |
| OKE | 2022-08-15 | 50.91 | 0.6713 | 0.4954 | no |
| ORCL | 2022-08-15 | 74.86 | 0.3382 | 0.5404 | no |
| OXY | 2022-08-15 | 59.26 | 0.3866 | 0.6081 | no |
| SLB | 2022-08-15 | 32.36 | 0.8036 | 0.6278 | no |
| SO | 2022-08-15 | 67.65 | 0.4462 | 0.4664 | no |
| SWK | 2022-08-15 | 83.73 | 0.3368 | 0.4558 | no |
| TER | 2022-08-15 | 102.30 | 0.6873 | 0.5205 | no |
| TRV | 2022-08-15 | 157.21 | 0.3346 | 0.4749 | no |
| UAL | 2022-08-15 | 39.42 | 0.5651 | 0.4694 | no |
| VLO | 2022-08-15 | 99.02 | 0.5163 | 0.5237 | no |
| VMC | 2022-08-15 | 171.36 | 0.3941 | 0.4662 | no |
| WDC | 2022-08-15 | 37.64 | 0.5121 | 0.5489 | no |
| WMB | 2022-08-15 | 27.89 | 0.3089 | 0.5519 | no |
| ZBH | 2022-08-15 | 112.67 | 0.3702 | 0.4965 | no |