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 | 1.82% | 2.33% | 2022-11-15 | -15.84% |
| buy & hold | participation factor overlay | 6 months | complete | 3.15% | 9.22% | 2023-02-02 | -15.84% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.82% | 1.66% | 2022-11-15 | -16.05% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.30% | 10.89% | 2023-02-02 | -16.05% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.07% | 1.42% | 2022-08-25 | -15.90% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.58% | 7.72% | 2023-02-02 | -15.90% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.19% | 1.55% | 2022-08-25 | -16.10% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.67% | 8.35% | 2023-02-02 | -16.10% |
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 |
|---|---|---|---|---|---|
| ALGN | 2022-08-22 | 263.14 | 0.3791 | 0.5233 | no |
| AMAT | 2022-08-22 | 99.21 | 0.9337 | 0.5592 | no |
| APA | 2022-08-22 | 30.97 | 0.3941 | 0.6554 | no |
| APH | 2022-08-22 | 18.79 | 0.4653 | 0.4554 | no |
| BAC | 2022-08-22 | 31.22 | 0.5328 | 0.4962 | no |
| BRK.B | 2022-08-22 | 294.00 | 0.4477 | — | no |
| CB | 2022-08-22 | 187.61 | 0.3914 | 0.4867 | no |
| DAL | 2022-08-22 | 31.37 | 0.8277 | 0.4605 | no |
| DVA | 2022-08-22 | 92.76 | 0.3995 | 0.4484 | no |
| EFX | 2022-08-22 | 199.42 | 0.5962 | 0.4466 | no |
| EMN | 2022-08-22 | 81.58 | 0.5256 | 0.5060 | no |
| ES | 2022-08-22 | 78.78 | 0.7301 | 0.4835 | no |
| FCX | 2022-08-22 | 28.31 | 0.6242 | 0.6479 | no |
| FE | 2022-08-22 | 34.75 | 0.5198 | 0.5029 | no |
| FRT | 2022-08-22 | 91.74 | 0.5615 | 0.4578 | no |
| GIS | 2022-08-22 | 65.84 | 0.4772 | 0.4988 | no |
| HAL | 2022-08-22 | 26.53 | 0.5136 | 0.5652 | no |
| HLT | 2022-08-22 | 130.53 | 0.6096 | 0.4535 | no |
| HON | 2022-08-22 | 181.59 | 0.4000 | 0.4702 | no |
| IFF | 2022-08-22 | 105.31 | 0.4026 | 0.4967 | no |
| INTC | 2022-08-22 | 33.30 | 0.5083 | 0.5275 | no |
| ITW | 2022-08-22 | 191.67 | 0.4362 | 0.4847 | no |
| IVZ | 2022-08-22 | 14.85 | 0.4005 | 0.4783 | no |
| KMI | 2022-08-22 | 15.15 | 0.5123 | 0.4655 | no |
| LIN | 2022-08-22 | 280.08 | 0.5875 | 0.5068 | no |
| MRNA | 2022-08-22 | 145.25 | 0.3657 | 0.5252 | no |
| MU | 2022-08-22 | 58.42 | 0.9113 | 0.5594 | no |
| NI | 2022-08-22 | 27.57 | 0.4320 | 0.5185 | no |
| OKE | 2022-08-22 | 51.41 | 0.4670 | 0.4954 | no |
| PH | 2022-08-22 | 275.94 | 0.4138 | 0.4920 | no |
| PNW | 2022-08-22 | 65.25 | 0.6682 | 0.5149 | no |
| PPL | 2022-08-22 | 26.54 | 0.3991 | 0.4668 | no |
| QRVO | 2022-08-22 | 101.70 | 0.5523 | — | no |
| ROP | 2022-08-22 | 418.04 | 0.4495 | 0.4602 | no |
| SBAC | 2022-08-22 | 318.51 | 0.4040 | 0.4967 | no |
| SLB | 2022-08-22 | 33.23 | 0.6581 | 0.6266 | no |
| SNA | 2022-08-22 | 204.88 | 0.4015 | 0.4940 | no |
| SO | 2022-08-22 | 69.12 | 0.3585 | 0.4664 | no |
| SWK | 2022-08-22 | 82.71 | 0.6298 | 0.4558 | no |
| SWKS | 2022-08-22 | 93.56 | 0.5424 | 0.5371 | no |
| TER | 2022-08-22 | 93.06 | 0.5346 | 0.5205 | no |
| TXN | 2022-08-22 | 156.32 | 0.3891 | 0.5088 | no |
| TXT | 2022-08-22 | 64.72 | 0.4331 | 0.5801 | no |
| UAL | 2022-08-22 | 36.50 | 0.4026 | 0.4694 | no |
| UHS | 2022-08-22 | 104.38 | 0.4658 | 0.4734 | no |
| VMC | 2022-08-22 | 167.39 | 0.6662 | 0.4662 | no |
| VTRS | 2022-08-22 | 8.74 | 0.4641 | 0.5270 | no |
| WDC | 2022-08-22 | 35.02 | 0.4138 | 0.5489 | no |
| WMB | 2022-08-22 | 29.06 | 0.5996 | 0.5519 | no |
| WST | 2022-08-22 | 311.51 | 0.3584 | 0.5443 | no |