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 | 3.39% | 4.05% | 2022-11-15 | -15.90% |
| buy & hold | participation factor overlay | 6 months | complete | 2.37% | 8.35% | 2023-02-02 | -15.90% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.07% | 2.81% | 2022-11-15 | -16.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.95% | 10.60% | 2023-02-02 | -16.72% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.69% | 2.25% | 2022-08-25 | -16.16% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.73% | 7.52% | 2023-02-02 | -16.16% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.17% | 2.53% | 2022-08-25 | -16.61% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.98% | 6.21% | 2023-02-02 | -16.61% |
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 | 2022-08-22 | 76.15 | 0.4258 | 0.5481 | no |
| AMAT | 2022-08-22 | 99.21 | 0.8267 | 0.5592 | no |
| APA | 2022-08-22 | 30.97 | 0.4520 | 0.6554 | no |
| APH | 2022-08-22 | 18.79 | 0.4541 | 0.4554 | no |
| CNP | 2022-08-22 | 29.30 | 0.4344 | 0.4499 | no |
| DAL | 2022-08-22 | 31.37 | 1.0509 | 0.4605 | no |
| DOW | 2022-08-22 | 42.91 | 0.7231 | 0.5194 | no |
| DVA | 2022-08-22 | 92.76 | 0.4179 | 0.4484 | no |
| EFX | 2022-08-22 | 199.42 | 0.5990 | 0.4466 | no |
| EMN | 2022-08-22 | 81.58 | 0.5279 | 0.5060 | no |
| EOG | 2022-08-22 | 99.74 | 0.4109 | 0.6967 | no |
| ES | 2022-08-22 | 78.78 | 0.6056 | 0.4835 | no |
| FANG | 2022-08-22 | 110.36 | 0.5751 | 0.6724 | no |
| FCX | 2022-08-22 | 28.31 | 0.8115 | 0.6479 | no |
| FE | 2022-08-22 | 34.75 | 0.4966 | 0.5029 | no |
| FRT | 2022-08-22 | 91.74 | 0.5820 | 0.4578 | no |
| HAL | 2022-08-22 | 26.53 | 0.5018 | 0.5652 | no |
| HLT | 2022-08-22 | 130.53 | 0.6443 | 0.4535 | no |
| INTC | 2022-08-22 | 33.30 | 0.4181 | 0.5275 | no |
| IRM | 2022-08-22 | 46.69 | 0.5996 | 0.5127 | no |
| ITW | 2022-08-22 | 191.67 | 0.4071 | 0.4847 | no |
| LIN | 2022-08-22 | 280.08 | 0.4427 | 0.5068 | no |
| LUV | 2022-08-22 | 34.20 | 0.5933 | 0.4834 | no |
| LYB | 2022-08-22 | 67.45 | 0.4385 | 0.5236 | no |
| MCO | 2022-08-22 | 296.67 | 0.4474 | 0.4661 | no |
| MOS | 2022-08-22 | 47.02 | 0.5258 | 0.5421 | no |
| MRNA | 2022-08-22 | 145.25 | 0.4014 | 0.5252 | no |
| MU | 2022-08-22 | 58.42 | 1.2236 | 0.5594 | no |
| NI | 2022-08-22 | 27.57 | 0.5210 | 0.5185 | no |
| NXPI | 2022-08-22 | 163.52 | 0.4384 | 0.5292 | no |
| OKE | 2022-08-22 | 51.41 | 0.4906 | 0.4954 | no |
| PNW | 2022-08-22 | 65.25 | 0.6028 | 0.5149 | no |
| PSX | 2022-08-22 | 76.45 | 0.5070 | 0.5411 | no |
| QRVO | 2022-08-22 | 101.70 | 0.5889 | — | no |
| ROP | 2022-08-22 | 418.04 | 0.5785 | 0.4602 | no |
| SBAC | 2022-08-22 | 318.51 | 0.4216 | 0.4967 | no |
| SLB | 2022-08-22 | 33.23 | 0.9117 | 0.6266 | no |
| SNA | 2022-08-22 | 204.88 | 0.4513 | 0.4940 | no |
| SRE | 2022-08-22 | 74.51 | 0.4531 | 0.5004 | no |
| SWK | 2022-08-22 | 82.71 | 0.6247 | 0.4558 | no |
| SWKS | 2022-08-22 | 93.56 | 0.5252 | 0.5371 | no |
| TEL | 2022-08-22 | 124.59 | 0.4630 | — | no |
| TER | 2022-08-22 | 93.06 | 0.6766 | 0.5205 | no |
| TXN | 2022-08-22 | 156.32 | 0.4958 | 0.5088 | no |
| UAL | 2022-08-22 | 36.50 | 0.6485 | 0.4694 | no |
| VLO | 2022-08-22 | 105.79 | 0.6888 | 0.5237 | no |
| VMC | 2022-08-22 | 167.39 | 0.7457 | 0.4662 | no |
| VTRS | 2022-08-22 | 8.74 | 0.4764 | 0.5270 | no |
| WDC | 2022-08-22 | 35.02 | 0.7611 | 0.5489 | no |
| WMB | 2022-08-22 | 29.06 | 0.4795 | 0.5519 | no |