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 | 2.59% | 3.75% | 2022-11-15 | -16.53% |
| buy & hold | participation factor overlay | 6 months | complete | 3.99% | 9.45% | 2023-02-02 | -16.53% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.52% | 4.23% | 2022-11-15 | -16.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.87% | 11.83% | 2023-02-02 | -16.72% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.29% | 2.11% | 2022-08-25 | -16.71% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.74% | 7.01% | 2023-02-02 | -16.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.10% | 2.64% | 2022-08-25 | -17.25% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.67% | 8.70% | 2023-02-02 | -17.25% |
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 | 0.4764 | 0.5481 | no |
| AMAT | 2022-08-22 | 99.21 | 0.7919 | 0.5592 | no |
| APH | 2022-08-22 | 18.79 | 0.4729 | 0.4554 | no |
| BAC | 2022-08-22 | 31.22 | 0.4015 | 0.4962 | no |
| DAL | 2022-08-22 | 31.37 | 1.0549 | 0.4605 | no |
| DOW | 2022-08-22 | 42.91 | 0.6411 | 0.5194 | no |
| DVA | 2022-08-22 | 92.76 | 0.4150 | 0.4484 | no |
| EFX | 2022-08-22 | 199.42 | 0.6674 | 0.4466 | no |
| EMN | 2022-08-22 | 81.58 | 0.6476 | 0.5060 | no |
| ES | 2022-08-22 | 78.78 | 0.5951 | 0.4835 | no |
| EVRG | 2022-08-22 | 60.27 | 0.4733 | 0.5243 | no |
| FANG | 2022-08-22 | 110.36 | 0.5240 | 0.6724 | no |
| FCX | 2022-08-22 | 28.31 | 0.8514 | 0.6479 | no |
| FE | 2022-08-22 | 34.75 | 0.5755 | 0.5029 | no |
| FRT | 2022-08-22 | 91.74 | 0.5660 | 0.4578 | no |
| HAL | 2022-08-22 | 26.53 | 0.5129 | 0.5652 | no |
| HLT | 2022-08-22 | 130.53 | 0.5066 | 0.4535 | no |
| INTC | 2022-08-22 | 33.30 | 0.4859 | 0.5275 | no |
| IRM | 2022-08-22 | 46.69 | 0.4405 | 0.5127 | no |
| IVZ | 2022-08-22 | 14.85 | 0.5421 | 0.4783 | no |
| KMI | 2022-08-22 | 15.15 | 0.4062 | 0.4655 | no |
| LIN | 2022-08-22 | 280.08 | 0.4676 | 0.5068 | no |
| LRCX | 2022-08-22 | 44.69 | 0.4356 | 0.5423 | no |
| LUV | 2022-08-22 | 34.20 | 0.6792 | 0.4834 | no |
| LYB | 2022-08-22 | 67.45 | 0.5461 | 0.5236 | no |
| MCO | 2022-08-22 | 296.67 | 0.5546 | 0.4661 | no |
| MGM | 2022-08-22 | 33.80 | 0.4469 | 0.4688 | no |
| MLM | 2022-08-22 | 350.05 | 0.4396 | 0.4745 | no |
| MOS | 2022-08-22 | 47.02 | 0.6003 | 0.5421 | no |
| MRNA | 2022-08-22 | 145.25 | 0.4425 | 0.5252 | no |
| MU | 2022-08-22 | 58.42 | 1.2718 | 0.5594 | no |
| OKE | 2022-08-22 | 51.41 | 0.5965 | 0.4954 | no |
| PH | 2022-08-22 | 275.94 | 0.4758 | 0.4920 | no |
| PNW | 2022-08-22 | 65.25 | 0.6330 | 0.5149 | no |
| QRVO | 2022-08-22 | 101.70 | 0.4673 | — | no |
| ROP | 2022-08-22 | 418.04 | 0.5119 | 0.4602 | no |
| SLB | 2022-08-22 | 33.23 | 0.8082 | 0.6266 | no |
| SWK | 2022-08-22 | 82.71 | 0.5338 | 0.4558 | no |
| SWKS | 2022-08-22 | 93.56 | 0.4502 | 0.5371 | no |
| TER | 2022-08-22 | 93.06 | 0.7387 | 0.5205 | no |
| TROW | 2022-08-22 | 102.17 | 0.3961 | — | no |
| TXT | 2022-08-22 | 64.72 | 0.4937 | 0.5801 | no |
| UAL | 2022-08-22 | 36.50 | 0.7212 | 0.4694 | no |
| UHS | 2022-08-22 | 104.38 | 0.4489 | 0.4734 | no |
| VLO | 2022-08-22 | 105.79 | 0.6626 | 0.5237 | no |
| VMC | 2022-08-22 | 167.39 | 0.4771 | 0.4662 | no |
| VTRS | 2022-08-22 | 8.74 | 0.5672 | 0.5270 | no |
| WDC | 2022-08-22 | 35.02 | 0.7303 | 0.5489 | no |
| WMB | 2022-08-22 | 29.06 | 0.6851 | 0.5519 | no |
| WST | 2022-08-22 | 311.51 | 0.4596 | 0.5443 | no |