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 | 0.03% | 1.41% | 2022-08-25 | -16.25% |
| buy & hold | participation factor overlay | 6 months | complete | 2.17% | 7.80% | 2023-02-02 | -16.25% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.06% | 1.90% | 2022-08-25 | -16.80% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.89% | 10.04% | 2023-02-02 | -16.80% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.75% | 1.41% | 2022-08-25 | -16.69% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.32% | 6.18% | 2023-02-02 | -16.69% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.31% | 1.90% | 2022-08-25 | -17.97% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.99% | 5.20% | 2023-02-02 | -17.97% |
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 | 0.4677 | 0.5481 | no |
| AEP | 2022-08-22 | 90.72 | 0.5017 | 0.4743 | no |
| ALGN | 2022-08-22 | 263.14 | 0.4376 | 0.5233 | no |
| AMAT | 2022-08-22 | 99.21 | 0.8932 | 0.5592 | no |
| BAC | 2022-08-22 | 31.22 | 0.5439 | 0.4962 | no |
| BRK.B | 2022-08-22 | 294.00 | 0.5692 | — | no |
| CFG | 2022-08-22 | 32.33 | 0.5249 | 0.5020 | no |
| CNP | 2022-08-22 | 29.30 | 0.5519 | 0.4499 | no |
| DAL | 2022-08-22 | 31.37 | 0.9529 | 0.4605 | no |
| DOW | 2022-08-22 | 42.91 | 0.5786 | 0.5194 | no |
| EFX | 2022-08-22 | 199.42 | 0.4999 | 0.4466 | no |
| EMN | 2022-08-22 | 81.58 | 0.6103 | 0.5060 | no |
| ES | 2022-08-22 | 78.78 | 0.7511 | 0.4835 | no |
| FCX | 2022-08-22 | 28.31 | 0.6418 | 0.6479 | no |
| FE | 2022-08-22 | 34.75 | 0.4508 | 0.5029 | no |
| FITB | 2022-08-22 | 30.59 | 0.5728 | 0.4952 | no |
| FRT | 2022-08-22 | 91.74 | 0.5644 | 0.4578 | no |
| HLT | 2022-08-22 | 130.53 | 0.5787 | 0.4535 | no |
| INTC | 2022-08-22 | 33.30 | 0.7024 | 0.5275 | no |
| IRM | 2022-08-22 | 46.69 | 0.4826 | 0.5127 | no |
| IVZ | 2022-08-22 | 14.85 | 0.5235 | 0.4783 | no |
| KMI | 2022-08-22 | 15.15 | 0.5190 | 0.4655 | no |
| LIN | 2022-08-22 | 280.08 | 0.5692 | 0.5068 | no |
| LUV | 2022-08-22 | 34.20 | 0.5635 | 0.4834 | no |
| LYB | 2022-08-22 | 67.45 | 0.4906 | 0.5236 | no |
| MGM | 2022-08-22 | 33.80 | 0.5133 | 0.4688 | no |
| MLM | 2022-08-22 | 350.05 | 0.4387 | 0.4745 | no |
| MU | 2022-08-22 | 58.42 | 1.2723 | 0.5594 | no |
| NI | 2022-08-22 | 27.57 | 0.5750 | 0.5185 | no |
| NTRS | 2022-08-22 | 87.28 | 0.4314 | 0.4930 | no |
| OKE | 2022-08-22 | 51.41 | 0.4857 | 0.4954 | no |
| PNW | 2022-08-22 | 65.25 | 0.5559 | 0.5149 | no |
| PPL | 2022-08-22 | 26.54 | 0.4273 | 0.4668 | no |
| QCOM | 2022-08-22 | 132.06 | 0.4230 | 0.5089 | no |
| QRVO | 2022-08-22 | 101.70 | 0.6459 | — | no |
| ROP | 2022-08-22 | 418.04 | 0.6129 | 0.4602 | no |
| SLB | 2022-08-22 | 33.23 | 0.9612 | 0.6266 | no |
| SRE | 2022-08-22 | 74.51 | 0.4186 | 0.5004 | no |
| SWK | 2022-08-22 | 82.71 | 0.6708 | 0.4558 | no |
| SWKS | 2022-08-22 | 93.56 | 0.6375 | 0.5371 | no |
| TEL | 2022-08-22 | 124.59 | 0.4260 | — | no |
| TER | 2022-08-22 | 93.06 | 0.6777 | 0.5205 | no |
| TROW | 2022-08-22 | 102.17 | 0.4610 | — | no |
| UAL | 2022-08-22 | 36.50 | 0.7521 | 0.4694 | no |
| UHS | 2022-08-22 | 104.38 | 0.4454 | 0.4734 | no |
| VMC | 2022-08-22 | 167.39 | 0.6354 | 0.4662 | no |
| VTRS | 2022-08-22 | 8.74 | 0.4759 | 0.5270 | no |
| WDC | 2022-08-22 | 35.02 | 0.6428 | 0.5489 | no |
| WMB | 2022-08-22 | 29.06 | 0.6736 | 0.5519 | no |
| WST | 2022-08-22 | 311.51 | 0.6160 | 0.5443 | no |