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 | 11.98% | 11.98% | 2023-01-31 | -4.73% |
| buy & hold | participation factor overlay | 6 months | complete | 10.98% | 14.88% | 2023-02-02 | -8.24% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.52% | 10.52% | 2023-01-31 | -5.29% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.39% | 14.16% | 2023-02-02 | -12.22% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.54% | 12.54% | 2023-01-31 | -4.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.27% | 13.97% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 13.75% | 13.75% | 2023-01-31 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.51% | 15.41% | 2023-02-02 | -9.12% |
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 |
|---|---|---|---|---|---|
| ADI | 2022-10-31 | 134.71 | 1.1738 | 0.5110 | no |
| AEE | 2022-10-31 | 72.90 | 1.2819 | 0.4521 | no |
| AEP | 2022-10-31 | 77.20 | 0.7643 | 0.4933 | no |
| AMAT | 2022-10-31 | 85.98 | 1.0559 | 0.5178 | no |
| AVGO | 2022-10-31 | 44.10 | 0.7850 | 0.5075 | no |
| BBY | 2022-10-31 | 56.00 | 0.9761 | 0.5632 | no |
| BR | 2022-10-31 | 137.67 | 1.3404 | 0.4639 | no |
| C | 2022-10-31 | 39.91 | 0.8988 | 0.5199 | no |
| CHRW | 2022-10-31 | 89.14 | 1.1563 | 0.5054 | no |
| CME | 2022-10-31 | 145.20 | 0.6902 | 0.5456 | no |
| CMS | 2022-10-31 | 50.98 | 0.7194 | 0.4959 | no |
| CNP | 2022-10-31 | 25.99 | 0.8022 | 0.4662 | no |
| COO | 2022-10-31 | 67.97 | 1.0627 | 0.4968 | no |
| CSX | 2022-10-31 | 27.68 | 0.9739 | 0.5027 | no |
| D | 2022-10-31 | 58.36 | 0.7110 | 0.4630 | no |
| DTE | 2022-10-31 | 99.70 | 1.0320 | 0.5339 | no |
| DUK | 2022-10-31 | 80.27 | 1.0888 | 0.4975 | no |
| ED | 2022-10-31 | 77.12 | 0.8835 | — | no |
| EIX | 2022-10-31 | 49.88 | 1.1466 | 0.4946 | no |
| ES | 2022-10-31 | 64.95 | 0.7531 | 0.5105 | no |
| ETR | 2022-10-31 | 46.90 | 1.0276 | 0.5055 | no |
| EVRG | 2022-10-31 | 52.46 | 1.0611 | 0.5261 | no |
| EXC | 2022-10-31 | 33.38 | 1.3633 | 0.5210 | no |
| EXR | 2022-10-31 | 149.58 | 0.8883 | 0.4610 | no |
| FE | 2022-10-31 | 32.22 | 0.7929 | 0.5310 | no |
| IVZ | 2022-10-31 | 12.86 | 1.1588 | 0.4718 | no |
| J | 2022-10-31 | 92.83 | 0.7819 | 0.5339 | no |
| KLAC | 2022-10-31 | 30.65 | 0.7681 | 0.5093 | no |
| LNT | 2022-10-31 | 46.30 | 1.1516 | 0.4993 | no |
| MCO | 2022-10-31 | 257.83 | 0.9133 | 0.4709 | no |
| NI | 2022-10-31 | 22.87 | 1.1095 | 0.5288 | no |
| NXPI | 2022-10-31 | 139.07 | 1.1974 | 0.4884 | no |
| PEG | 2022-10-31 | 50.20 | 1.4414 | 0.5191 | no |
| PNW | 2022-10-31 | 57.48 | 0.9513 | 0.5238 | no |
| PPL | 2022-10-31 | 23.13 | 1.0275 | 0.4836 | no |
| PSA | 2022-10-31 | 264.96 | 0.6809 | 0.4605 | no |
| QCOM | 2022-10-31 | 107.97 | 0.7635 | 0.4829 | no |
| SEDG | 2022-10-31 | 228.44 | 0.7805 | 0.5403 | no |
| SO | 2022-10-31 | 57.14 | 1.2875 | 0.5031 | no |
| SPGI | 2022-10-31 | 296.74 | 0.9654 | 0.4644 | no |
| SWK | 2022-10-31 | 66.60 | 1.1704 | 0.4563 | no |
| SWKS | 2022-10-31 | 77.47 | 0.8671 | 0.5072 | no |
| TFX | 2022-10-31 | 206.63 | 0.8103 | 0.4821 | no |
| TROW | 2022-10-31 | 89.13 | 1.4362 | — | no |
| WEC | 2022-10-31 | 79.59 | 0.8977 | 0.4788 | no |
| WYNN | 2022-10-31 | 59.53 | 0.7204 | 0.4415 | no |
| XEL | 2022-10-31 | 57.03 | 0.8755 | 0.5382 | no |
| XRAY | 2022-10-31 | 27.96 | 0.7473 | 0.4528 | no |
| ZBRA | 2022-10-31 | 283.43 | 0.7775 | 0.4481 | no |
| ZION | 2022-10-31 | 44.07 | 0.9110 | 0.5004 | no |