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 | 11.85% | 11.85% | 2023-01-31 | -5.40% |
| buy & hold | participation factor overlay | 6 months | complete | 9.90% | 15.23% | 2023-02-02 | -8.78% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.91% | 11.91% | 2023-01-31 | -5.13% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.30% | 15.97% | 2023-02-02 | -11.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.79% | 11.11% | 2023-01-13 | -5.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.77% | 12.74% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.23% | 9.23% | 2023-01-31 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.87% | 11.18% | 2023-02-02 | -8.90% |
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 | 1.2397 | 0.5110 | no |
| AEE | 2022-10-31 | 72.90 | 1.2583 | 0.4521 | no |
| AEP | 2022-10-31 | 77.20 | 0.6659 | 0.4933 | no |
| AMAT | 2022-10-31 | 85.98 | 1.0751 | 0.5178 | no |
| AVGO | 2022-10-31 | 44.10 | 0.8148 | 0.5075 | no |
| BBY | 2022-10-31 | 56.00 | 1.3351 | 0.5632 | no |
| BF.B | 2022-10-31 | 61.76 | 0.8049 | — | no |
| BR | 2022-10-31 | 137.67 | 1.2864 | 0.4639 | no |
| CHRW | 2022-10-31 | 89.14 | 1.2374 | 0.5054 | no |
| CNP | 2022-10-31 | 25.99 | 0.7123 | 0.4662 | no |
| COO | 2022-10-31 | 67.97 | 0.8224 | 0.4968 | no |
| CSX | 2022-10-31 | 27.68 | 0.8193 | 0.5027 | no |
| DTE | 2022-10-31 | 99.70 | 0.6604 | 0.5339 | no |
| DUK | 2022-10-31 | 80.27 | 0.8398 | 0.4975 | no |
| ED | 2022-10-31 | 77.12 | 0.9707 | — | no |
| EIX | 2022-10-31 | 49.88 | 1.2269 | 0.4946 | no |
| ES | 2022-10-31 | 64.95 | 0.6562 | 0.5105 | no |
| ETR | 2022-10-31 | 46.90 | 0.8306 | 0.5055 | no |
| ETSY | 2022-10-31 | 98.00 | 0.6837 | — | no |
| EVRG | 2022-10-31 | 52.46 | 1.0665 | 0.5261 | no |
| EXC | 2022-10-31 | 33.38 | 1.4179 | 0.5210 | no |
| EXR | 2022-10-31 | 149.58 | 0.9848 | 0.4610 | no |
| FE | 2022-10-31 | 32.22 | 0.7903 | 0.5310 | no |
| HSIC | 2022-10-31 | 69.62 | 0.7041 | 0.4687 | no |
| IVZ | 2022-10-31 | 12.86 | 1.0056 | 0.4718 | no |
| LNT | 2022-10-31 | 46.30 | 1.0035 | 0.4993 | no |
| MCO | 2022-10-31 | 257.83 | 0.7787 | 0.4709 | no |
| NEE | 2022-10-31 | 70.00 | 0.8041 | 0.4833 | no |
| NI | 2022-10-31 | 22.87 | 0.7861 | 0.5288 | no |
| NXPI | 2022-10-31 | 139.07 | 1.0303 | 0.4884 | no |
| PEG | 2022-10-31 | 50.20 | 1.4608 | 0.5191 | no |
| PNW | 2022-10-31 | 57.48 | 1.0865 | 0.5238 | no |
| PPL | 2022-10-31 | 23.13 | 0.9862 | 0.4836 | no |
| QCOM | 2022-10-31 | 107.97 | 0.7227 | 0.4829 | no |
| SEDG | 2022-10-31 | 228.44 | 0.7820 | 0.5403 | no |
| SO | 2022-10-31 | 57.14 | 1.1122 | 0.5031 | no |
| SPGI | 2022-10-31 | 296.74 | 1.0539 | 0.4644 | no |
| SWK | 2022-10-31 | 66.60 | 1.3262 | 0.4563 | no |
| SWKS | 2022-10-31 | 77.47 | 1.0840 | 0.5072 | no |
| TFX | 2022-10-31 | 206.63 | 0.8679 | 0.4821 | no |
| TRMB | 2022-10-31 | 59.58 | 0.6719 | 0.5221 | no |
| TROW | 2022-10-31 | 89.13 | 1.3890 | — | no |
| TSLA | 2022-10-31 | 226.19 | 0.6421 | 0.4878 | no |
| TXN | 2022-10-31 | 144.03 | 0.7839 | 0.4938 | no |
| WEC | 2022-10-31 | 79.59 | 0.8045 | 0.4788 | no |
| WYNN | 2022-10-31 | 59.53 | 0.9174 | 0.4415 | no |
| XEL | 2022-10-31 | 57.03 | 0.7520 | 0.5382 | no |
| XRAY | 2022-10-31 | 27.96 | 0.8293 | 0.4528 | no |
| ZBRA | 2022-10-31 | 283.43 | 0.8728 | 0.4481 | no |
| ZION | 2022-10-31 | 44.07 | 0.8843 | 0.5004 | no |