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 | 12.42% | 12.42% | 2023-01-31 | -4.88% |
| buy & hold | participation factor overlay | 6 months | complete | 11.51% | 15.40% | 2023-02-02 | -8.19% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 13.43% | 13.43% | 2023-01-31 | -5.46% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.21% | 16.99% | 2023-02-02 | -11.45% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.50% | 12.50% | 2023-01-31 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.68% | 13.79% | 2023-03-03 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 13.03% | 13.03% | 2023-01-31 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.40% | 14.90% | 2023-02-02 | -7.77% |
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 | 1.2501 | 0.5110 | no |
| AEE | 2022-10-31 | 72.90 | 1.0854 | 0.4521 | no |
| AEP | 2022-10-31 | 77.20 | 0.7845 | 0.4933 | no |
| AMAT | 2022-10-31 | 85.98 | 1.1215 | 0.5178 | no |
| AVGO | 2022-10-31 | 44.10 | 0.7783 | 0.5075 | no |
| BBY | 2022-10-31 | 56.00 | 1.0458 | 0.5632 | no |
| BF.B | 2022-10-31 | 61.76 | 0.7031 | — | no |
| BR | 2022-10-31 | 137.67 | 1.2769 | 0.4639 | no |
| C | 2022-10-31 | 39.91 | 0.7521 | 0.5199 | no |
| CHRW | 2022-10-31 | 89.14 | 1.0560 | 0.5054 | no |
| CME | 2022-10-31 | 145.20 | 0.6845 | 0.5456 | no |
| CMS | 2022-10-31 | 50.98 | 0.7090 | 0.4959 | no |
| CNP | 2022-10-31 | 25.99 | 0.7614 | 0.4662 | no |
| COO | 2022-10-31 | 67.97 | 0.7654 | 0.4968 | no |
| CSX | 2022-10-31 | 27.68 | 0.6941 | 0.5027 | no |
| DTE | 2022-10-31 | 99.70 | 0.7626 | 0.5339 | no |
| DUK | 2022-10-31 | 80.27 | 0.8810 | 0.4975 | no |
| ED | 2022-10-31 | 77.12 | 0.7680 | — | no |
| EIX | 2022-10-31 | 49.88 | 0.9500 | 0.4946 | no |
| ES | 2022-10-31 | 64.95 | 0.6419 | 0.5105 | no |
| ETR | 2022-10-31 | 46.90 | 0.8646 | 0.5055 | no |
| EVRG | 2022-10-31 | 52.46 | 1.0384 | 0.5261 | no |
| EXC | 2022-10-31 | 33.38 | 1.2324 | 0.5210 | no |
| EXR | 2022-10-31 | 149.58 | 0.8556 | 0.4610 | no |
| FE | 2022-10-31 | 32.22 | 0.7191 | 0.5310 | no |
| HPE | 2022-10-31 | 12.89 | 0.6152 | 0.5161 | no |
| IVZ | 2022-10-31 | 12.86 | 0.8831 | 0.4718 | no |
| KLAC | 2022-10-31 | 30.65 | 0.7941 | 0.5093 | no |
| LNT | 2022-10-31 | 46.30 | 0.9170 | 0.4993 | no |
| MCO | 2022-10-31 | 257.83 | 0.8077 | 0.4709 | no |
| MLM | 2022-10-31 | 329.16 | 0.6926 | 0.4695 | no |
| NI | 2022-10-31 | 22.87 | 0.9104 | 0.5288 | no |
| NXPI | 2022-10-31 | 139.07 | 1.0142 | 0.4884 | no |
| PEG | 2022-10-31 | 50.20 | 1.3257 | 0.5191 | no |
| PNW | 2022-10-31 | 57.48 | 1.0632 | 0.5238 | no |
| PPL | 2022-10-31 | 23.13 | 0.9330 | 0.4836 | no |
| QCOM | 2022-10-31 | 107.97 | 0.6315 | 0.4829 | no |
| SEDG | 2022-10-31 | 228.44 | 0.9211 | 0.5403 | no |
| SO | 2022-10-31 | 57.14 | 0.9822 | 0.5031 | no |
| SPGI | 2022-10-31 | 296.74 | 1.0943 | 0.4644 | no |
| SWK | 2022-10-31 | 66.60 | 1.1767 | 0.4563 | no |
| SWKS | 2022-10-31 | 77.47 | 0.8662 | 0.5072 | no |
| TFX | 2022-10-31 | 206.63 | 0.6166 | 0.4821 | no |
| TROW | 2022-10-31 | 89.13 | 1.1488 | — | no |
| WEC | 2022-10-31 | 79.59 | 0.8565 | 0.4788 | no |
| WYNN | 2022-10-31 | 59.53 | 0.9852 | 0.4415 | no |
| XEL | 2022-10-31 | 57.03 | 0.6444 | 0.5382 | no |
| XRAY | 2022-10-31 | 27.96 | 0.6460 | 0.4528 | no |
| ZBRA | 2022-10-31 | 283.43 | 0.7433 | 0.4481 | no |
| ZION | 2022-10-31 | 44.07 | 0.8835 | 0.5004 | no |