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 | 10.70% | 10.70% | 2023-01-31 | -5.09% |
| buy & hold | participation factor overlay | 6 months | complete | 9.13% | 13.71% | 2023-02-02 | -8.29% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.17% | 12.17% | 2023-01-31 | -5.90% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.27% | 15.94% | 2023-02-02 | -11.88% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.09% | 12.09% | 2023-01-31 | -4.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.89% | 13.61% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.24% | 11.24% | 2023-01-31 | -6.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.36% | 13.56% | 2023-02-02 | -8.77% |
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 | 1.2128 | 0.5110 | no |
| AEE | 2022-10-31 | 72.90 | 1.2717 | 0.4521 | no |
| AMAT | 2022-10-31 | 85.98 | 0.7675 | 0.5178 | no |
| AVGO | 2022-10-31 | 44.10 | 0.7605 | 0.5075 | no |
| BBY | 2022-10-31 | 56.00 | 0.9384 | 0.5632 | no |
| BF.B | 2022-10-31 | 61.76 | 0.6093 | — | no |
| BR | 2022-10-31 | 137.67 | 1.0786 | 0.4639 | no |
| CHRW | 2022-10-31 | 89.14 | 1.0078 | 0.5054 | no |
| CL | 2022-10-31 | 68.24 | 0.6118 | 0.4498 | no |
| CMS | 2022-10-31 | 50.98 | 0.6168 | 0.4959 | no |
| CNP | 2022-10-31 | 25.99 | 0.6467 | 0.4662 | no |
| COO | 2022-10-31 | 67.97 | 0.8117 | 0.4968 | no |
| CSX | 2022-10-31 | 27.68 | 0.5986 | 0.5027 | no |
| D | 2022-10-31 | 58.36 | 0.6331 | 0.4630 | no |
| DTE | 2022-10-31 | 99.70 | 0.6947 | 0.5339 | no |
| DUK | 2022-10-31 | 80.27 | 0.8120 | 0.4975 | no |
| ED | 2022-10-31 | 77.12 | 0.6550 | — | no |
| EIX | 2022-10-31 | 49.88 | 0.8904 | 0.4946 | no |
| ES | 2022-10-31 | 64.95 | 0.8153 | 0.5105 | no |
| ETR | 2022-10-31 | 46.90 | 0.8021 | 0.5055 | no |
| ETSY | 2022-10-31 | 98.00 | 0.6521 | — | no |
| EVRG | 2022-10-31 | 52.46 | 0.7800 | 0.5261 | no |
| EXC | 2022-10-31 | 33.38 | 1.3485 | 0.5210 | no |
| EXR | 2022-10-31 | 149.58 | 0.7560 | 0.4610 | no |
| FE | 2022-10-31 | 32.22 | 0.7716 | 0.5310 | no |
| IVZ | 2022-10-31 | 12.86 | 0.7801 | 0.4718 | no |
| LNT | 2022-10-31 | 46.30 | 0.9115 | 0.4993 | no |
| MLM | 2022-10-31 | 329.16 | 0.6090 | 0.4695 | no |
| NEE | 2022-10-31 | 70.00 | 0.6750 | 0.4833 | no |
| NI | 2022-10-31 | 22.87 | 0.9597 | 0.5288 | no |
| NXPI | 2022-10-31 | 139.07 | 1.0774 | 0.4884 | no |
| PEG | 2022-10-31 | 50.20 | 1.4083 | 0.5191 | no |
| PNW | 2022-10-31 | 57.48 | 0.9077 | 0.5238 | no |
| PPL | 2022-10-31 | 23.13 | 0.9874 | 0.4836 | no |
| QCOM | 2022-10-31 | 107.97 | 0.6925 | 0.4829 | no |
| SEDG | 2022-10-31 | 228.44 | 0.9098 | 0.5403 | no |
| SO | 2022-10-31 | 57.14 | 1.1819 | 0.5031 | no |
| SPGI | 2022-10-31 | 296.74 | 1.0617 | 0.4644 | no |
| SWK | 2022-10-31 | 66.60 | 1.2969 | 0.4563 | no |
| SWKS | 2022-10-31 | 77.47 | 1.0056 | 0.5072 | no |
| TFX | 2022-10-31 | 206.63 | 0.6690 | 0.4821 | no |
| TROW | 2022-10-31 | 89.13 | 1.2667 | — | no |
| TSLA | 2022-10-31 | 226.19 | 0.8923 | 0.4878 | no |
| TXN | 2022-10-31 | 144.03 | 0.7398 | 0.4938 | no |
| VRSK | 2022-10-31 | 176.59 | 0.6640 | 0.4547 | no |
| WEC | 2022-10-31 | 79.59 | 0.8130 | 0.4788 | no |
| WYNN | 2022-10-31 | 59.53 | 1.0247 | 0.4415 | no |
| XEL | 2022-10-31 | 57.03 | 0.6378 | 0.5382 | no |
| ZBRA | 2022-10-31 | 283.43 | 0.6181 | 0.4481 | no |
| ZION | 2022-10-31 | 44.07 | 0.8159 | 0.5004 | no |