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 | 10.93% | 13.02% | 2023-02-02 | -4.81% |
| buy & hold | participation factor overlay | 6 months | complete | 8.97% | 13.02% | 2023-02-02 | -8.42% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 13.29% | 15.29% | 2023-02-02 | -5.59% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.35% | 15.29% | 2023-02-02 | -9.69% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.72% | 15.51% | 2023-02-02 | -4.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.76% | 15.51% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 15.56% | 16.71% | 2023-02-02 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.38% | 16.71% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-11-07 | 134.71 | 0.6127 | 0.5477 | no |
| ADI | 2022-11-07 | 136.58 | 0.7066 | 0.5085 | no |
| ADSK | 2022-11-07 | 195.12 | 0.8936 | 0.5000 | no |
| AEP | 2022-11-07 | 77.62 | 0.7994 | 0.4933 | no |
| AKAM | 2022-11-07 | 84.55 | 0.6192 | 0.4728 | no |
| AOS | 2022-11-07 | 52.24 | 0.6881 | 0.4513 | no |
| ATO | 2022-11-07 | 96.22 | 0.5953 | 0.5064 | no |
| AVGO | 2022-11-07 | 44.10 | 0.9180 | 0.5074 | no |
| CARR | 2022-11-07 | 38.30 | 0.6408 | 0.4640 | no |
| CCI | 2022-11-07 | 105.42 | 0.6891 | 0.4689 | no |
| CE | 2022-11-07 | 88.39 | 0.6559 | 0.4881 | no |
| CNP | 2022-11-07 | 25.72 | 1.0878 | 0.4635 | no |
| COO | 2022-11-07 | 68.22 | 0.6346 | 0.4968 | no |
| CRM | 2022-11-07 | 137.99 | 0.9869 | 0.4707 | no |
| D | 2022-11-07 | 53.72 | 0.5959 | 0.4545 | no |
| DTE | 2022-11-07 | 98.96 | 0.6275 | 0.5371 | no |
| DUK | 2022-11-07 | 80.09 | 0.9220 | 0.5246 | no |
| ECL | 2022-11-07 | 130.34 | 0.5528 | 0.5000 | no |
| ED | 2022-11-07 | 78.42 | 0.7230 | — | no |
| EIX | 2022-11-07 | 49.01 | 1.3305 | 0.5544 | no |
| ES | 2022-11-07 | 65.64 | 0.9406 | 0.5237 | no |
| ETR | 2022-11-07 | 48.13 | 0.5650 | 0.5237 | no |
| EVRG | 2022-11-07 | 53.11 | 0.9692 | 0.4489 | no |
| EXC | 2022-11-07 | 32.32 | 0.9255 | 0.5196 | no |
| GLW | 2022-11-07 | 30.12 | 0.5393 | 0.4429 | no |
| INTU | 2022-11-07 | 353.11 | 0.7042 | 0.4867 | no |
| KIM | 2022-11-07 | 17.84 | 0.6095 | 0.4390 | no |
| LKQ | 2022-11-07 | 45.89 | 0.5501 | 0.5094 | no |
| LNT | 2022-11-07 | 46.54 | 1.1780 | 0.4993 | no |
| LOW | 2022-11-07 | 170.34 | 0.9453 | 0.5775 | no |
| MOS | 2022-11-07 | 44.08 | 0.9735 | 0.5368 | no |
| NEE | 2022-11-07 | 70.25 | 0.7882 | 0.4885 | no |
| NI | 2022-11-07 | 22.74 | 1.1029 | 0.5288 | no |
| PEG | 2022-11-07 | 50.58 | 1.2971 | 0.5103 | no |
| PHM | 2022-11-07 | 37.23 | 0.5837 | 0.4463 | no |
| PNW | 2022-11-07 | 59.36 | 0.7478 | 0.5086 | no |
| PPG | 2022-11-07 | 106.52 | 0.5801 | 0.5232 | no |
| PPL | 2022-11-07 | 23.57 | 0.9635 | 0.5175 | no |
| PSA | 2022-11-07 | 240.01 | 0.5621 | 0.4546 | no |
| ROP | 2022-11-07 | 387.95 | 0.6262 | 0.4685 | no |
| SHW | 2022-11-07 | 209.75 | 0.6329 | 0.4914 | no |
| SO | 2022-11-07 | 56.13 | 1.1673 | 0.5060 | no |
| SWK | 2022-11-07 | 64.61 | 0.7008 | 0.4595 | no |
| SWKS | 2022-11-07 | 77.89 | 1.5256 | 0.5126 | no |
| TFC | 2022-11-07 | 35.91 | 0.9097 | 0.5043 | no |
| TROW | 2022-11-07 | 85.76 | 1.0511 | — | no |
| TSLA | 2022-11-07 | 208.65 | 0.5632 | 0.4871 | no |
| WEC | 2022-11-07 | 79.16 | 0.8997 | 0.5057 | no |
| XEL | 2022-11-07 | 57.52 | 0.8433 | 0.5414 | no |
| ZION | 2022-11-07 | 43.32 | 1.2424 | 0.5004 | no |