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 | 13.95% | 15.86% | 2023-02-02 | -5.31% |
| buy & hold | participation factor overlay | 6 months | complete | 9.74% | 15.86% | 2023-02-02 | -8.48% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.70% | 14.81% | 2023-02-02 | -5.48% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.05% | 14.81% | 2023-02-02 | -9.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | 13.40% | 14.14% | 2023-02-02 | -5.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.68% | 14.14% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.94% | 12.83% | 2023-02-02 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.50% | 12.83% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-11-07 | 134.71 | 0.6112 | 0.5477 | no |
| ADI | 2022-11-07 | 136.58 | 0.6406 | 0.5085 | no |
| ADSK | 2022-11-07 | 195.12 | 0.8187 | 0.5000 | no |
| AEP | 2022-11-07 | 77.62 | 0.6371 | 0.4933 | no |
| AMAT | 2022-11-07 | 89.27 | 0.5519 | 0.5169 | no |
| AOS | 2022-11-07 | 52.24 | 0.5332 | 0.4513 | no |
| AVGO | 2022-11-07 | 44.10 | 0.8043 | 0.5074 | no |
| AWK | 2022-11-07 | 127.00 | 0.5721 | 0.5093 | no |
| BBY | 2022-11-07 | 56.79 | 0.5296 | 0.5648 | no |
| BR | 2022-11-07 | 124.63 | 0.5312 | 0.4450 | no |
| CARR | 2022-11-07 | 38.30 | 0.8124 | 0.4640 | no |
| CE | 2022-11-07 | 88.39 | 0.9822 | 0.4881 | no |
| CNP | 2022-11-07 | 25.72 | 0.8725 | 0.4635 | no |
| CRM | 2022-11-07 | 137.99 | 0.7932 | 0.4707 | no |
| CSX | 2022-11-07 | 28.19 | 0.5711 | 0.5027 | no |
| DTE | 2022-11-07 | 98.96 | 0.5430 | 0.5371 | no |
| DUK | 2022-11-07 | 80.09 | 0.7420 | 0.5246 | no |
| ED | 2022-11-07 | 78.42 | 0.5734 | — | no |
| EIX | 2022-11-07 | 49.01 | 1.2084 | 0.5544 | no |
| ES | 2022-11-07 | 65.64 | 0.9216 | 0.5237 | no |
| ETR | 2022-11-07 | 48.13 | 0.5901 | 0.5237 | no |
| ETSY | 2022-11-07 | 100.19 | 0.5622 | — | no |
| EVRG | 2022-11-07 | 53.11 | 0.6427 | 0.4489 | no |
| EXC | 2022-11-07 | 32.32 | 0.7509 | 0.5196 | no |
| GLW | 2022-11-07 | 30.12 | 0.5475 | 0.4429 | no |
| IVZ | 2022-11-07 | 13.36 | 0.5287 | 0.4718 | no |
| KIM | 2022-11-07 | 17.84 | 0.6072 | 0.4390 | no |
| LNT | 2022-11-07 | 46.54 | 0.9478 | 0.4993 | no |
| LOW | 2022-11-07 | 170.34 | 0.9943 | 0.5775 | no |
| MKTX | 2022-11-07 | 223.05 | 0.5965 | 0.5255 | no |
| MOS | 2022-11-07 | 44.08 | 0.7891 | 0.5368 | no |
| NEE | 2022-11-07 | 70.25 | 1.0384 | 0.4885 | no |
| NI | 2022-11-07 | 22.74 | 0.7246 | 0.5288 | no |
| NVDA | 2022-11-07 | 14.18 | 0.5440 | 0.4956 | no |
| OKE | 2022-11-07 | 50.35 | 0.5462 | 0.5871 | no |
| PEG | 2022-11-07 | 50.58 | 1.1645 | 0.5103 | no |
| PNW | 2022-11-07 | 59.36 | 0.6237 | 0.5086 | no |
| PPL | 2022-11-07 | 23.57 | 0.9548 | 0.5175 | no |
| ROP | 2022-11-07 | 387.95 | 0.5441 | 0.4685 | no |
| SHW | 2022-11-07 | 209.75 | 0.6271 | 0.4914 | no |
| SO | 2022-11-07 | 56.13 | 1.2383 | 0.5060 | no |
| SRE | 2022-11-07 | 68.85 | 0.5984 | 0.5247 | no |
| SWK | 2022-11-07 | 64.61 | 0.6834 | 0.4595 | no |
| SWKS | 2022-11-07 | 77.89 | 1.4823 | 0.5126 | no |
| TER | 2022-11-07 | 84.48 | 0.5698 | 0.4901 | no |
| TFC | 2022-11-07 | 35.91 | 0.5265 | 0.5043 | no |
| TROW | 2022-11-07 | 85.76 | 0.9591 | — | no |
| WEC | 2022-11-07 | 79.16 | 0.8225 | 0.5057 | no |
| XEL | 2022-11-07 | 57.52 | 0.6505 | 0.5414 | no |
| ZION | 2022-11-07 | 43.32 | 1.2780 | 0.5004 | no |