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 | 12.41% | 14.51% | 2023-02-02 | -5.11% |
| buy & hold | participation factor overlay | 6 months | complete | 9.75% | 14.51% | 2023-02-02 | -8.13% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.62% | 14.51% | 2023-02-02 | -6.12% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.49% | 14.51% | 2023-02-02 | -9.62% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.26% | 14.78% | 2023-02-02 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.94% | 14.98% | 2023-03-03 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 15.02% | 16.28% | 2023-02-02 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.09% | 16.28% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-11-07 | 134.71 | 0.7083 | 0.5477 | no |
| ADI | 2022-11-07 | 136.58 | 0.8094 | 0.5085 | no |
| ADSK | 2022-11-07 | 195.12 | 0.9648 | 0.5000 | no |
| AEP | 2022-11-07 | 77.62 | 0.7211 | 0.4933 | no |
| AMAT | 2022-11-07 | 89.27 | 0.5630 | 0.5169 | no |
| AOS | 2022-11-07 | 52.24 | 0.7123 | 0.4513 | no |
| AVGO | 2022-11-07 | 44.10 | 0.7124 | 0.5074 | no |
| BR | 2022-11-07 | 124.63 | 0.5566 | 0.4450 | no |
| BWA | 2022-11-07 | 32.01 | 0.6480 | 0.4449 | no |
| CARR | 2022-11-07 | 38.30 | 0.8199 | 0.4640 | no |
| CE | 2022-11-07 | 88.39 | 0.9148 | 0.4881 | no |
| CNP | 2022-11-07 | 25.72 | 0.9278 | 0.4635 | no |
| COO | 2022-11-07 | 68.22 | 0.6646 | 0.4968 | no |
| CRM | 2022-11-07 | 137.99 | 0.7944 | 0.4707 | no |
| CSX | 2022-11-07 | 28.19 | 0.5805 | 0.5027 | no |
| DUK | 2022-11-07 | 80.09 | 0.7494 | 0.5246 | no |
| ED | 2022-11-07 | 78.42 | 0.5635 | — | no |
| EIX | 2022-11-07 | 49.01 | 1.0896 | 0.5544 | no |
| ES | 2022-11-07 | 65.64 | 0.7821 | 0.5237 | no |
| ETR | 2022-11-07 | 48.13 | 0.6862 | 0.5237 | no |
| EVRG | 2022-11-07 | 53.11 | 0.7185 | 0.4489 | no |
| EXC | 2022-11-07 | 32.32 | 0.8638 | 0.5196 | no |
| GRMN | 2022-11-07 | 80.31 | 0.5621 | 0.4812 | no |
| INTU | 2022-11-07 | 353.11 | 0.5889 | 0.4867 | no |
| KIM | 2022-11-07 | 17.84 | 0.6224 | 0.4390 | no |
| LKQ | 2022-11-07 | 45.89 | 0.6417 | 0.5094 | no |
| LNT | 2022-11-07 | 46.54 | 0.8999 | 0.4993 | no |
| LOW | 2022-11-07 | 170.34 | 0.7491 | 0.5775 | no |
| LUV | 2022-11-07 | 34.25 | 0.6170 | 0.4426 | no |
| MKTX | 2022-11-07 | 223.05 | 0.5871 | 0.5255 | no |
| MOS | 2022-11-07 | 44.08 | 0.8483 | 0.5368 | no |
| NEE | 2022-11-07 | 70.25 | 0.7430 | 0.4885 | no |
| NI | 2022-11-07 | 22.74 | 0.7801 | 0.5288 | no |
| OKE | 2022-11-07 | 50.35 | 0.6989 | 0.5871 | no |
| PEG | 2022-11-07 | 50.58 | 1.2664 | 0.5103 | no |
| PHM | 2022-11-07 | 37.23 | 0.5581 | 0.4463 | no |
| PNW | 2022-11-07 | 59.36 | 0.7211 | 0.5086 | no |
| PPL | 2022-11-07 | 23.57 | 0.9519 | 0.5175 | no |
| SHW | 2022-11-07 | 209.75 | 0.6411 | 0.4914 | no |
| SO | 2022-11-07 | 56.13 | 1.0940 | 0.5060 | no |
| SRE | 2022-11-07 | 68.85 | 0.5403 | 0.5247 | no |
| SWK | 2022-11-07 | 64.61 | 0.8550 | 0.4595 | no |
| SWKS | 2022-11-07 | 77.89 | 1.4293 | 0.5126 | no |
| TFC | 2022-11-07 | 35.91 | 0.7844 | 0.5043 | no |
| TROW | 2022-11-07 | 85.76 | 1.0705 | — | no |
| TSLA | 2022-11-07 | 208.65 | 0.5971 | 0.4871 | no |
| WEC | 2022-11-07 | 79.16 | 0.7704 | 0.5057 | no |
| WMB | 2022-11-07 | 28.48 | 0.5597 | 0.5171 | no |
| XEL | 2022-11-07 | 57.52 | 0.7488 | 0.5414 | no |
| ZION | 2022-11-07 | 43.32 | 1.2214 | 0.5004 | no |