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 | 13.47% | 15.26% | 2023-02-02 | -5.58% |
| buy & hold | participation factor overlay | 6 months | complete | 10.89% | 15.26% | 2023-02-02 | -7.57% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 14.72% | 16.73% | 2023-02-02 | -6.65% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.53% | 16.73% | 2023-02-02 | -8.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.26% | 15.05% | 2023-02-02 | -4.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.36% | 15.05% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 13.33% | 14.84% | 2023-02-02 | -6.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.03% | 14.84% | 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 |
|---|---|---|---|---|---|
| AAPL | 2022-11-07 | 134.71 | 0.5241 | 0.5477 | no |
| ADI | 2022-11-07 | 136.58 | 0.5585 | 0.5085 | no |
| ADSK | 2022-11-07 | 195.12 | 0.9070 | 0.5000 | no |
| AMAT | 2022-11-07 | 89.27 | 0.5446 | 0.5169 | no |
| AOS | 2022-11-07 | 52.24 | 0.6214 | 0.4513 | no |
| AVGO | 2022-11-07 | 44.10 | 0.7251 | 0.5074 | no |
| BWA | 2022-11-07 | 32.01 | 0.5542 | 0.4449 | no |
| CARR | 2022-11-07 | 38.30 | 0.6764 | 0.4640 | no |
| CNC | 2022-11-07 | 82.38 | 0.5718 | 0.4802 | no |
| CNP | 2022-11-07 | 25.72 | 0.8395 | 0.4635 | no |
| COO | 2022-11-07 | 68.22 | 0.6226 | 0.4968 | no |
| CRM | 2022-11-07 | 137.99 | 0.8195 | 0.4707 | no |
| D | 2022-11-07 | 53.72 | 0.6450 | 0.4545 | no |
| DOW | 2022-11-07 | 39.09 | 0.5507 | 0.4902 | no |
| DTE | 2022-11-07 | 98.96 | 0.5594 | 0.5371 | no |
| DUK | 2022-11-07 | 80.09 | 0.7375 | 0.5246 | no |
| ED | 2022-11-07 | 78.42 | 0.6003 | — | no |
| EIX | 2022-11-07 | 49.01 | 1.2874 | 0.5544 | no |
| ES | 2022-11-07 | 65.64 | 0.8006 | 0.5237 | no |
| EVRG | 2022-11-07 | 53.11 | 0.6289 | 0.4489 | no |
| EXC | 2022-11-07 | 32.32 | 0.9919 | 0.5196 | no |
| GLW | 2022-11-07 | 30.12 | 0.6384 | 0.4429 | no |
| GRMN | 2022-11-07 | 80.31 | 0.5794 | 0.4812 | no |
| HPQ | 2022-11-07 | 24.17 | 0.6137 | 0.5206 | no |
| KIM | 2022-11-07 | 17.84 | 0.6890 | 0.4390 | no |
| LNT | 2022-11-07 | 46.54 | 0.9665 | 0.4993 | no |
| LOW | 2022-11-07 | 170.34 | 0.8464 | 0.5775 | no |
| LUV | 2022-11-07 | 34.25 | 0.6521 | 0.4426 | no |
| MKTX | 2022-11-07 | 223.05 | 0.6604 | 0.5255 | no |
| MOS | 2022-11-07 | 44.08 | 0.8778 | 0.5368 | no |
| NEE | 2022-11-07 | 70.25 | 0.8739 | 0.4885 | no |
| NI | 2022-11-07 | 22.74 | 0.8419 | 0.5288 | no |
| NVDA | 2022-11-07 | 14.18 | 0.6104 | 0.4956 | no |
| ON | 2022-11-07 | 64.10 | 0.6449 | 0.4781 | no |
| PEG | 2022-11-07 | 50.58 | 1.1676 | 0.5103 | no |
| PHM | 2022-11-07 | 37.23 | 0.6744 | 0.4463 | no |
| PNW | 2022-11-07 | 59.36 | 0.6418 | 0.5086 | no |
| PPL | 2022-11-07 | 23.57 | 0.9898 | 0.5175 | no |
| SHW | 2022-11-07 | 209.75 | 0.7387 | 0.4914 | no |
| SO | 2022-11-07 | 56.13 | 1.1378 | 0.5060 | no |
| SWK | 2022-11-07 | 64.61 | 0.7521 | 0.4595 | no |
| SWKS | 2022-11-07 | 77.89 | 1.1720 | 0.5126 | no |
| TER | 2022-11-07 | 84.48 | 0.6208 | 0.4901 | no |
| TFC | 2022-11-07 | 35.91 | 0.8134 | 0.5043 | no |
| TROW | 2022-11-07 | 85.76 | 1.0537 | — | no |
| TSLA | 2022-11-07 | 208.65 | 0.6452 | 0.4871 | no |
| WEC | 2022-11-07 | 79.16 | 0.8340 | 0.5057 | no |
| WHR | 2022-11-07 | 109.38 | 0.5227 | 0.4390 | no |
| XEL | 2022-11-07 | 57.52 | 0.7591 | 0.5414 | no |
| ZION | 2022-11-07 | 43.32 | 1.2207 | 0.5004 | no |