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 | 2.28% | 5.99% | 2023-02-02 | -4.71% |
| buy & hold | participation factor overlay | 6 months | complete | -1.06% | 5.99% | 2023-02-02 | -11.10% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.73% | 8.16% | 2023-02-02 | -5.36% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -3.04% | 8.16% | 2023-02-02 | -13.66% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.42% | 9.10% | 2023-02-02 | -4.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.23% | 9.10% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.54% | 9.36% | 2023-02-02 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.49% | 9.36% | 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 | 2022-11-14 | 146.36 | 0.2639 | 0.5467 | no |
| AEP | 2022-11-14 | 78.78 | 0.4632 | 0.4933 | no |
| ATO | 2022-11-14 | 100.85 | 0.3015 | 0.5444 | no |
| AWK | 2022-11-14 | 133.83 | 0.6495 | 0.5093 | no |
| CCI | 2022-11-14 | 113.04 | 0.3597 | 0.4689 | no |
| CMS | 2022-11-14 | 51.99 | 0.5283 | 0.4998 | no |
| CNC | 2022-11-14 | 82.00 | 0.5073 | 0.4802 | no |
| CPB | 2022-11-14 | 42.00 | 0.3753 | 0.4660 | no |
| CSX | 2022-11-14 | 29.95 | 0.3293 | 0.5027 | no |
| DLR | 2022-11-14 | 96.92 | 0.3134 | 0.4443 | no |
| DLTR | 2022-11-14 | 165.94 | 0.3666 | 0.6256 | no |
| DUK | 2022-11-14 | 81.93 | 0.3969 | 0.5246 | no |
| EIX | 2022-11-14 | 50.00 | 0.3879 | 0.5544 | no |
| ES | 2022-11-14 | 66.56 | 0.3437 | 0.5237 | no |
| ETR | 2022-11-14 | 48.72 | 0.5401 | 0.5237 | no |
| EVRG | 2022-11-14 | 50.60 | 0.6780 | 0.4489 | no |
| EXC | 2022-11-14 | 33.93 | 1.2037 | 0.5196 | no |
| IFF | 2022-11-14 | 90.39 | 0.4332 | 0.4973 | no |
| INTC | 2022-11-14 | 29.26 | 0.5742 | 0.4963 | no |
| INTU | 2022-11-14 | 388.55 | 0.7594 | 0.4865 | no |
| KIM | 2022-11-14 | 18.21 | 0.4054 | 0.4390 | no |
| KO | 2022-11-14 | 54.58 | 0.3481 | 0.4568 | no |
| LNT | 2022-11-14 | 47.65 | 0.4941 | 0.5350 | no |
| LUV | 2022-11-14 | 34.96 | 0.4095 | 0.4426 | no |
| MCD | 2022-11-14 | 246.52 | 0.2623 | 0.4831 | no |
| MDLZ | 2022-11-14 | 58.62 | 0.3265 | 0.4897 | no |
| MKC | 2022-11-14 | 76.51 | 0.3055 | 0.4910 | no |
| NUE | 2022-11-14 | 130.51 | 0.3941 | 0.6537 | no |
| NXPI | 2022-11-14 | 156.03 | 0.3181 | 0.4843 | no |
| OGN | 2022-11-14 | 21.69 | 0.4068 | 0.5246 | no |
| PEG | 2022-11-14 | 49.76 | 0.6051 | 0.5103 | no |
| PKG | 2022-11-14 | 115.40 | 0.4123 | 0.4932 | no |
| PM | 2022-11-14 | 79.95 | 0.3615 | 0.4618 | no |
| PNW | 2022-11-14 | 61.34 | 0.5147 | 0.5086 | no |
| PPG | 2022-11-14 | 118.59 | 0.3003 | 0.5232 | no |
| PPL | 2022-11-14 | 23.85 | 0.6543 | 0.5175 | no |
| PSA | 2022-11-14 | 252.41 | 0.4170 | 0.4546 | no |
| SBAC | 2022-11-14 | 277.46 | 0.2688 | 0.4647 | no |
| SO | 2022-11-14 | 56.69 | 0.4423 | 0.5060 | no |
| SPGI | 2022-11-14 | 318.90 | 0.4175 | 0.4644 | no |
| TFC | 2022-11-14 | 38.60 | 0.3691 | 0.5043 | no |
| TFX | 2022-11-14 | 212.49 | 0.3130 | 0.4821 | no |
| TRMB | 2022-11-14 | 61.41 | 0.2771 | 0.5036 | no |
| VZ | 2022-11-14 | 29.91 | 0.3249 | 0.4591 | no |
| WDC | 2022-11-14 | 29.63 | 0.4748 | 0.5084 | no |
| WEC | 2022-11-14 | 81.92 | 0.5096 | 0.5057 | no |
| WMB | 2022-11-14 | 28.83 | 0.3533 | 0.5171 | no |
| WY | 2022-11-14 | 28.45 | 0.3108 | 0.4769 | no |
| XEL | 2022-11-14 | 59.28 | 0.4282 | 0.5414 | no |
| ZION | 2022-11-14 | 47.89 | 0.3121 | 0.5004 | no |