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 | 3.80% | 7.05% | 2023-02-02 | -4.50% |
| buy & hold | participation factor overlay | 6 months | complete | -0.70% | 7.05% | 2023-02-02 | -10.92% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.08% | 8.27% | 2023-02-02 | -5.35% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.52% | 8.27% | 2023-02-02 | -13.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.68% | 6.98% | 2023-02-02 | -5.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.85% | 6.98% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.07% | 6.33% | 2023-02-02 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.29% | 6.33% | 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 |
|---|---|---|---|---|---|
| ATO | 2022-11-14 | 100.85 | 0.3381 | 0.5444 | no |
| AWK | 2022-11-14 | 133.83 | 0.6532 | 0.5093 | no |
| C | 2022-11-14 | 44.11 | 0.3401 | 0.5199 | no |
| CCI | 2022-11-14 | 113.04 | 0.3899 | 0.4689 | no |
| CMS | 2022-11-14 | 51.99 | 0.4011 | 0.4998 | no |
| CNP | 2022-11-14 | 26.29 | 0.2739 | 0.4635 | no |
| COST | 2022-11-14 | 492.85 | 0.3168 | 0.5887 | no |
| CSX | 2022-11-14 | 29.95 | 0.3071 | 0.5027 | no |
| DLTR | 2022-11-14 | 165.94 | 0.3623 | 0.6256 | no |
| DUK | 2022-11-14 | 81.93 | 0.3261 | 0.5246 | no |
| EBAY | 2022-11-14 | 43.13 | 0.2856 | 0.4514 | no |
| ED | 2022-11-14 | 77.96 | 0.3946 | — | no |
| EIX | 2022-11-14 | 50.00 | 0.3380 | 0.5544 | no |
| EMN | 2022-11-14 | 75.15 | 0.2964 | 0.5007 | no |
| ES | 2022-11-14 | 66.56 | 0.3005 | 0.5237 | no |
| ETR | 2022-11-14 | 48.72 | 0.5689 | 0.5237 | no |
| EVRG | 2022-11-14 | 50.60 | 0.7910 | 0.4489 | no |
| EXC | 2022-11-14 | 33.93 | 0.7291 | 0.5196 | no |
| GWW | 2022-11-14 | 561.12 | 0.2814 | 0.4795 | no |
| IFF | 2022-11-14 | 90.39 | 0.4045 | 0.4973 | no |
| INTC | 2022-11-14 | 29.26 | 0.4943 | 0.4963 | no |
| INTU | 2022-11-14 | 388.55 | 0.9660 | 0.4865 | no |
| KO | 2022-11-14 | 54.58 | 0.3849 | 0.4568 | no |
| LNT | 2022-11-14 | 47.65 | 0.5923 | 0.5350 | no |
| LUV | 2022-11-14 | 34.96 | 0.3061 | 0.4426 | no |
| MCD | 2022-11-14 | 246.52 | 0.3889 | 0.4831 | no |
| MO | 2022-11-14 | 32.80 | 0.3029 | 0.4426 | no |
| NUE | 2022-11-14 | 130.51 | 0.2925 | 0.6537 | no |
| OGN | 2022-11-14 | 21.69 | 0.3828 | 0.5246 | no |
| OKE | 2022-11-14 | 53.39 | 0.2732 | 0.5871 | no |
| PEG | 2022-11-14 | 49.76 | 0.5964 | 0.5103 | no |
| PKG | 2022-11-14 | 115.40 | 0.3588 | 0.4932 | no |
| PM | 2022-11-14 | 79.95 | 0.2588 | 0.4618 | no |
| PNW | 2022-11-14 | 61.34 | 0.5784 | 0.5086 | no |
| PPG | 2022-11-14 | 118.59 | 0.4365 | 0.5232 | no |
| PPL | 2022-11-14 | 23.85 | 0.5970 | 0.5175 | no |
| PSA | 2022-11-14 | 252.41 | 0.3356 | 0.4546 | no |
| RTX | 2022-11-14 | 86.08 | 0.2707 | 0.5833 | no |
| SPGI | 2022-11-14 | 318.90 | 0.5602 | 0.4644 | no |
| SWKS | 2022-11-14 | 84.53 | 0.4155 | 0.5126 | no |
| TFC | 2022-11-14 | 38.60 | 0.3154 | 0.5043 | no |
| TFX | 2022-11-14 | 212.49 | 0.4651 | 0.4821 | no |
| TRMB | 2022-11-14 | 61.41 | 0.3004 | 0.5036 | no |
| VZ | 2022-11-14 | 29.91 | 0.2989 | 0.4591 | no |
| WDC | 2022-11-14 | 29.63 | 0.5121 | 0.5084 | no |
| WEC | 2022-11-14 | 81.92 | 0.4875 | 0.5057 | no |
| WMB | 2022-11-14 | 28.83 | 0.3726 | 0.5171 | no |
| WY | 2022-11-14 | 28.45 | 0.3685 | 0.4769 | no |
| XEL | 2022-11-14 | 59.28 | 0.4542 | 0.5414 | no |
| ZION | 2022-11-14 | 47.89 | 0.3814 | 0.5004 | no |