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 | 2.62% | 6.23% | 2023-02-02 | -4.64% |
| buy & hold | participation factor overlay | 6 months | complete | -0.59% | 6.23% | 2023-02-02 | -10.98% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.00% | 7.53% | 2023-02-02 | -5.23% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.90% | 7.53% | 2023-02-02 | -12.45% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.44% | 8.16% | 2023-02-02 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.13% | 8.35% | 2023-03-03 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.02% | 9.45% | 2023-02-02 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.07% | 9.45% | 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 |
|---|---|---|---|---|---|
| AAP | 2022-11-14 | 171.42 | 0.2500 | 0.5608 | no |
| AOS | 2022-11-14 | 55.55 | 0.2894 | 0.4513 | no |
| ATO | 2022-11-14 | 100.85 | 0.3298 | 0.5444 | no |
| AWK | 2022-11-14 | 133.83 | 0.6880 | 0.5093 | no |
| C | 2022-11-14 | 44.11 | 0.2918 | 0.5199 | no |
| CCI | 2022-11-14 | 113.04 | 0.3145 | 0.4689 | no |
| CMS | 2022-11-14 | 51.99 | 0.3342 | 0.4998 | no |
| CNC | 2022-11-14 | 82.00 | 0.4200 | 0.4802 | no |
| CNP | 2022-11-14 | 26.29 | 0.2742 | 0.4635 | no |
| CSX | 2022-11-14 | 29.95 | 0.4898 | 0.5027 | no |
| DLTR | 2022-11-14 | 165.94 | 0.3609 | 0.6256 | no |
| DPZ | 2022-11-14 | 343.21 | 0.2546 | 0.4844 | no |
| DVA | 2022-11-14 | 72.24 | 0.3590 | 0.4755 | no |
| ED | 2022-11-14 | 77.96 | 0.3647 | — | no |
| EIX | 2022-11-14 | 50.00 | 0.4637 | 0.5544 | no |
| ES | 2022-11-14 | 66.56 | 0.3777 | 0.5237 | no |
| ETR | 2022-11-14 | 48.72 | 0.5013 | 0.5237 | no |
| EVRG | 2022-11-14 | 50.60 | 0.5797 | 0.4489 | no |
| EXC | 2022-11-14 | 33.93 | 0.6708 | 0.5196 | no |
| GWW | 2022-11-14 | 561.12 | 0.2432 | 0.4795 | no |
| ICE | 2022-11-14 | 98.59 | 0.2286 | 0.5021 | no |
| IFF | 2022-11-14 | 90.39 | 0.4139 | 0.4973 | no |
| INTC | 2022-11-14 | 29.26 | 0.5213 | 0.4963 | no |
| INTU | 2022-11-14 | 388.55 | 0.6571 | 0.4865 | no |
| KIM | 2022-11-14 | 18.21 | 0.3986 | 0.4390 | no |
| KO | 2022-11-14 | 54.58 | 0.3411 | 0.4568 | no |
| LNT | 2022-11-14 | 47.65 | 0.5512 | 0.5350 | no |
| LUV | 2022-11-14 | 34.96 | 0.5606 | 0.4426 | no |
| MCD | 2022-11-14 | 246.52 | 0.3010 | 0.4831 | no |
| MDLZ | 2022-11-14 | 58.62 | 0.3244 | 0.4897 | no |
| NUE | 2022-11-14 | 130.51 | 0.2299 | 0.6537 | no |
| NXPI | 2022-11-14 | 156.03 | 0.2638 | 0.4843 | no |
| OKE | 2022-11-14 | 53.39 | 0.3646 | 0.5871 | no |
| PEG | 2022-11-14 | 49.76 | 0.3637 | 0.5103 | no |
| PKG | 2022-11-14 | 115.40 | 0.3199 | 0.4932 | no |
| PM | 2022-11-14 | 79.95 | 0.3171 | 0.4618 | no |
| PNW | 2022-11-14 | 61.34 | 0.6800 | 0.5086 | no |
| PPL | 2022-11-14 | 23.85 | 0.6874 | 0.5175 | no |
| SBAC | 2022-11-14 | 277.46 | 0.2794 | 0.4647 | no |
| SPGI | 2022-11-14 | 318.90 | 0.4497 | 0.4644 | no |
| TEL | 2022-11-14 | 116.48 | 0.2864 | — | no |
| TFX | 2022-11-14 | 212.49 | 0.5181 | 0.4821 | no |
| TRMB | 2022-11-14 | 61.41 | 0.3100 | 0.5036 | no |
| VZ | 2022-11-14 | 29.91 | 0.3445 | 0.4591 | no |
| WDC | 2022-11-14 | 29.63 | 0.4802 | 0.5084 | no |
| WEC | 2022-11-14 | 81.92 | 0.3997 | 0.5057 | no |
| WMB | 2022-11-14 | 28.83 | 0.5299 | 0.5171 | no |
| WY | 2022-11-14 | 28.45 | 0.2919 | 0.4769 | no |
| XEL | 2022-11-14 | 59.28 | 0.4116 | 0.5414 | no |
| ZION | 2022-11-14 | 47.89 | 0.2260 | 0.5004 | no |