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 | 2.91% | 6.43% | 2023-02-02 | -4.87% |
| buy & hold | participation factor overlay | 6 months | complete | -2.60% | 6.43% | 2023-02-02 | -12.02% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.22% | 7.62% | 2023-02-02 | -6.82% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.04% | 7.62% | 2023-02-02 | -14.20% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.72% | 8.09% | 2023-02-02 | -4.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.22% | 8.09% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.10% | 7.65% | 2023-02-02 | -6.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.84% | 7.65% | 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 |
|---|---|---|---|---|---|
| AOS | 2022-11-14 | 55.55 | 0.3362 | 0.4513 | no |
| ATO | 2022-11-14 | 100.85 | 0.5840 | 0.5444 | no |
| AWK | 2022-11-14 | 133.83 | 0.6918 | 0.5093 | no |
| BF.B | 2022-11-14 | 63.65 | 0.3243 | — | no |
| C | 2022-11-14 | 44.11 | 0.3667 | 0.5199 | no |
| CCI | 2022-11-14 | 113.04 | 0.3335 | 0.4689 | no |
| CMS | 2022-11-14 | 51.99 | 0.3774 | 0.4998 | no |
| CNC | 2022-11-14 | 82.00 | 0.5064 | 0.4802 | no |
| CSX | 2022-11-14 | 29.95 | 0.4465 | 0.5027 | no |
| DLTR | 2022-11-14 | 165.94 | 0.3313 | 0.6256 | no |
| DUK | 2022-11-14 | 81.93 | 0.3674 | 0.5246 | no |
| EBAY | 2022-11-14 | 43.13 | 0.3105 | 0.4514 | no |
| EIX | 2022-11-14 | 50.00 | 0.3281 | 0.5544 | no |
| ETR | 2022-11-14 | 48.72 | 0.4852 | 0.5237 | no |
| EVRG | 2022-11-14 | 50.60 | 0.5416 | 0.4489 | no |
| EXC | 2022-11-14 | 33.93 | 0.7299 | 0.5196 | no |
| IFF | 2022-11-14 | 90.39 | 0.5116 | 0.4973 | no |
| INTC | 2022-11-14 | 29.26 | 0.7118 | 0.4963 | no |
| INTU | 2022-11-14 | 388.55 | 0.7201 | 0.4865 | no |
| KIM | 2022-11-14 | 18.21 | 0.4492 | 0.4390 | no |
| KO | 2022-11-14 | 54.58 | 0.4315 | 0.4568 | no |
| LNT | 2022-11-14 | 47.65 | 0.4256 | 0.5350 | no |
| LUV | 2022-11-14 | 34.96 | 0.4911 | 0.4426 | no |
| MCD | 2022-11-14 | 246.52 | 0.4327 | 0.4831 | no |
| MO | 2022-11-14 | 32.80 | 0.3091 | 0.4426 | no |
| NUE | 2022-11-14 | 130.51 | 0.4626 | 0.6537 | no |
| OKE | 2022-11-14 | 53.39 | 0.3288 | 0.5871 | no |
| PEG | 2022-11-14 | 49.76 | 0.4607 | 0.5103 | no |
| PKG | 2022-11-14 | 115.40 | 0.4070 | 0.4932 | no |
| PM | 2022-11-14 | 79.95 | 0.3240 | 0.4618 | no |
| PNW | 2022-11-14 | 61.34 | 0.4801 | 0.5086 | no |
| PPG | 2022-11-14 | 118.59 | 0.4340 | 0.5232 | no |
| PPL | 2022-11-14 | 23.85 | 0.5319 | 0.5175 | no |
| PSA | 2022-11-14 | 252.41 | 0.3519 | 0.4546 | no |
| RTX | 2022-11-14 | 86.08 | 0.3287 | 0.5833 | no |
| SBAC | 2022-11-14 | 277.46 | 0.3443 | 0.4647 | no |
| SPGI | 2022-11-14 | 318.90 | 0.5099 | 0.4644 | no |
| SWK | 2022-11-14 | 71.74 | 0.2897 | 0.4595 | no |
| TEL | 2022-11-14 | 116.48 | 0.3768 | — | no |
| TFC | 2022-11-14 | 38.60 | 0.2989 | 0.5043 | no |
| TFX | 2022-11-14 | 212.49 | 0.6641 | 0.4821 | no |
| TRMB | 2022-11-14 | 61.41 | 0.4508 | 0.5036 | no |
| USB | 2022-11-14 | 37.83 | 0.4553 | 0.5362 | no |
| VZ | 2022-11-14 | 29.91 | 0.3750 | 0.4591 | no |
| WDC | 2022-11-14 | 29.63 | 0.6232 | 0.5084 | no |
| WEC | 2022-11-14 | 81.92 | 0.5043 | 0.5057 | no |
| WMB | 2022-11-14 | 28.83 | 0.3837 | 0.5171 | no |
| WY | 2022-11-14 | 28.45 | 0.6056 | 0.4769 | no |
| XEL | 2022-11-14 | 59.28 | 0.3069 | 0.5414 | no |
| ZION | 2022-11-14 | 47.89 | 0.4625 | 0.5004 | no |