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 | 0.62% | 7.23% | 2023-02-02 | -6.16% |
| buy & hold | participation factor overlay | 6 months | complete | -2.91% | 7.23% | 2023-02-02 | -11.65% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.23% | 10.04% | 2023-02-02 | -7.41% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.49% | 10.04% | 2023-02-02 | -13.31% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.66% | 9.59% | 2023-02-02 | -4.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.43% | 9.59% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.06% | 10.48% | 2023-02-02 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.52% | 10.48% | 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 |
|---|---|---|---|---|---|
| AAP | 2022-11-21 | 135.33 | 0.5438 | 0.5000 | no |
| ADBE | 2022-11-21 | 329.53 | 0.4200 | 0.5153 | no |
| AEP | 2022-11-21 | 79.73 | 0.5351 | 0.4933 | no |
| AMT | 2022-11-21 | 189.66 | 0.3015 | 0.4553 | no |
| ATO | 2022-11-21 | 103.78 | 0.3987 | 0.5444 | no |
| AWK | 2022-11-21 | 135.04 | 0.5068 | 0.5093 | no |
| CF | 2022-11-21 | 92.14 | 0.6175 | 0.4962 | no |
| CMS | 2022-11-21 | 53.47 | 0.3395 | 0.4998 | no |
| CNP | 2022-11-21 | 26.94 | 0.3840 | 0.4635 | no |
| CRM | 2022-11-21 | 143.28 | 0.6132 | 0.4751 | no |
| CSX | 2022-11-21 | 29.08 | 0.7185 | 0.5025 | no |
| DIS | 2022-11-21 | 97.07 | 0.3464 | 0.4604 | no |
| DPZ | 2022-11-21 | 345.90 | 0.3691 | 0.4844 | no |
| DUK | 2022-11-21 | 83.56 | 0.7132 | 0.5246 | no |
| DVN | 2022-11-21 | 57.50 | 0.3937 | 0.7056 | no |
| ECL | 2022-11-21 | 140.82 | 0.4990 | 0.5000 | no |
| ED | 2022-11-21 | 82.45 | 0.5309 | — | no |
| EIX | 2022-11-21 | 51.37 | 0.4786 | 0.5544 | no |
| ES | 2022-11-21 | 67.84 | 0.4831 | 0.5237 | no |
| ETR | 2022-11-21 | 49.11 | 0.7497 | 0.5237 | no |
| EVRG | 2022-11-21 | 50.15 | 0.4934 | 0.4489 | no |
| IFF | 2022-11-21 | 88.33 | 0.4578 | 0.4973 | no |
| INTC | 2022-11-21 | 28.60 | 0.3298 | 0.4963 | no |
| INTU | 2022-11-21 | 365.75 | 0.9548 | 0.4898 | no |
| IP | 2022-11-21 | 29.91 | 0.3262 | 0.4735 | no |
| IQV | 2022-11-21 | 212.67 | 0.5193 | 0.4891 | no |
| KMX | 2022-11-21 | 66.62 | 0.3263 | 0.4394 | no |
| LNT | 2022-11-21 | 48.83 | 0.3482 | 0.5350 | no |
| MOS | 2022-11-21 | 43.16 | 0.9945 | 0.5061 | no |
| OGN | 2022-11-21 | 20.97 | 0.4928 | 0.5246 | no |
| OKE | 2022-11-21 | 52.45 | 0.3818 | 0.5871 | no |
| OXY | 2022-11-21 | 64.72 | 0.5392 | 0.7115 | no |
| PKG | 2022-11-21 | 114.62 | 0.7998 | 0.4932 | no |
| PM | 2022-11-21 | 81.69 | 0.3756 | 0.4618 | no |
| PNW | 2022-11-21 | 63.14 | 0.6597 | 0.5086 | no |
| PPL | 2022-11-21 | 24.47 | 0.5949 | 0.5175 | no |
| PSA | 2022-11-21 | 249.18 | 0.8216 | 0.4546 | no |
| SBAC | 2022-11-21 | 269.21 | 0.4526 | 0.4647 | no |
| SPGI | 2022-11-21 | 313.88 | 0.9356 | 0.4644 | no |
| SRE | 2022-11-21 | 70.09 | 0.4598 | 0.5247 | no |
| SWK | 2022-11-21 | 67.79 | 0.5423 | 0.4595 | no |
| SWKS | 2022-11-21 | 82.91 | 0.3921 | 0.5126 | no |
| TSLA | 2022-11-21 | 175.85 | 0.4459 | 0.4871 | no |
| UNP | 2022-11-21 | 191.54 | 0.4826 | 0.5183 | no |
| UPS | 2022-11-21 | 146.01 | 0.6439 | 0.4781 | no |
| WDC | 2022-11-21 | 27.33 | 0.4034 | 0.5084 | no |
| WEC | 2022-11-21 | 83.96 | 0.6694 | 0.5057 | no |
| WMB | 2022-11-21 | 27.88 | 0.4915 | 0.5171 | no |
| XEL | 2022-11-21 | 59.46 | 0.4803 | 0.5414 | no |
| ZION | 2022-11-21 | 44.14 | 0.7233 | 0.5004 | no |