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 | 1.91% | 8.23% | 2023-02-02 | -5.84% |
| buy & hold | participation factor overlay | 6 months | complete | -0.50% | 8.23% | 2023-02-02 | -10.95% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.66% | 9.16% | 2023-02-02 | -6.87% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.73% | 9.16% | 2023-02-02 | -12.50% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.99% | 8.92% | 2023-02-02 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.97% | 9.11% | 2023-03-03 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.95% | 10.66% | 2023-02-02 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.56% | 10.66% | 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 | 2022-11-21 | 135.33 | 0.6607 | 0.5000 | no |
| ADBE | 2022-11-21 | 329.53 | 0.5997 | 0.5153 | no |
| AEP | 2022-11-21 | 79.73 | 0.3667 | 0.4933 | no |
| ALB | 2022-11-21 | 260.54 | 0.3421 | 0.5216 | no |
| ATO | 2022-11-21 | 103.78 | 0.4023 | 0.5444 | no |
| AWK | 2022-11-21 | 135.04 | 0.5407 | 0.5093 | no |
| CDNS | 2022-11-21 | 164.45 | 0.4353 | 0.5278 | no |
| CF | 2022-11-21 | 92.14 | 0.5624 | 0.4962 | no |
| CNP | 2022-11-21 | 26.94 | 0.6592 | 0.4635 | no |
| CRM | 2022-11-21 | 143.28 | 0.4620 | 0.4751 | no |
| CSX | 2022-11-21 | 29.08 | 0.5783 | 0.5025 | no |
| DUK | 2022-11-21 | 83.56 | 0.4958 | 0.5246 | no |
| DVA | 2022-11-21 | 70.33 | 0.3332 | 0.4755 | no |
| DVN | 2022-11-21 | 57.50 | 0.3353 | 0.7056 | no |
| ECL | 2022-11-21 | 140.82 | 0.5228 | 0.5000 | no |
| ED | 2022-11-21 | 82.45 | 0.5833 | — | no |
| EIX | 2022-11-21 | 51.37 | 0.3099 | 0.5544 | no |
| ES | 2022-11-21 | 67.84 | 0.4902 | 0.5237 | no |
| ETR | 2022-11-21 | 49.11 | 0.7396 | 0.5237 | no |
| EVRG | 2022-11-21 | 50.15 | 0.7070 | 0.4489 | no |
| EXC | 2022-11-21 | 33.50 | 0.3068 | 0.5196 | no |
| IFF | 2022-11-21 | 88.33 | 0.5184 | 0.4973 | no |
| INTU | 2022-11-21 | 365.75 | 0.7814 | 0.4898 | no |
| IP | 2022-11-21 | 29.91 | 0.4640 | 0.4735 | no |
| KMX | 2022-11-21 | 66.62 | 0.3118 | 0.4394 | no |
| KO | 2022-11-21 | 54.66 | 0.3352 | 0.4568 | no |
| LYB | 2022-11-21 | 62.93 | 0.3467 | 0.4946 | no |
| MOS | 2022-11-21 | 43.16 | 1.0173 | 0.5061 | no |
| OGN | 2022-11-21 | 20.97 | 0.5192 | 0.5246 | no |
| OKE | 2022-11-21 | 52.45 | 0.3066 | 0.5871 | no |
| OXY | 2022-11-21 | 64.72 | 0.6885 | 0.7115 | no |
| PKG | 2022-11-21 | 114.62 | 0.6484 | 0.4932 | no |
| PM | 2022-11-21 | 81.69 | 0.3516 | 0.4618 | no |
| PNW | 2022-11-21 | 63.14 | 0.6027 | 0.5086 | no |
| PPL | 2022-11-21 | 24.47 | 0.5743 | 0.5175 | no |
| PSA | 2022-11-21 | 249.18 | 0.6190 | 0.4546 | no |
| QCOM | 2022-11-21 | 110.67 | 0.3084 | 0.4775 | no |
| SBAC | 2022-11-21 | 269.21 | 0.4485 | 0.4647 | no |
| SNPS | 2022-11-21 | 325.57 | 0.3300 | 0.5221 | no |
| SPGI | 2022-11-21 | 313.88 | 0.6369 | 0.4644 | no |
| SRE | 2022-11-21 | 70.09 | 0.4999 | 0.5247 | no |
| SWK | 2022-11-21 | 67.79 | 0.4687 | 0.4595 | no |
| SWKS | 2022-11-21 | 82.91 | 0.4206 | 0.5126 | no |
| UNP | 2022-11-21 | 191.54 | 0.3879 | 0.5183 | no |
| UPS | 2022-11-21 | 146.01 | 0.3424 | 0.4781 | no |
| WDC | 2022-11-21 | 27.33 | 0.2953 | 0.5084 | no |
| WEC | 2022-11-21 | 83.96 | 0.6931 | 0.5057 | no |
| WMB | 2022-11-21 | 27.88 | 0.6285 | 0.5171 | no |
| XEL | 2022-11-21 | 59.46 | 0.4305 | 0.5414 | no |
| ZION | 2022-11-21 | 44.14 | 0.5338 | 0.5004 | no |