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 | 0.67% | 7.23% | 2023-02-02 | -6.12% |
| buy & hold | participation factor overlay | 6 months | complete | -1.69% | 7.23% | 2023-02-02 | -11.10% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.50% | 9.12% | 2023-02-02 | -7.39% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.11% | 9.12% | 2023-02-02 | -13.50% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.32% | 8.92% | 2023-02-02 | -4.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.92% | 8.92% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.49% | 9.59% | 2023-02-02 | -6.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.10% | 9.59% | 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 |
|---|---|---|---|---|---|
| AAP | 2022-11-21 | 135.33 | 0.5589 | 0.5000 | no |
| ADBE | 2022-11-21 | 329.53 | 0.5905 | 0.5153 | no |
| AEP | 2022-11-21 | 79.73 | 0.3992 | 0.4933 | no |
| ATO | 2022-11-21 | 103.78 | 0.4728 | 0.5444 | no |
| AWK | 2022-11-21 | 135.04 | 0.5608 | 0.5093 | no |
| CF | 2022-11-21 | 92.14 | 0.4769 | 0.4962 | no |
| CNP | 2022-11-21 | 26.94 | 0.5456 | 0.4635 | no |
| CRM | 2022-11-21 | 143.28 | 0.4061 | 0.4751 | no |
| CSX | 2022-11-21 | 29.08 | 0.6254 | 0.5025 | no |
| DPZ | 2022-11-21 | 345.90 | 0.4637 | 0.4844 | no |
| DUK | 2022-11-21 | 83.56 | 0.5273 | 0.5246 | no |
| DVN | 2022-11-21 | 57.50 | 0.4198 | 0.7056 | no |
| ECL | 2022-11-21 | 140.82 | 0.3940 | 0.5000 | no |
| ED | 2022-11-21 | 82.45 | 0.5439 | — | no |
| EIX | 2022-11-21 | 51.37 | 0.3481 | 0.5544 | no |
| EMN | 2022-11-21 | 70.88 | 0.4072 | 0.5007 | no |
| ES | 2022-11-21 | 67.84 | 0.4248 | 0.5237 | no |
| ETR | 2022-11-21 | 49.11 | 0.6871 | 0.5237 | no |
| EVRG | 2022-11-21 | 50.15 | 0.4556 | 0.4489 | no |
| IFF | 2022-11-21 | 88.33 | 0.7327 | 0.4973 | no |
| INTC | 2022-11-21 | 28.60 | 0.3527 | 0.4963 | no |
| INTU | 2022-11-21 | 365.75 | 0.7258 | 0.4898 | no |
| IP | 2022-11-21 | 29.91 | 0.3968 | 0.4735 | no |
| KMX | 2022-11-21 | 66.62 | 0.3473 | 0.4394 | no |
| MO | 2022-11-21 | 32.70 | 0.4042 | 0.4426 | no |
| MOS | 2022-11-21 | 43.16 | 0.9369 | 0.5061 | no |
| NEE | 2022-11-21 | 73.72 | 0.3510 | 0.4885 | no |
| NOW | 2022-11-21 | 78.84 | 0.3304 | 0.4783 | no |
| NTAP | 2022-11-21 | 67.67 | 0.3847 | 0.5111 | no |
| OGN | 2022-11-21 | 20.97 | 0.7682 | 0.5246 | no |
| OXY | 2022-11-21 | 64.72 | 0.7105 | 0.7115 | no |
| PEG | 2022-11-21 | 50.40 | 0.3867 | 0.5103 | no |
| PKG | 2022-11-21 | 114.62 | 0.5749 | 0.4932 | no |
| PM | 2022-11-21 | 81.69 | 0.3485 | 0.4618 | no |
| PNW | 2022-11-21 | 63.14 | 0.6671 | 0.5086 | no |
| PPL | 2022-11-21 | 24.47 | 0.4791 | 0.5175 | no |
| PSA | 2022-11-21 | 249.18 | 0.8185 | 0.4546 | no |
| SBAC | 2022-11-21 | 269.21 | 0.5619 | 0.4647 | no |
| SPGI | 2022-11-21 | 313.88 | 0.7931 | 0.4644 | no |
| SWK | 2022-11-21 | 67.79 | 0.7805 | 0.4595 | no |
| SWKS | 2022-11-21 | 82.91 | 0.4601 | 0.5126 | no |
| TSLA | 2022-11-21 | 175.85 | 0.4719 | 0.4871 | no |
| UNP | 2022-11-21 | 191.54 | 0.4621 | 0.5183 | no |
| UPS | 2022-11-21 | 146.01 | 0.5803 | 0.4781 | no |
| WDC | 2022-11-21 | 27.33 | 0.6015 | 0.5084 | no |
| WEC | 2022-11-21 | 83.96 | 0.6680 | 0.5057 | no |
| WMB | 2022-11-21 | 27.88 | 0.5376 | 0.5171 | no |
| WY | 2022-11-21 | 27.86 | 0.3420 | 0.4769 | no |
| XEL | 2022-11-21 | 59.46 | 0.4530 | 0.5414 | no |
| ZION | 2022-11-21 | 44.14 | 0.7989 | 0.5004 | no |