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 | -1.87% | 5.62% | 2023-02-02 | -7.09% |
| buy & hold | participation factor overlay | 6 months | complete | -4.05% | 5.62% | 2023-02-02 | -10.28% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.88% | 7.82% | 2023-02-02 | -8.06% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.86% | 7.82% | 2023-02-02 | -13.62% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.17% | 5.52% | 2023-02-02 | -5.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.11% | 5.52% | 2023-02-02 | -8.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.29% | 5.80% | 2023-02-02 | -6.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -4.05% | 5.80% | 2023-02-02 | -10.31% |
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 | 2022-11-28 | 136.79 | 0.4289 | 0.5000 | no |
| ADBE | 2022-11-28 | 335.83 | 0.5049 | 0.5153 | no |
| AEE | 2022-11-28 | 78.08 | 0.5584 | 0.4372 | no |
| AEP | 2022-11-28 | 84.74 | 0.5984 | 0.4933 | no |
| ALB | 2022-11-28 | 252.98 | 0.3865 | 0.5216 | no |
| AMT | 2022-11-28 | 192.41 | 0.2804 | 0.4553 | no |
| AWK | 2022-11-28 | 138.80 | 0.2804 | 0.5093 | no |
| BA | 2022-11-28 | 176.17 | 0.2785 | 0.5724 | no |
| C | 2022-11-28 | 42.32 | 0.5149 | 0.5199 | no |
| CMG | 2022-11-28 | 30.30 | 0.2796 | 0.4682 | no |
| CMS | 2022-11-28 | 54.02 | 0.4665 | 0.4998 | no |
| CNP | 2022-11-28 | 27.97 | 0.4717 | 0.4635 | no |
| DIS | 2022-11-28 | 95.22 | 0.3779 | 0.4604 | no |
| DLR | 2022-11-28 | 96.17 | 0.4948 | 0.4443 | no |
| DPZ | 2022-11-28 | 365.01 | 0.3383 | 0.4844 | no |
| DUK | 2022-11-28 | 85.85 | 0.5374 | 0.5246 | no |
| EBAY | 2022-11-28 | 41.88 | 0.3854 | 0.4514 | no |
| ED | 2022-11-28 | 85.33 | 0.4862 | — | no |
| EIX | 2022-11-28 | 53.06 | 0.3095 | 0.5544 | no |
| ES | 2022-11-28 | 69.60 | 0.5422 | 0.5237 | no |
| ETR | 2022-11-28 | 49.69 | 0.6316 | 0.5237 | no |
| EVRG | 2022-11-28 | 50.23 | 0.5739 | 0.4489 | no |
| EXC | 2022-11-28 | 34.82 | 0.3453 | 0.5196 | no |
| GWW | 2022-11-28 | 581.31 | 0.4150 | 0.4795 | no |
| ICE | 2022-11-28 | 100.95 | 0.2750 | 0.5021 | no |
| IP | 2022-11-28 | 30.59 | 0.2894 | 0.4735 | no |
| LNT | 2022-11-28 | 49.34 | 0.5475 | 0.5350 | no |
| LUV | 2022-11-28 | 35.77 | 0.5812 | 0.4426 | no |
| MO | 2022-11-28 | 32.92 | 0.3502 | 0.4426 | no |
| MS | 2022-11-28 | 80.18 | 0.3648 | 0.4744 | no |
| NEE | 2022-11-28 | 75.64 | 0.2860 | 0.4885 | no |
| NI | 2022-11-28 | 23.98 | 0.3670 | 0.5288 | no |
| OGN | 2022-11-28 | 21.34 | 0.7478 | 0.5246 | no |
| OKE | 2022-11-28 | 52.77 | 0.2916 | 0.5871 | no |
| OXY | 2022-11-28 | 63.82 | 0.4882 | 0.7115 | no |
| PKG | 2022-11-28 | 117.80 | 0.4917 | 0.4932 | no |
| PNW | 2022-11-28 | 64.95 | 0.6450 | 0.5086 | no |
| PPL | 2022-11-28 | 25.37 | 0.4402 | 0.5175 | no |
| PSA | 2022-11-28 | 253.43 | 0.3105 | 0.4546 | no |
| SBAC | 2022-11-28 | 275.06 | 0.4464 | 0.4647 | no |
| SO | 2022-11-28 | 58.11 | 0.2609 | 0.5060 | no |
| SPGI | 2022-11-28 | 324.90 | 0.4414 | 0.4644 | no |
| SWK | 2022-11-28 | 69.96 | 0.3555 | 0.4595 | no |
| SWKS | 2022-11-28 | 81.57 | 0.5594 | 0.5126 | no |
| TSLA | 2022-11-28 | 179.96 | 0.4683 | 0.4871 | no |
| WDC | 2022-11-28 | 27.65 | 0.5497 | 0.5084 | no |
| WEC | 2022-11-28 | 85.97 | 0.5092 | 0.5057 | no |
| WMT | 2022-11-28 | 48.58 | 0.2636 | 0.5846 | no |
| WY | 2022-11-28 | 27.68 | 0.4429 | 0.4769 | no |
| XEL | 2022-11-28 | 60.63 | 0.6321 | 0.5414 | no |