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 | -0.87% | 5.40% | 2023-02-02 | -5.94% |
| buy & hold | participation factor overlay | 6 months | complete | -3.36% | 5.40% | 2023-02-02 | -9.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.15% | 7.68% | 2023-02-02 | -7.27% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -3.31% | 7.68% | 2023-02-02 | -11.69% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.83% | 6.71% | 2023-02-02 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.53% | 6.89% | 2023-03-03 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.04% | 8.27% | 2023-02-02 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.04% | 8.27% | 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 | 2022-11-28 | 136.79 | 0.3426 | 0.5000 | no |
| ADBE | 2022-11-28 | 335.83 | 0.5259 | 0.5153 | no |
| AEE | 2022-11-28 | 78.08 | 0.5300 | 0.4372 | no |
| AEP | 2022-11-28 | 84.74 | 0.6828 | 0.4933 | no |
| AWK | 2022-11-28 | 138.80 | 0.3003 | 0.5093 | no |
| BBY | 2022-11-28 | 66.88 | 0.3046 | 0.5541 | no |
| C | 2022-11-28 | 42.32 | 0.3969 | 0.5199 | no |
| CMS | 2022-11-28 | 54.02 | 0.5553 | 0.4998 | no |
| CNP | 2022-11-28 | 27.97 | 0.5750 | 0.4635 | no |
| COST | 2022-11-28 | 507.30 | 0.3326 | — | no |
| CSX | 2022-11-28 | 30.17 | 0.3078 | 0.5025 | no |
| DLR | 2022-11-28 | 96.17 | 0.3370 | 0.4443 | no |
| DUK | 2022-11-28 | 85.85 | 0.3694 | 0.5246 | no |
| ED | 2022-11-28 | 85.33 | 0.4987 | — | no |
| EIX | 2022-11-28 | 53.06 | 0.2717 | 0.5544 | no |
| ES | 2022-11-28 | 69.60 | 0.6475 | 0.5237 | no |
| ETR | 2022-11-28 | 49.69 | 0.7595 | 0.5237 | no |
| EVRG | 2022-11-28 | 50.23 | 0.2968 | 0.4489 | no |
| FAST | 2022-11-28 | 23.85 | 0.3345 | 0.4627 | no |
| FDS | 2022-11-28 | 432.94 | 0.3293 | 0.4990 | no |
| FDX | 2022-11-28 | 130.35 | 0.3477 | 0.4935 | no |
| GL | 2022-11-28 | 112.93 | 0.3401 | 0.5050 | no |
| GWW | 2022-11-28 | 581.31 | 0.4926 | 0.4795 | no |
| IP | 2022-11-28 | 30.59 | 0.4688 | 0.4735 | no |
| KIM | 2022-11-28 | 18.66 | 0.2911 | 0.4390 | no |
| LNT | 2022-11-28 | 49.34 | 0.5257 | 0.5350 | no |
| LUV | 2022-11-28 | 35.77 | 0.4965 | 0.4426 | no |
| MO | 2022-11-28 | 32.92 | 0.2586 | 0.4426 | no |
| MPWR | 2022-11-28 | 352.14 | 0.3049 | 0.5257 | no |
| MS | 2022-11-28 | 80.18 | 0.3420 | 0.4744 | no |
| NEE | 2022-11-28 | 75.64 | 0.2907 | 0.4885 | no |
| NTAP | 2022-11-28 | 68.49 | 0.2793 | 0.5111 | no |
| OGN | 2022-11-28 | 21.34 | 0.4501 | 0.5246 | no |
| OKE | 2022-11-28 | 52.77 | 0.2466 | 0.5871 | no |
| PKG | 2022-11-28 | 117.80 | 0.5967 | 0.4932 | no |
| PNW | 2022-11-28 | 64.95 | 0.5412 | 0.5086 | no |
| PPL | 2022-11-28 | 25.37 | 0.5002 | 0.5175 | no |
| RTX | 2022-11-28 | 89.75 | 0.2672 | 0.5833 | no |
| SBAC | 2022-11-28 | 275.06 | 0.4038 | 0.4647 | no |
| SCHW | 2022-11-28 | 76.70 | 0.2766 | — | no |
| SNPS | 2022-11-28 | 332.24 | 0.3300 | 0.5221 | no |
| SPGI | 2022-11-28 | 324.90 | 0.4021 | 0.4644 | no |
| SRE | 2022-11-28 | 72.05 | 0.4711 | 0.5247 | no |
| SWK | 2022-11-28 | 69.96 | 0.2437 | 0.4595 | no |
| SWKS | 2022-11-28 | 81.57 | 0.4562 | 0.5126 | no |
| TSLA | 2022-11-28 | 179.96 | 0.4212 | 0.4871 | no |
| WDC | 2022-11-28 | 27.65 | 0.5740 | 0.5084 | no |
| WEC | 2022-11-28 | 85.97 | 0.5401 | 0.5057 | no |
| WMB | 2022-11-28 | 28.19 | 0.2963 | 0.5171 | no |
| XEL | 2022-11-28 | 60.63 | 0.5549 | 0.5414 | no |