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 | -1.93% | 5.07% | 2023-02-02 | -6.66% |
| buy & hold | participation factor overlay | 6 months | complete | -4.03% | 5.07% | 2023-02-02 | -10.00% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.87% | 6.80% | 2023-02-02 | -8.12% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -6.03% | 6.80% | 2023-02-02 | -12.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.37% | 6.82% | 2023-02-02 | -4.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.14% | 6.82% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.45% | 7.35% | 2023-02-02 | -6.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.05% | 7.35% | 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 | 2022-11-28 | 136.79 | 0.4116 | 0.5000 | no |
| ADBE | 2022-11-28 | 335.83 | 0.6271 | 0.5153 | no |
| AEE | 2022-11-28 | 78.08 | 0.4735 | 0.4372 | no |
| AEP | 2022-11-28 | 84.74 | 0.4670 | 0.4933 | no |
| AMT | 2022-11-28 | 192.41 | 0.3760 | 0.4553 | no |
| AWK | 2022-11-28 | 138.80 | 0.3178 | 0.5093 | no |
| C | 2022-11-28 | 42.32 | 0.5458 | 0.5199 | no |
| CMS | 2022-11-28 | 54.02 | 0.4832 | 0.4998 | no |
| CNP | 2022-11-28 | 27.97 | 0.4752 | 0.4635 | no |
| CSX | 2022-11-28 | 30.17 | 0.3121 | 0.5025 | no |
| DIS | 2022-11-28 | 95.22 | 0.3426 | 0.4604 | no |
| DLR | 2022-11-28 | 96.17 | 0.3115 | 0.4443 | no |
| DUK | 2022-11-28 | 85.85 | 0.2844 | 0.5246 | no |
| ED | 2022-11-28 | 85.33 | 0.3561 | — | no |
| EMN | 2022-11-28 | 73.03 | 0.3831 | 0.5007 | no |
| ES | 2022-11-28 | 69.60 | 0.4694 | 0.5237 | no |
| ETR | 2022-11-28 | 49.69 | 0.8043 | 0.5237 | no |
| EVRG | 2022-11-28 | 50.23 | 0.3560 | 0.4489 | no |
| EXC | 2022-11-28 | 34.82 | 0.2465 | 0.5196 | no |
| FAST | 2022-11-28 | 23.85 | 0.3969 | 0.4627 | no |
| FDX | 2022-11-28 | 130.35 | 0.2503 | 0.4935 | no |
| GWW | 2022-11-28 | 581.31 | 0.4740 | 0.4795 | no |
| INTC | 2022-11-28 | 28.06 | 0.2742 | 0.4963 | no |
| IP | 2022-11-28 | 30.59 | 0.3359 | 0.4735 | no |
| KIM | 2022-11-28 | 18.66 | 0.2850 | 0.4390 | no |
| KMB | 2022-11-28 | 114.98 | 0.3121 | 0.4383 | no |
| LNT | 2022-11-28 | 49.34 | 0.4972 | 0.5350 | no |
| LUV | 2022-11-28 | 35.77 | 0.4640 | 0.4426 | no |
| MO | 2022-11-28 | 32.92 | 0.2471 | 0.4426 | no |
| MS | 2022-11-28 | 80.18 | 0.2970 | 0.4744 | no |
| NI | 2022-11-28 | 23.98 | 0.2739 | 0.5288 | no |
| NSC | 2022-11-28 | 230.43 | 0.2680 | 0.5226 | no |
| NTAP | 2022-11-28 | 68.49 | 0.3501 | 0.5111 | no |
| OGN | 2022-11-28 | 21.34 | 0.8219 | 0.5246 | no |
| OKE | 2022-11-28 | 52.77 | 0.3302 | 0.5871 | no |
| ORCL | 2022-11-28 | 78.36 | 0.2610 | 0.5592 | no |
| OXY | 2022-11-28 | 63.82 | 0.3802 | 0.7115 | no |
| PKG | 2022-11-28 | 117.80 | 0.4574 | 0.4932 | no |
| PNW | 2022-11-28 | 64.95 | 0.6070 | 0.5086 | no |
| PPL | 2022-11-28 | 25.37 | 0.3467 | 0.5175 | no |
| RTX | 2022-11-28 | 89.75 | 0.2917 | 0.5833 | no |
| SBAC | 2022-11-28 | 275.06 | 0.5307 | 0.4647 | no |
| SWKS | 2022-11-28 | 81.57 | 0.3827 | 0.5126 | no |
| TSLA | 2022-11-28 | 179.96 | 0.5448 | 0.4871 | no |
| UNP | 2022-11-28 | 192.75 | 0.2581 | 0.5183 | no |
| WDC | 2022-11-28 | 27.65 | 0.6487 | 0.5084 | no |
| WEC | 2022-11-28 | 85.97 | 0.3776 | 0.5057 | no |
| WMB | 2022-11-28 | 28.19 | 0.3191 | 0.5171 | no |
| WY | 2022-11-28 | 27.68 | 0.4038 | 0.4769 | no |
| XEL | 2022-11-28 | 60.63 | 0.4913 | 0.5414 | no |