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 | -1.15% | 4.52% | 2023-02-02 | -7.77% |
| buy & hold | participation factor overlay | 6 months | complete | -2.50% | 4.52% | 2023-02-02 | -9.58% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.10% | 5.79% | 2023-02-02 | -8.80% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.56% | 5.79% | 2023-02-02 | -11.97% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.53% | 6.81% | 2023-02-02 | -4.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.62% | 6.81% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.13% | 7.59% | 2023-02-02 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.41% | 7.59% | 2023-02-02 | -9.12% |
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 |
|---|---|---|---|---|---|
| ADBE | 2022-12-05 | 337.80 | 0.6217 | 0.5153 | no |
| AEP | 2022-12-05 | 82.44 | 0.8358 | 0.4933 | no |
| AES | 2022-12-05 | 24.00 | 0.4025 | — | no |
| AMT | 2022-12-05 | 189.98 | 0.7766 | 0.4553 | no |
| AWK | 2022-12-05 | 139.61 | 0.4064 | 0.5093 | no |
| C | 2022-12-05 | 41.46 | 0.6551 | 0.5199 | no |
| CCI | 2022-12-05 | 111.77 | 0.5905 | 0.4689 | no |
| CDW | 2022-12-05 | 178.46 | 0.4627 | 0.5073 | no |
| CMS | 2022-12-05 | 53.28 | 0.7468 | 0.4998 | no |
| CNP | 2022-12-05 | 27.61 | 0.5794 | 0.4635 | no |
| COST | 2022-12-05 | 470.61 | 0.4151 | — | no |
| CSX | 2022-12-05 | 30.18 | 0.4559 | 0.5025 | no |
| DLR | 2022-12-05 | 96.29 | 0.4429 | 0.4443 | no |
| DTE | 2022-12-05 | 100.48 | 0.4035 | 0.5371 | no |
| DUK | 2022-12-05 | 85.46 | 0.7153 | 0.5246 | no |
| DVN | 2022-12-05 | 59.32 | 0.7233 | 0.7056 | no |
| ED | 2022-12-05 | 84.91 | 0.7687 | — | no |
| EIX | 2022-12-05 | 53.99 | 0.4311 | 0.5544 | no |
| EL | 2022-12-05 | 220.59 | 0.4164 | 0.4756 | no |
| ES | 2022-12-05 | 70.40 | 0.6801 | 0.5237 | no |
| EXC | 2022-12-05 | 35.82 | 0.6117 | 0.5196 | no |
| FDS | 2022-12-05 | 447.53 | 0.6017 | 0.5007 | no |
| FDX | 2022-12-05 | 133.17 | 0.5750 | 0.4936 | no |
| GWW | 2022-12-05 | 576.43 | 0.3388 | 0.4795 | no |
| INTC | 2022-12-05 | 28.37 | 0.3244 | 0.4965 | no |
| INTU | 2022-12-05 | 389.63 | 0.3249 | 0.4664 | no |
| IP | 2022-12-05 | 30.93 | 0.5153 | 0.4735 | no |
| KIM | 2022-12-05 | 18.52 | 0.4572 | 0.4390 | no |
| LNT | 2022-12-05 | 47.90 | 0.5487 | 0.5350 | no |
| LUV | 2022-12-05 | 36.28 | 0.4195 | 0.4426 | no |
| MCD | 2022-12-05 | 247.99 | 0.3236 | 0.4831 | no |
| MS | 2022-12-05 | 81.32 | 0.4467 | 0.4744 | no |
| MU | 2022-12-05 | 53.44 | 0.5217 | 0.5000 | no |
| NEE | 2022-12-05 | 76.23 | 0.3859 | 0.4885 | no |
| NI | 2022-12-05 | 24.19 | 0.6584 | 0.5288 | no |
| NOW | 2022-12-05 | 81.20 | 0.5255 | 0.4783 | no |
| NTAP | 2022-12-05 | 60.20 | 0.3623 | 0.5229 | no |
| OKE | 2022-12-05 | 55.52 | 0.3762 | 0.5871 | no |
| OXY | 2022-12-05 | 64.82 | 0.3920 | 0.7115 | no |
| PEG | 2022-12-05 | 52.77 | 0.3621 | 0.5103 | no |
| PNW | 2022-12-05 | 66.16 | 0.4209 | 0.5086 | no |
| PPL | 2022-12-05 | 25.30 | 0.5505 | 0.5175 | no |
| REG | 2022-12-05 | 55.74 | 0.3547 | 0.4395 | no |
| ROK | 2022-12-05 | 246.99 | 0.3114 | 0.4594 | no |
| SBAC | 2022-12-05 | 272.84 | 0.5492 | 0.4647 | no |
| SPGI | 2022-12-05 | 325.14 | 0.3208 | 0.4661 | no |
| SRE | 2022-12-05 | 73.06 | 0.3862 | 0.5247 | no |
| WDC | 2022-12-05 | 26.56 | 0.8285 | 0.5090 | no |
| WEC | 2022-12-05 | 83.38 | 0.7759 | 0.5057 | no |
| XEL | 2022-12-05 | 60.10 | 0.6825 | 0.5414 | no |