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 | -0.31% | 5.55% | 2023-02-02 | -7.76% |
| buy & hold | participation factor overlay | 6 months | complete | -3.64% | 5.55% | 2023-02-02 | -10.57% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.43% | 7.00% | 2023-02-02 | -8.66% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -3.73% | 7.00% | 2023-02-02 | -12.15% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.67% | 4.81% | 2023-02-02 | -5.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.71% | 4.81% | 2023-02-02 | -8.47% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.01% | 5.26% | 2023-02-02 | -6.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.21% | 5.26% | 2023-02-02 | -10.45% |
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 | 2022-12-05 | 139.16 | 0.4031 | 0.4982 | no |
| ADBE | 2022-12-05 | 337.80 | 0.6120 | 0.5153 | no |
| AEP | 2022-12-05 | 82.44 | 0.6755 | 0.4933 | no |
| AES | 2022-12-05 | 24.00 | 0.3773 | — | no |
| AMT | 2022-12-05 | 189.98 | 0.8529 | 0.4553 | no |
| AWK | 2022-12-05 | 139.61 | 0.3361 | 0.5093 | no |
| C | 2022-12-05 | 41.46 | 0.6152 | 0.5199 | no |
| CCI | 2022-12-05 | 111.77 | 0.4171 | 0.4689 | no |
| CMS | 2022-12-05 | 53.28 | 0.6754 | 0.4998 | no |
| CNP | 2022-12-05 | 27.61 | 0.7085 | 0.4635 | no |
| COST | 2022-12-05 | 470.61 | 0.4907 | — | no |
| CSX | 2022-12-05 | 30.18 | 0.5218 | 0.5025 | no |
| DLR | 2022-12-05 | 96.29 | 0.5063 | 0.4443 | no |
| DPZ | 2022-12-05 | 363.61 | 0.3897 | 0.4856 | no |
| DTE | 2022-12-05 | 100.48 | 0.3127 | 0.5371 | no |
| DUK | 2022-12-05 | 85.46 | 0.5764 | 0.5246 | no |
| DVN | 2022-12-05 | 59.32 | 0.6754 | 0.7056 | no |
| ED | 2022-12-05 | 84.91 | 0.7028 | — | no |
| EIX | 2022-12-05 | 53.99 | 0.4149 | 0.5544 | no |
| EL | 2022-12-05 | 220.59 | 0.3662 | 0.4756 | no |
| ES | 2022-12-05 | 70.40 | 0.6251 | 0.5237 | no |
| ETR | 2022-12-05 | 50.50 | 0.4124 | 0.5237 | no |
| EXC | 2022-12-05 | 35.82 | 0.5252 | 0.5196 | no |
| FAST | 2022-12-05 | 23.29 | 0.3074 | 0.4627 | no |
| FDS | 2022-12-05 | 447.53 | 0.6662 | 0.5007 | no |
| FDX | 2022-12-05 | 133.17 | 0.5053 | 0.4936 | no |
| GWW | 2022-12-05 | 576.43 | 0.5505 | 0.4795 | no |
| IP | 2022-12-05 | 30.93 | 0.4960 | 0.4735 | no |
| KIM | 2022-12-05 | 18.52 | 0.5974 | 0.4390 | no |
| LNT | 2022-12-05 | 47.90 | 0.5201 | 0.5350 | no |
| LUV | 2022-12-05 | 36.28 | 0.4183 | 0.4426 | no |
| MPWR | 2022-12-05 | 367.88 | 0.6076 | 0.5278 | no |
| MS | 2022-12-05 | 81.32 | 0.3842 | 0.4744 | no |
| NI | 2022-12-05 | 24.19 | 0.5572 | 0.5288 | no |
| NOW | 2022-12-05 | 81.20 | 0.5030 | 0.4783 | no |
| NTAP | 2022-12-05 | 60.20 | 0.4928 | 0.5229 | no |
| OXY | 2022-12-05 | 64.82 | 0.5172 | 0.7115 | no |
| PEG | 2022-12-05 | 52.77 | 0.5428 | 0.5103 | no |
| PKG | 2022-12-05 | 122.08 | 0.4113 | 0.4932 | no |
| PNR | 2022-12-05 | 43.92 | 0.4073 | 0.4942 | no |
| PPL | 2022-12-05 | 25.30 | 0.5462 | 0.5175 | no |
| REG | 2022-12-05 | 55.74 | 0.3335 | 0.4395 | no |
| SBAC | 2022-12-05 | 272.84 | 0.6973 | 0.4647 | no |
| SRE | 2022-12-05 | 73.06 | 0.3841 | 0.5247 | no |
| TSLA | 2022-12-05 | 189.44 | 0.3241 | 0.4864 | no |
| WDC | 2022-12-05 | 26.56 | 0.9816 | 0.5090 | no |
| WEC | 2022-12-05 | 83.38 | 0.6625 | 0.5057 | no |
| WY | 2022-12-05 | 27.87 | 0.3421 | 0.4769 | no |
| XEL | 2022-12-05 | 60.10 | 0.7986 | 0.5414 | no |
| ZBRA | 2022-12-05 | 272.88 | 0.3091 | 0.4510 | no |