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 | -2.18% | 3.46% | 2023-02-02 | -7.81% |
| buy & hold | participation factor overlay | 6 months | complete | -4.87% | 3.46% | 2023-02-02 | -10.46% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.20% | 5.36% | 2023-02-02 | -8.67% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.71% | 5.36% | 2023-02-02 | -12.30% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.36% | 6.36% | 2023-03-03 | -4.33% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.87% | 6.36% | 2023-03-03 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.34% | 7.76% | 2023-02-02 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.18% | 7.76% | 2023-02-02 | -8.84% |
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 | 0.3146 | 0.4982 | no |
| ADBE | 2022-12-05 | 337.80 | 0.6055 | 0.5153 | no |
| AEP | 2022-12-05 | 82.44 | 0.7547 | 0.4933 | no |
| AES | 2022-12-05 | 24.00 | 0.4674 | — | no |
| AMT | 2022-12-05 | 189.98 | 0.6524 | 0.4553 | no |
| ATO | 2022-12-05 | 105.43 | 0.3452 | 0.5444 | no |
| AWK | 2022-12-05 | 139.61 | 0.4550 | 0.5093 | no |
| C | 2022-12-05 | 41.46 | 0.4855 | 0.5199 | no |
| CDW | 2022-12-05 | 178.46 | 0.3180 | 0.5073 | no |
| CMS | 2022-12-05 | 53.28 | 0.5268 | 0.4998 | no |
| CNC | 2022-12-05 | 85.29 | 0.4176 | 0.4802 | no |
| CNP | 2022-12-05 | 27.61 | 0.7218 | 0.4635 | no |
| DLR | 2022-12-05 | 96.29 | 0.3486 | 0.4443 | no |
| DPZ | 2022-12-05 | 363.61 | 0.5306 | 0.4856 | no |
| DRI | 2022-12-05 | 127.59 | 0.2938 | 0.4569 | no |
| DUK | 2022-12-05 | 85.46 | 0.7110 | 0.5246 | no |
| DVN | 2022-12-05 | 59.32 | 0.5098 | 0.7056 | no |
| ED | 2022-12-05 | 84.91 | 0.7455 | — | no |
| EIX | 2022-12-05 | 53.99 | 0.5602 | 0.5544 | no |
| EL | 2022-12-05 | 220.59 | 0.3574 | 0.4756 | no |
| ES | 2022-12-05 | 70.40 | 0.6783 | 0.5237 | no |
| ETR | 2022-12-05 | 50.50 | 0.3619 | 0.5237 | no |
| EXC | 2022-12-05 | 35.82 | 0.6898 | 0.5196 | no |
| FDS | 2022-12-05 | 447.53 | 0.6232 | 0.5007 | no |
| FDX | 2022-12-05 | 133.17 | 0.6994 | 0.4936 | no |
| IP | 2022-12-05 | 30.93 | 0.6495 | 0.4735 | no |
| IRM | 2022-12-05 | 47.36 | 0.3675 | 0.4765 | no |
| KIM | 2022-12-05 | 18.52 | 0.5278 | 0.4390 | no |
| KMX | 2022-12-05 | 68.83 | 0.4201 | 0.4400 | no |
| LNT | 2022-12-05 | 47.90 | 0.4584 | 0.5350 | no |
| LUV | 2022-12-05 | 36.28 | 0.3773 | 0.4426 | no |
| MOH | 2022-12-05 | 331.40 | 0.2804 | 0.4680 | no |
| MPWR | 2022-12-05 | 367.88 | 0.4776 | 0.5278 | no |
| MS | 2022-12-05 | 81.32 | 0.3422 | 0.4744 | no |
| NEE | 2022-12-05 | 76.23 | 0.5100 | 0.4885 | no |
| NI | 2022-12-05 | 24.19 | 0.4508 | 0.5288 | no |
| NOW | 2022-12-05 | 81.20 | 0.3780 | 0.4783 | no |
| NTAP | 2022-12-05 | 60.20 | 0.2776 | 0.5229 | no |
| OXY | 2022-12-05 | 64.82 | 0.2962 | 0.7115 | no |
| PEG | 2022-12-05 | 52.77 | 0.3868 | 0.5103 | no |
| PKG | 2022-12-05 | 122.08 | 0.5130 | 0.4932 | no |
| PPL | 2022-12-05 | 25.30 | 0.6742 | 0.5175 | no |
| REG | 2022-12-05 | 55.74 | 0.2890 | 0.4395 | no |
| SBAC | 2022-12-05 | 272.84 | 0.5337 | 0.4647 | no |
| SPGI | 2022-12-05 | 325.14 | 0.3488 | 0.4661 | no |
| SRE | 2022-12-05 | 73.06 | 0.5302 | 0.5247 | no |
| WDC | 2022-12-05 | 26.56 | 0.8933 | 0.5090 | no |
| WEC | 2022-12-05 | 83.38 | 0.7199 | 0.5057 | no |
| WMT | 2022-12-05 | 48.59 | 0.3581 | 0.5880 | no |
| XEL | 2022-12-05 | 60.10 | 0.7308 | 0.5414 | no |