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 | -0.09% | 5.58% | 2023-02-02 | -7.97% |
| buy & hold | participation factor overlay | 6 months | complete | -1.11% | 5.58% | 2023-02-02 | -9.47% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.55% | 5.42% | 2023-02-02 | -8.96% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.14% | 5.42% | 2023-02-02 | -11.39% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.83% | 6.46% | 2023-02-02 | -4.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.18% | 6.46% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.09% | 7.17% | 2023-02-02 | -5.87% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.14% | 7.17% | 2023-02-02 | -9.70% |
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 | 0.8253 | 0.5153 | no |
| AEP | 2022-12-05 | 82.44 | 0.8895 | 0.4933 | no |
| AES | 2022-12-05 | 24.00 | 0.6598 | — | no |
| AMT | 2022-12-05 | 189.98 | 0.8230 | 0.4553 | no |
| AWK | 2022-12-05 | 139.61 | 0.3767 | 0.5093 | no |
| C | 2022-12-05 | 41.46 | 0.7366 | 0.5199 | no |
| CCI | 2022-12-05 | 111.77 | 0.4851 | 0.4689 | no |
| CDW | 2022-12-05 | 178.46 | 0.4052 | 0.5073 | no |
| CMS | 2022-12-05 | 53.28 | 0.8096 | 0.4998 | no |
| CNP | 2022-12-05 | 27.61 | 0.5556 | 0.4635 | no |
| COST | 2022-12-05 | 470.61 | 0.5249 | — | no |
| CRM | 2022-12-05 | 140.12 | 0.3508 | 0.5111 | no |
| CSX | 2022-12-05 | 30.18 | 0.4982 | 0.5025 | no |
| DLR | 2022-12-05 | 96.29 | 0.4182 | 0.4443 | no |
| DPZ | 2022-12-05 | 363.61 | 0.5136 | 0.4856 | no |
| DUK | 2022-12-05 | 85.46 | 0.7618 | 0.5246 | no |
| DVN | 2022-12-05 | 59.32 | 0.6655 | 0.7056 | no |
| ED | 2022-12-05 | 84.91 | 0.8684 | — | no |
| EIX | 2022-12-05 | 53.99 | 0.5371 | 0.5544 | no |
| EL | 2022-12-05 | 220.59 | 0.3979 | 0.4756 | no |
| ES | 2022-12-05 | 70.40 | 0.6755 | 0.5237 | no |
| ETR | 2022-12-05 | 50.50 | 0.3998 | 0.5237 | no |
| EXC | 2022-12-05 | 35.82 | 0.5644 | 0.5196 | no |
| FAST | 2022-12-05 | 23.29 | 0.3687 | 0.4627 | no |
| FDS | 2022-12-05 | 447.53 | 0.6129 | 0.5007 | no |
| FDX | 2022-12-05 | 133.17 | 0.5822 | 0.4936 | no |
| GWW | 2022-12-05 | 576.43 | 0.3879 | 0.4795 | no |
| INTC | 2022-12-05 | 28.37 | 0.3973 | 0.4965 | no |
| IP | 2022-12-05 | 30.93 | 0.5910 | 0.4735 | no |
| KIM | 2022-12-05 | 18.52 | 0.3476 | 0.4390 | no |
| KMX | 2022-12-05 | 68.83 | 0.4332 | 0.4400 | no |
| LNT | 2022-12-05 | 47.90 | 0.7603 | 0.5350 | no |
| LUV | 2022-12-05 | 36.28 | 0.4312 | 0.4426 | no |
| MPWR | 2022-12-05 | 367.88 | 0.4548 | 0.5278 | no |
| MS | 2022-12-05 | 81.32 | 0.3660 | 0.4744 | no |
| MU | 2022-12-05 | 53.44 | 0.4642 | 0.5000 | no |
| NEE | 2022-12-05 | 76.23 | 0.4233 | 0.4885 | no |
| NI | 2022-12-05 | 24.19 | 0.4828 | 0.5288 | no |
| NOW | 2022-12-05 | 81.20 | 0.6206 | 0.4783 | no |
| NTAP | 2022-12-05 | 60.20 | 0.4457 | 0.5229 | no |
| OXY | 2022-12-05 | 64.82 | 0.5175 | 0.7115 | no |
| PEG | 2022-12-05 | 52.77 | 0.4649 | 0.5103 | no |
| PNR | 2022-12-05 | 43.92 | 0.3837 | 0.4942 | no |
| PNW | 2022-12-05 | 66.16 | 0.4188 | 0.5086 | no |
| PPL | 2022-12-05 | 25.30 | 0.5533 | 0.5175 | no |
| SBAC | 2022-12-05 | 272.84 | 0.6132 | 0.4647 | no |
| SRE | 2022-12-05 | 73.06 | 0.5023 | 0.5247 | no |
| WDC | 2022-12-05 | 26.56 | 1.0585 | 0.5090 | no |
| WEC | 2022-12-05 | 83.38 | 0.8352 | 0.5057 | no |
| XEL | 2022-12-05 | 60.10 | 0.8296 | 0.5414 | no |