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 | -1.38% | 8.64% | 2023-02-02 | -9.23% |
| buy & hold | participation factor overlay | 6 months | complete | 0.85% | 8.64% | 2023-02-02 | -11.99% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.68% | 10.84% | 2023-02-02 | -12.19% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.42% | 10.84% | 2023-02-02 | -15.46% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.50% | 7.66% | 2023-02-02 | -6.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.19% | 7.66% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.14% | 8.70% | 2023-02-02 | -6.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.73% | 8.70% | 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 |
|---|---|---|---|---|---|
| ADSK | 2022-12-12 | 193.27 | 0.4307 | 0.5248 | no |
| ALB | 2022-12-12 | 238.96 | 0.4322 | 0.5226 | no |
| AMD | 2022-12-12 | 68.54 | 0.4964 | 0.4978 | no |
| AMT | 2022-12-12 | 189.04 | 0.9025 | 0.4553 | no |
| APA | 2022-12-12 | 37.04 | 0.5507 | 0.7059 | no |
| BAC | 2022-12-12 | 29.39 | 0.8254 | 0.5067 | no |
| BALL | 2022-12-12 | 50.76 | 0.4704 | 0.4602 | no |
| BKR | 2022-12-12 | 25.27 | 0.3506 | 0.6102 | no |
| BR | 2022-12-12 | 132.52 | 0.4505 | 0.4450 | no |
| CMS | 2022-12-12 | 56.00 | 0.4064 | 0.4998 | no |
| CNP | 2022-12-12 | 27.80 | 0.4805 | 0.4635 | no |
| COP | 2022-12-12 | 97.79 | 0.9198 | 0.7056 | no |
| COST | 2022-12-12 | 461.28 | 0.3905 | 0.6224 | no |
| CRM | 2022-12-12 | 128.64 | 0.3889 | 0.5111 | no |
| CVX | 2022-12-12 | 144.88 | 0.4560 | 0.6510 | no |
| DAL | 2022-12-12 | 32.52 | 0.4441 | 0.4424 | no |
| DLR | 2022-12-12 | 93.61 | 0.4717 | 0.4443 | no |
| DLTR | 2022-12-12 | 143.41 | 0.3459 | 0.6278 | no |
| DUK | 2022-12-12 | 87.78 | 0.5135 | 0.5246 | no |
| DVN | 2022-12-12 | 52.13 | 0.6662 | 0.7056 | no |
| DXC | 2022-12-12 | 26.21 | 0.6286 | 0.4676 | no |
| ED | 2022-12-12 | 85.48 | 0.4534 | — | no |
| EL | 2022-12-12 | 224.66 | 0.3854 | 0.4767 | no |
| EOG | 2022-12-12 | 105.96 | 1.2175 | 0.7219 | no |
| ES | 2022-12-12 | 72.04 | 0.5110 | 0.5237 | no |
| FANG | 2022-12-12 | 113.35 | 1.1649 | 0.7376 | no |
| GD | 2022-12-12 | 229.55 | 0.3847 | 0.5844 | no |
| GOOG | 2022-12-12 | 92.22 | 0.4580 | — | no |
| HAL | 2022-12-12 | 30.48 | 0.5911 | 0.6260 | no |
| IRM | 2022-12-12 | 47.55 | 0.3903 | 0.4765 | no |
| KMX | 2022-12-12 | 65.67 | 0.3784 | 0.4400 | no |
| MOS | 2022-12-12 | 41.58 | 0.3978 | 0.5066 | no |
| MPC | 2022-12-12 | 99.36 | 0.4750 | 0.5969 | no |
| MS | 2022-12-12 | 79.12 | 0.4967 | 0.4744 | no |
| MTB | 2022-12-12 | 133.58 | 0.3528 | 0.5346 | no |
| MU | 2022-12-12 | 52.60 | 0.5493 | 0.4998 | no |
| NI | 2022-12-12 | 24.44 | 0.6469 | 0.5288 | no |
| OXY | 2022-12-12 | 59.02 | 0.9059 | 0.7115 | no |
| PNW | 2022-12-12 | 66.63 | 0.4677 | 0.5086 | no |
| PPL | 2022-12-12 | 25.62 | 0.3938 | 0.5175 | no |
| PSX | 2022-12-12 | 86.71 | 0.3984 | 0.6124 | no |
| QCOM | 2022-12-12 | 106.75 | 0.5203 | 0.4777 | no |
| RJF | 2022-12-12 | 107.27 | 0.7131 | 0.4798 | no |
| SBAC | 2022-12-12 | 269.18 | 0.6754 | 0.4647 | no |
| SLB | 2022-12-12 | 42.95 | 0.5207 | 0.6527 | no |
| SRE | 2022-12-12 | 72.16 | 0.3881 | 0.5247 | no |
| SWKS | 2022-12-12 | 83.70 | 0.4372 | 0.5126 | no |
| VLO | 2022-12-12 | 103.67 | 0.9340 | 0.5811 | no |
| ZBRA | 2022-12-12 | 253.84 | 0.7069 | 0.4510 | no |
| ZION | 2022-12-12 | 41.28 | 0.6492 | 0.5004 | no |