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 | -1.94% | 8.20% | 2023-02-02 | -9.37% |
| buy & hold | participation factor overlay | 6 months | complete | 1.55% | 8.20% | 2023-02-02 | -10.90% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.02% | 11.16% | 2023-02-02 | -12.75% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.09% | 11.16% | 2023-02-02 | -16.45% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.90% | 5.79% | 2023-02-02 | -7.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.10% | 5.79% | 2023-02-02 | -8.47% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.85% | 6.73% | 2023-02-02 | -8.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.38% | 6.73% | 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 |
|---|---|---|---|---|---|
| AJG | 2022-12-12 | 185.57 | 0.3314 | 0.5369 | no |
| ALB | 2022-12-12 | 238.96 | 0.5804 | 0.5226 | no |
| AMD | 2022-12-12 | 68.54 | 0.5335 | 0.4978 | no |
| AMT | 2022-12-12 | 189.04 | 0.9866 | 0.4553 | no |
| APA | 2022-12-12 | 37.04 | 0.3966 | 0.7059 | no |
| BAC | 2022-12-12 | 29.39 | 0.6788 | 0.5067 | no |
| BALL | 2022-12-12 | 50.76 | 0.5171 | 0.4602 | no |
| BBY | 2022-12-12 | 67.62 | 0.3121 | 0.5539 | no |
| BR | 2022-12-12 | 132.52 | 0.3404 | 0.4450 | no |
| CCI | 2022-12-12 | 113.42 | 0.5274 | 0.4689 | no |
| CMS | 2022-12-12 | 56.00 | 0.4223 | 0.4998 | no |
| CNP | 2022-12-12 | 27.80 | 0.4802 | 0.4635 | no |
| COP | 2022-12-12 | 97.79 | 0.6174 | 0.7056 | no |
| COST | 2022-12-12 | 461.28 | 0.3399 | 0.6224 | no |
| CRM | 2022-12-12 | 128.64 | 0.3711 | 0.5111 | no |
| CTVA | 2022-12-12 | 60.52 | 0.3484 | 0.5164 | no |
| DAL | 2022-12-12 | 32.52 | 0.3889 | 0.4424 | no |
| DLR | 2022-12-12 | 93.61 | 0.5281 | 0.4443 | no |
| DLTR | 2022-12-12 | 143.41 | 0.3729 | 0.6278 | no |
| DUK | 2022-12-12 | 87.78 | 0.3756 | 0.5246 | no |
| DVN | 2022-12-12 | 52.13 | 0.5269 | 0.7056 | no |
| DXC | 2022-12-12 | 26.21 | 0.5069 | 0.4676 | no |
| ED | 2022-12-12 | 85.48 | 0.4984 | — | no |
| EOG | 2022-12-12 | 105.96 | 0.9714 | 0.7219 | no |
| ES | 2022-12-12 | 72.04 | 0.5303 | 0.5237 | no |
| FANG | 2022-12-12 | 113.35 | 0.9229 | 0.7376 | no |
| FDS | 2022-12-12 | 430.65 | 0.5170 | 0.5007 | no |
| FDX | 2022-12-12 | 128.48 | 0.3689 | 0.4936 | no |
| GD | 2022-12-12 | 229.55 | 0.5395 | 0.5844 | no |
| GOOG | 2022-12-12 | 92.22 | 0.3778 | — | no |
| IQV | 2022-12-12 | 209.63 | 0.4176 | 0.4896 | no |
| LNT | 2022-12-12 | 49.02 | 0.5002 | 0.5350 | no |
| MOS | 2022-12-12 | 41.58 | 0.3199 | 0.5066 | no |
| MPWR | 2022-12-12 | 374.96 | 0.4740 | 0.5278 | no |
| MS | 2022-12-12 | 79.12 | 0.3858 | 0.4744 | no |
| MTB | 2022-12-12 | 133.58 | 0.3626 | 0.5346 | no |
| NI | 2022-12-12 | 24.44 | 0.6287 | 0.5288 | no |
| NTAP | 2022-12-12 | 59.20 | 0.3619 | 0.5229 | no |
| ON | 2022-12-12 | 69.69 | 0.5384 | 0.4781 | no |
| OXY | 2022-12-12 | 59.02 | 0.7963 | 0.7115 | no |
| PNW | 2022-12-12 | 66.63 | 0.3642 | 0.5086 | no |
| PPL | 2022-12-12 | 25.62 | 0.3464 | 0.5175 | no |
| QCOM | 2022-12-12 | 106.75 | 0.3766 | 0.4777 | no |
| RJF | 2022-12-12 | 107.27 | 0.6269 | 0.4798 | no |
| SBAC | 2022-12-12 | 269.18 | 0.8968 | 0.4647 | no |
| SWKS | 2022-12-12 | 83.70 | 0.3148 | 0.5126 | no |
| VLO | 2022-12-12 | 103.67 | 0.5751 | 0.5811 | no |
| WEC | 2022-12-12 | 84.38 | 0.3722 | 0.5057 | no |
| ZBRA | 2022-12-12 | 253.84 | 0.3792 | 0.4510 | no |
| ZION | 2022-12-12 | 41.28 | 0.5825 | 0.5004 | no |