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 | 0.47% | 10.20% | 2023-02-02 | -8.83% |
| buy & hold | participation factor overlay | 6 months | complete | 2.70% | 10.20% | 2023-02-02 | -11.13% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.32% | 11.95% | 2023-02-02 | -11.85% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.10% | 11.95% | 2023-02-02 | -14.88% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.26% | 7.13% | 2023-03-03 | -5.48% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.46% | 7.13% | 2023-03-03 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.77% | 8.85% | 2023-02-02 | -6.50% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.48% | 8.85% | 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 |
|---|---|---|---|---|---|
| AJG | 2022-12-12 | 185.57 | 0.3284 | 0.5369 | no |
| ALB | 2022-12-12 | 238.96 | 0.3942 | 0.5226 | no |
| ALGN | 2022-12-12 | 190.95 | 0.3480 | 0.5226 | no |
| AMD | 2022-12-12 | 68.54 | 0.4958 | 0.4978 | no |
| AMT | 2022-12-12 | 189.04 | 0.7466 | 0.4553 | no |
| BAC | 2022-12-12 | 29.39 | 0.6851 | 0.5067 | no |
| BIO | 2022-12-12 | 417.77 | 0.3080 | 0.5130 | no |
| BKR | 2022-12-12 | 25.27 | 0.4510 | 0.6102 | no |
| C | 2022-12-12 | 39.44 | 0.4450 | 0.5199 | no |
| CCI | 2022-12-12 | 113.42 | 0.4358 | 0.4689 | no |
| CMS | 2022-12-12 | 56.00 | 0.5000 | 0.4998 | no |
| CNP | 2022-12-12 | 27.80 | 0.5666 | 0.4635 | no |
| COP | 2022-12-12 | 97.79 | 0.6685 | 0.7056 | no |
| CRM | 2022-12-12 | 128.64 | 0.4023 | 0.5111 | no |
| DAL | 2022-12-12 | 32.52 | 0.3425 | 0.4424 | no |
| DLR | 2022-12-12 | 93.61 | 0.4028 | 0.4443 | no |
| DLTR | 2022-12-12 | 143.41 | 0.4780 | 0.6278 | no |
| DUK | 2022-12-12 | 87.78 | 0.4084 | 0.5246 | no |
| DVN | 2022-12-12 | 52.13 | 0.5170 | 0.7056 | no |
| DXC | 2022-12-12 | 26.21 | 0.6443 | 0.4676 | no |
| ED | 2022-12-12 | 85.48 | 0.3768 | — | no |
| EL | 2022-12-12 | 224.66 | 0.4690 | 0.4767 | no |
| EOG | 2022-12-12 | 105.96 | 0.9624 | 0.7219 | no |
| ES | 2022-12-12 | 72.04 | 0.5190 | 0.5237 | no |
| ETR | 2022-12-12 | 51.76 | 0.3812 | 0.5237 | no |
| FANG | 2022-12-12 | 113.35 | 0.9114 | 0.7376 | no |
| FDX | 2022-12-12 | 128.48 | 0.3148 | 0.4936 | no |
| GD | 2022-12-12 | 229.55 | 0.4235 | 0.5844 | no |
| HAL | 2022-12-12 | 30.48 | 0.5420 | 0.6260 | no |
| IP | 2022-12-12 | 30.35 | 0.3299 | 0.4735 | no |
| KMX | 2022-12-12 | 65.67 | 0.5160 | 0.4400 | no |
| MET | 2022-12-12 | 64.48 | 0.3123 | 0.4900 | no |
| MPWR | 2022-12-12 | 374.96 | 0.3979 | 0.5278 | no |
| NI | 2022-12-12 | 24.44 | 0.5089 | 0.5288 | no |
| NTAP | 2022-12-12 | 59.20 | 0.3202 | 0.5229 | no |
| NWL | 2022-12-12 | 11.19 | 0.3461 | 0.4448 | no |
| ON | 2022-12-12 | 69.69 | 0.4765 | 0.4781 | no |
| OXY | 2022-12-12 | 59.02 | 0.7073 | 0.7115 | no |
| PEP | 2022-12-12 | 161.89 | 0.3187 | 0.4520 | no |
| PHM | 2022-12-12 | 42.60 | 0.3142 | 0.4463 | no |
| PNW | 2022-12-12 | 66.63 | 0.3351 | 0.5086 | no |
| PPL | 2022-12-12 | 25.62 | 0.3150 | 0.5175 | no |
| RJF | 2022-12-12 | 107.27 | 0.5112 | 0.4798 | no |
| SBAC | 2022-12-12 | 269.18 | 0.8526 | 0.4647 | no |
| SLB | 2022-12-12 | 42.95 | 0.3309 | 0.6527 | no |
| SWKS | 2022-12-12 | 83.70 | 0.3902 | 0.5126 | no |
| VLO | 2022-12-12 | 103.67 | 0.3780 | 0.5811 | no |
| WEC | 2022-12-12 | 84.38 | 0.3121 | 0.5057 | no |
| XEL | 2022-12-12 | 61.72 | 0.3202 | 0.5414 | no |
| ZION | 2022-12-12 | 41.28 | 0.5821 | 0.5004 | no |