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 | -1.92% | 7.90% | 2023-02-02 | -9.10% |
| buy & hold | participation factor overlay | 6 months | complete | -1.34% | 7.90% | 2023-02-02 | -12.42% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.88% | 9.77% | 2023-02-02 | -11.52% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.31% | 9.77% | 2023-02-02 | -14.92% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.00% | 7.51% | 2023-02-02 | -6.99% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.45% | 7.51% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.47% | 8.65% | 2023-02-02 | -7.53% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.20% | 8.65% | 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 |
|---|---|---|---|---|---|
| AEP | 2022-12-12 | 84.88 | 0.5592 | 0.4933 | no |
| AJG | 2022-12-12 | 185.57 | 0.4750 | 0.5369 | no |
| ALB | 2022-12-12 | 238.96 | 0.5820 | 0.5226 | no |
| AMT | 2022-12-12 | 189.04 | 1.0281 | 0.4553 | no |
| APA | 2022-12-12 | 37.04 | 0.3628 | 0.7059 | no |
| BAC | 2022-12-12 | 29.39 | 0.6542 | 0.5067 | no |
| BALL | 2022-12-12 | 50.76 | 0.3628 | 0.4602 | no |
| BBY | 2022-12-12 | 67.62 | 0.4495 | 0.5539 | no |
| C | 2022-12-12 | 39.44 | 0.3735 | 0.5199 | no |
| CCI | 2022-12-12 | 113.42 | 0.4878 | 0.4689 | no |
| CMS | 2022-12-12 | 56.00 | 0.4612 | 0.4998 | no |
| CNP | 2022-12-12 | 27.80 | 0.3451 | 0.4635 | no |
| COP | 2022-12-12 | 97.79 | 0.8793 | 0.7056 | no |
| CRM | 2022-12-12 | 128.64 | 0.4452 | 0.5111 | no |
| DIS | 2022-12-12 | 90.88 | 0.3825 | 0.4604 | no |
| DLR | 2022-12-12 | 93.61 | 0.5057 | 0.4443 | no |
| DLTR | 2022-12-12 | 143.41 | 0.3248 | 0.6278 | no |
| DRI | 2022-12-12 | 126.42 | 0.3519 | 0.4569 | no |
| DUK | 2022-12-12 | 87.78 | 0.7314 | 0.5246 | no |
| DVN | 2022-12-12 | 52.13 | 0.8095 | 0.7056 | no |
| DXC | 2022-12-12 | 26.21 | 0.7608 | 0.4676 | no |
| ED | 2022-12-12 | 85.48 | 0.5410 | — | no |
| EOG | 2022-12-12 | 105.96 | 1.0791 | 0.7219 | no |
| ES | 2022-12-12 | 72.04 | 0.6733 | 0.5237 | no |
| FANG | 2022-12-12 | 113.35 | 0.9115 | 0.7376 | no |
| GD | 2022-12-12 | 229.55 | 0.4203 | 0.5844 | no |
| HAL | 2022-12-12 | 30.48 | 0.5939 | 0.6260 | no |
| KMX | 2022-12-12 | 65.67 | 0.6647 | 0.4400 | no |
| LNT | 2022-12-12 | 49.02 | 0.5291 | 0.5350 | no |
| MOS | 2022-12-12 | 41.58 | 0.3954 | 0.5066 | no |
| MPC | 2022-12-12 | 99.36 | 0.5149 | 0.5969 | no |
| MPWR | 2022-12-12 | 374.96 | 0.3504 | 0.5278 | no |
| NEE | 2022-12-12 | 76.34 | 0.5794 | 0.4885 | no |
| NI | 2022-12-12 | 24.44 | 0.6461 | 0.5288 | no |
| NOW | 2022-12-12 | 79.11 | 0.4333 | 0.4783 | no |
| NWL | 2022-12-12 | 11.19 | 0.4840 | 0.4448 | no |
| OXY | 2022-12-12 | 59.02 | 0.9522 | 0.7115 | no |
| PNW | 2022-12-12 | 66.63 | 0.4238 | 0.5086 | no |
| PSX | 2022-12-12 | 86.71 | 0.3361 | 0.6124 | no |
| QCOM | 2022-12-12 | 106.75 | 0.3878 | 0.4777 | no |
| RJF | 2022-12-12 | 107.27 | 0.5747 | 0.4798 | no |
| SBAC | 2022-12-12 | 269.18 | 0.8298 | 0.4647 | no |
| SNA | 2022-12-12 | 212.28 | 0.3676 | 0.4820 | no |
| SRE | 2022-12-12 | 72.16 | 0.3838 | 0.5247 | no |
| SWKS | 2022-12-12 | 83.70 | 0.3958 | 0.5126 | no |
| VLO | 2022-12-12 | 103.67 | 0.5974 | 0.5811 | no |
| WEC | 2022-12-12 | 84.38 | 0.4156 | 0.5057 | no |
| XOM | 2022-12-12 | 91.81 | 0.4994 | 0.6395 | no |
| ZBRA | 2022-12-12 | 253.84 | 0.4080 | 0.4510 | no |
| ZION | 2022-12-12 | 41.28 | 0.4194 | 0.5004 | no |