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 | -2.45% | 10.31% | 2023-02-02 | -11.75% |
| buy & hold | participation factor overlay | 6 months | complete | 1.24% | 10.31% | 2023-02-02 | -14.22% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.65% | 14.78% | 2023-02-02 | -15.18% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.05% | 14.78% | 2023-02-02 | -18.11% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.77% | 7.95% | 2023-02-02 | -8.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.66% | 7.95% | 2023-02-02 | -8.47% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.03% | 9.80% | 2023-02-02 | -8.90% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.30% | 9.80% | 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 |
|---|---|---|---|---|---|
| AAP | 2022-12-19 | 130.40 | 0.4656 | 0.4982 | no |
| ALB | 2022-12-19 | 230.22 | 1.2852 | 0.5226 | no |
| AMD | 2022-12-19 | 65.12 | 0.5239 | 0.4978 | no |
| AMT | 2022-12-19 | 187.52 | 0.4907 | 0.4553 | no |
| ANET | 2022-12-19 | 31.06 | 0.4141 | 0.4868 | no |
| APA | 2022-12-19 | 38.55 | 0.6297 | 0.7059 | no |
| BAC | 2022-12-19 | 28.89 | 0.6876 | 0.5013 | no |
| BKR | 2022-12-19 | 26.45 | 0.4959 | 0.6102 | no |
| C | 2022-12-19 | 39.18 | 0.4133 | 0.5117 | no |
| CCI | 2022-12-19 | 109.61 | 0.5661 | 0.4689 | no |
| CNP | 2022-12-19 | 27.20 | 0.4550 | 0.4635 | no |
| COP | 2022-12-19 | 98.90 | 0.4119 | 0.7056 | no |
| CRM | 2022-12-19 | 125.38 | 0.6473 | 0.5111 | no |
| CVX | 2022-12-19 | 145.89 | 0.9084 | 0.6510 | no |
| DIS | 2022-12-19 | 86.72 | 0.5612 | 0.4604 | no |
| DLR | 2022-12-19 | 89.28 | 0.7961 | 0.4443 | no |
| DUK | 2022-12-19 | 86.66 | 0.5980 | 0.5246 | no |
| DVN | 2022-12-19 | 52.53 | 0.4665 | 0.7056 | no |
| DXC | 2022-12-19 | 26.30 | 0.4140 | 0.4676 | no |
| EOG | 2022-12-19 | 110.78 | 0.7885 | 0.7219 | no |
| ES | 2022-12-19 | 70.61 | 0.4266 | 0.5237 | no |
| FANG | 2022-12-19 | 116.79 | 0.7091 | 0.7376 | no |
| FDS | 2022-12-19 | 408.04 | 0.4103 | 0.5007 | no |
| FITB | 2022-12-19 | 27.25 | 0.4792 | 0.5074 | no |
| GOOG | 2022-12-19 | 90.03 | 0.4614 | — | no |
| HAL | 2022-12-19 | 33.27 | 0.7282 | 0.6260 | no |
| HBAN | 2022-12-19 | 11.57 | 0.7587 | 0.4897 | no |
| INTC | 2022-12-19 | 25.94 | 0.4486 | 0.4965 | no |
| IP | 2022-12-19 | 30.05 | 0.4124 | 0.4735 | no |
| KEY | 2022-12-19 | 13.70 | 0.7515 | 0.5153 | no |
| MOS | 2022-12-19 | 40.58 | 0.5081 | 0.5066 | no |
| MPC | 2022-12-19 | 102.44 | 0.8883 | 0.5969 | no |
| MPWR | 2022-12-19 | 357.12 | 0.5372 | 0.5278 | no |
| MSCI | 2022-12-19 | 450.73 | 0.4408 | 0.4640 | no |
| NI | 2022-12-19 | 24.12 | 0.5155 | 0.5288 | no |
| NTAP | 2022-12-19 | 55.79 | 0.5429 | 0.5229 | no |
| NXPI | 2022-12-19 | 153.29 | 0.6063 | 0.4845 | no |
| ON | 2022-12-19 | 65.45 | 0.6616 | 0.4781 | no |
| OXY | 2022-12-19 | 59.12 | 0.5195 | 0.7115 | no |
| PSX | 2022-12-19 | 89.03 | 0.6161 | 0.6124 | no |
| RJF | 2022-12-19 | 100.68 | 1.1743 | 0.4800 | no |
| SBAC | 2022-12-19 | 259.72 | 0.5304 | 0.4647 | no |
| SLB | 2022-12-19 | 45.59 | 0.7531 | 0.6527 | no |
| SRE | 2022-12-19 | 70.10 | 0.4102 | 0.5247 | no |
| TRMB | 2022-12-19 | 50.08 | 0.6350 | 0.5036 | no |
| VLO | 2022-12-19 | 108.01 | 0.9600 | 0.5811 | no |
| WEC | 2022-12-19 | 83.18 | 0.4091 | 0.5057 | no |
| XEL | 2022-12-19 | 61.21 | 0.4286 | 0.5414 | no |
| XOM | 2022-12-19 | 93.08 | 0.9284 | 0.6395 | no |
| ZION | 2022-12-19 | 40.09 | 0.6411 | 0.4962 | no |