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% | 11.15% | 2023-02-14 | -11.95% |
| buy & hold | participation factor overlay | 6 months | complete | 3.34% | 11.15% | 2023-02-14 | -13.66% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.70% | 14.73% | 2023-02-02 | -14.32% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.57% | 14.73% | 2023-02-02 | -16.34% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.23% | 8.21% | 2023-03-03 | -6.45% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.21% | 8.21% | 2023-03-03 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.67% | 11.32% | 2023-02-02 | -7.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.30% | 11.32% | 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 |
|---|---|---|---|---|---|
| AAP | 2022-12-19 | 130.40 | 0.5576 | 0.4982 | no |
| ADSK | 2022-12-19 | 192.72 | 0.4617 | 0.5248 | no |
| ALB | 2022-12-19 | 230.22 | 1.2810 | 0.5226 | no |
| AMD | 2022-12-19 | 65.12 | 0.5042 | 0.4978 | no |
| AMT | 2022-12-19 | 187.52 | 0.5414 | 0.4553 | no |
| ANET | 2022-12-19 | 31.06 | 0.3788 | 0.4868 | no |
| APA | 2022-12-19 | 38.55 | 0.4082 | 0.7059 | no |
| BAC | 2022-12-19 | 28.89 | 0.6148 | 0.5013 | no |
| BKR | 2022-12-19 | 26.45 | 0.5952 | 0.6102 | no |
| C | 2022-12-19 | 39.18 | 0.4991 | 0.5117 | no |
| CEG | 2022-12-19 | 85.85 | 0.4246 | 0.5010 | no |
| CNP | 2022-12-19 | 27.20 | 0.6819 | 0.4635 | no |
| COP | 2022-12-19 | 98.90 | 0.4365 | 0.7056 | no |
| CRL | 2022-12-19 | 214.54 | 0.3855 | 0.4629 | no |
| CRM | 2022-12-19 | 125.38 | 0.6443 | 0.5111 | no |
| CVX | 2022-12-19 | 145.89 | 0.7848 | 0.6510 | no |
| DIS | 2022-12-19 | 86.72 | 0.3712 | 0.4604 | no |
| DLR | 2022-12-19 | 89.28 | 0.5602 | 0.4443 | no |
| DUK | 2022-12-19 | 86.66 | 0.4871 | 0.5246 | no |
| DVN | 2022-12-19 | 52.53 | 0.7591 | 0.7056 | no |
| DXC | 2022-12-19 | 26.30 | 0.5214 | 0.4676 | no |
| EOG | 2022-12-19 | 110.78 | 0.7910 | 0.7219 | no |
| ES | 2022-12-19 | 70.61 | 0.4474 | 0.5237 | no |
| FANG | 2022-12-19 | 116.79 | 0.7141 | 0.7376 | no |
| FITB | 2022-12-19 | 27.25 | 0.4994 | 0.5074 | no |
| GS | 2022-12-19 | 316.51 | 0.3826 | 0.4813 | no |
| HAL | 2022-12-19 | 33.27 | 0.5594 | 0.6260 | no |
| KEY | 2022-12-19 | 13.70 | 0.7690 | 0.5153 | no |
| MOS | 2022-12-19 | 40.58 | 0.4284 | 0.5066 | no |
| MPC | 2022-12-19 | 102.44 | 0.7215 | 0.5969 | no |
| MPWR | 2022-12-19 | 357.12 | 0.4473 | 0.5278 | no |
| MU | 2022-12-19 | 51.28 | 0.6006 | 0.4998 | no |
| NEE | 2022-12-19 | 75.32 | 0.4078 | 0.4885 | no |
| NI | 2022-12-19 | 24.12 | 0.5213 | 0.5288 | no |
| NTAP | 2022-12-19 | 55.79 | 0.3918 | 0.5229 | no |
| ON | 2022-12-19 | 65.45 | 0.6997 | 0.4781 | no |
| OXY | 2022-12-19 | 59.12 | 0.7307 | 0.7115 | no |
| PSX | 2022-12-19 | 89.03 | 0.6162 | 0.6124 | no |
| RJF | 2022-12-19 | 100.68 | 1.2004 | 0.4800 | no |
| SBAC | 2022-12-19 | 259.72 | 0.3687 | 0.4647 | no |
| SLB | 2022-12-19 | 45.59 | 0.6829 | 0.6527 | no |
| SO | 2022-12-19 | 60.53 | 0.4372 | 0.5060 | no |
| TER | 2022-12-19 | 88.18 | 0.3912 | 0.4904 | no |
| TRMB | 2022-12-19 | 50.08 | 0.3970 | 0.5036 | no |
| VLO | 2022-12-19 | 108.01 | 0.6924 | 0.5811 | no |
| WDC | 2022-12-19 | 24.08 | 0.6167 | 0.5089 | no |
| WFC | 2022-12-19 | 37.60 | 0.4470 | 0.5015 | no |
| WST | 2022-12-19 | 223.80 | 0.3916 | 0.5037 | no |
| XOM | 2022-12-19 | 93.08 | 0.9468 | 0.6395 | no |
| ZION | 2022-12-19 | 40.09 | 0.5210 | 0.4962 | no |