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% | 10.81% | 2023-02-02 | -11.49% |
| buy & hold | participation factor overlay | 6 months | complete | 2.59% | 10.81% | 2023-02-02 | -12.80% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.38% | 14.56% | 2023-02-02 | -15.66% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.47% | 14.56% | 2023-02-02 | -17.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.49% | 8.80% | 2023-02-02 | -8.54% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.05% | 8.80% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.80% | 10.49% | 2023-02-02 | -8.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.97% | 10.49% | 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 |
|---|---|---|---|---|---|
| AAP | 2022-12-19 | 130.40 | 0.6156 | 0.4982 | no |
| ADSK | 2022-12-19 | 192.72 | 0.4519 | 0.5248 | no |
| ALB | 2022-12-19 | 230.22 | 1.2506 | 0.5226 | no |
| AMT | 2022-12-19 | 187.52 | 0.6278 | 0.4553 | no |
| ANET | 2022-12-19 | 31.06 | 0.6254 | 0.4868 | no |
| APA | 2022-12-19 | 38.55 | 0.5024 | 0.7059 | no |
| BAC | 2022-12-19 | 28.89 | 0.7371 | 0.5013 | no |
| BIO | 2022-12-19 | 406.45 | 0.4555 | 0.5130 | no |
| BKR | 2022-12-19 | 26.45 | 0.3858 | 0.6102 | no |
| CCI | 2022-12-19 | 109.61 | 0.4962 | 0.4689 | no |
| CMS | 2022-12-19 | 54.93 | 0.3875 | 0.4998 | no |
| CNP | 2022-12-19 | 27.20 | 0.5786 | 0.4635 | no |
| COP | 2022-12-19 | 98.90 | 0.4870 | 0.7056 | no |
| CRL | 2022-12-19 | 214.54 | 0.5078 | 0.4629 | no |
| CRM | 2022-12-19 | 125.38 | 0.5713 | 0.5111 | no |
| CVX | 2022-12-19 | 145.89 | 0.8451 | 0.6510 | no |
| DIS | 2022-12-19 | 86.72 | 0.5897 | 0.4604 | no |
| DLR | 2022-12-19 | 89.28 | 0.4507 | 0.4443 | no |
| DUK | 2022-12-19 | 86.66 | 0.4148 | 0.5246 | no |
| DVN | 2022-12-19 | 52.53 | 0.7149 | 0.7056 | no |
| DXC | 2022-12-19 | 26.30 | 0.7771 | 0.4676 | no |
| ED | 2022-12-19 | 83.66 | 0.4450 | — | no |
| EOG | 2022-12-19 | 110.78 | 0.7724 | 0.7219 | no |
| ES | 2022-12-19 | 70.61 | 0.4121 | 0.5237 | no |
| FANG | 2022-12-19 | 116.79 | 0.6595 | 0.7376 | no |
| GE | 2022-12-19 | 47.27 | 0.4530 | 0.4671 | no |
| GOOG | 2022-12-19 | 90.03 | 0.4764 | — | no |
| HAL | 2022-12-19 | 33.27 | 0.5527 | 0.6260 | no |
| KEY | 2022-12-19 | 13.70 | 0.7423 | 0.5153 | no |
| KMX | 2022-12-19 | 61.00 | 0.6159 | 0.4400 | no |
| MOS | 2022-12-19 | 40.58 | 0.4538 | 0.5066 | no |
| MPC | 2022-12-19 | 102.44 | 0.7499 | 0.5969 | no |
| MPWR | 2022-12-19 | 357.12 | 0.4130 | 0.5278 | no |
| NEE | 2022-12-19 | 75.32 | 0.3885 | 0.4885 | no |
| NI | 2022-12-19 | 24.12 | 0.5157 | 0.5288 | no |
| NTAP | 2022-12-19 | 55.79 | 0.5275 | 0.5229 | no |
| NXPI | 2022-12-19 | 153.29 | 0.4431 | 0.4845 | no |
| ON | 2022-12-19 | 65.45 | 0.5733 | 0.4781 | no |
| OXY | 2022-12-19 | 59.12 | 0.7102 | 0.7115 | no |
| PSX | 2022-12-19 | 89.03 | 0.6695 | 0.6124 | no |
| RJF | 2022-12-19 | 100.68 | 1.0064 | 0.4800 | no |
| SBAC | 2022-12-19 | 259.72 | 0.7321 | 0.4647 | no |
| SLB | 2022-12-19 | 45.59 | 0.8420 | 0.6527 | no |
| SRE | 2022-12-19 | 70.10 | 0.4347 | 0.5247 | no |
| TAP | 2022-12-19 | 45.04 | 0.3824 | 0.4401 | no |
| TRMB | 2022-12-19 | 50.08 | 0.4203 | 0.5036 | no |
| VLO | 2022-12-19 | 108.01 | 0.8724 | 0.5811 | no |
| WDC | 2022-12-19 | 24.08 | 0.4325 | 0.5089 | no |
| XOM | 2022-12-19 | 93.08 | 0.9227 | 0.6395 | no |
| ZION | 2022-12-19 | 40.09 | 0.5789 | 0.4962 | no |