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 | -4.91% | 0.80% | 2023-02-07 | -10.23% |
| buy & hold | participation factor overlay | 6 months | complete | -1.62% | 0.80% | 2023-02-07 | -10.23% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.89% | 0.68% | 2023-02-07 | -10.30% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.83% | 1.49% | 2023-07-26 | -10.30% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.68% | 0.80% | 2023-02-07 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.67% | 2.65% | 2023-07-31 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.83% | 0.68% | 2023-02-07 | -8.22% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.00% | 2.18% | 2023-07-31 | -8.22% |
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 | 2023-02-06 | 80.18 | 0.2403 | 0.5115 | no |
| AMCR | 2023-02-06 | 49.02 | 0.3438 | 0.4991 | no |
| AON | 2023-02-06 | 303.66 | 0.2522 | 0.5645 | no |
| AWK | 2023-02-06 | 142.72 | 0.3122 | 0.5318 | no |
| BDX | 2023-02-06 | 179.92 | 0.3158 | 0.4702 | no |
| BSX | 2023-02-06 | 48.23 | 0.5711 | 0.4719 | no |
| CEG | 2023-02-06 | 80.63 | 0.2635 | 0.5327 | no |
| CF | 2023-02-06 | 79.16 | 0.4422 | 0.4974 | no |
| CHD | 2023-02-06 | 80.79 | 0.3077 | 0.4723 | no |
| CINF | 2023-02-06 | 104.86 | 0.2383 | 0.5766 | no |
| CNC | 2023-02-06 | 71.19 | 0.2559 | 0.4823 | no |
| COP | 2023-02-06 | 96.34 | 0.2994 | 0.5918 | no |
| CPB | 2023-02-06 | 43.90 | 0.2249 | 0.4842 | no |
| DD | 2023-02-06 | 84.77 | 0.3527 | 0.5156 | no |
| DVN | 2023-02-06 | 52.67 | 0.4993 | 0.6577 | no |
| DXCM | 2023-02-06 | 108.09 | 0.2835 | 0.5002 | no |
| EQT | 2023-02-06 | 29.62 | 0.6121 | 0.6597 | no |
| EVRG | 2023-02-06 | 52.73 | 0.2262 | 0.4829 | no |
| GL | 2023-02-06 | 116.64 | 0.2285 | 0.4981 | no |
| GPC | 2023-02-06 | 150.02 | 0.3338 | 0.5983 | no |
| HAL | 2023-02-06 | 35.44 | 0.3697 | 0.5900 | no |
| HCA | 2023-02-06 | 248.15 | 0.2884 | 0.4987 | no |
| HPE | 2023-02-06 | 14.78 | 0.2404 | 0.5077 | no |
| ISRG | 2023-02-06 | 251.76 | 0.2292 | 0.5003 | no |
| KDP | 2023-02-06 | 31.82 | 0.2849 | 0.5006 | no |
| KHC | 2023-02-06 | 32.22 | 0.2382 | — | no |
| LNC | 2023-02-06 | 28.39 | 0.3906 | 0.5148 | no |
| LUMN | 2023-02-06 | 5.21 | 0.2917 | 0.4777 | no |
| LW | 2023-02-06 | 90.84 | 0.2525 | 0.5037 | no |
| MCO | 2023-02-06 | 309.51 | 0.2872 | 0.4828 | no |
| MRK | 2023-02-06 | 92.48 | 0.2243 | 0.6143 | no |
| MS | 2023-02-06 | 88.22 | 0.2233 | 0.4865 | no |
| NRG | 2023-02-06 | 31.69 | 0.6554 | 0.5171 | no |
| NSC | 2023-02-06 | 231.98 | 0.2787 | 0.5172 | no |
| NTAP | 2023-02-06 | 62.13 | 0.4322 | 0.5297 | no |
| OXY | 2023-02-06 | 57.71 | 0.3110 | 0.6343 | no |
| PFE | 2023-02-06 | 35.65 | 0.3786 | 0.6086 | no |
| PKG | 2023-02-06 | 128.90 | 0.3298 | 0.5124 | no |
| PM | 2023-02-06 | 87.82 | 0.3058 | 0.4614 | no |
| PPL | 2023-02-06 | 25.18 | 0.2370 | 0.5379 | no |
| RHI | 2023-02-06 | 72.13 | 0.2609 | 0.4785 | no |
| RJF | 2023-02-06 | 105.54 | 0.3066 | 0.4815 | no |
| SRE | 2023-02-06 | 69.55 | 0.2329 | 0.5600 | no |
| TGT | 2023-02-06 | 153.18 | 0.2651 | 0.6022 | no |
| TRMB | 2023-02-06 | 59.37 | 0.4349 | 0.5319 | no |
| VICI | 2023-02-06 | 27.61 | 0.2771 | 0.4779 | no |
| WMB | 2023-02-06 | 27.43 | 0.2955 | 0.5108 | no |
| WY | 2023-02-06 | 30.05 | 0.2799 | 0.5247 | no |
| XEL | 2023-02-06 | 59.86 | 0.2307 | 0.5629 | no |
| XOM | 2023-02-06 | 99.35 | 0.2435 | 0.5743 | no |