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 | -4.04% | 1.05% | 2023-02-13 | -10.05% |
| buy & hold | participation factor overlay | 6 months | complete | 1.17% | 2.86% | 2023-07-26 | -10.05% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.30% | 0.95% | 2023-02-13 | -9.69% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.48% | 3.30% | 2023-07-26 | -9.69% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.28% | 1.40% | 2023-03-03 | -6.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.31% | 2.78% | 2023-07-25 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.71% | 1.43% | 2023-03-03 | -7.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.03% | 1.43% | 2023-03-03 | -8.48% |
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 |
|---|---|---|---|---|---|
| AON | 2023-02-06 | 303.66 | 0.2928 | 0.5645 | no |
| APA | 2023-02-06 | 37.09 | 0.2489 | 0.6317 | no |
| APD | 2023-02-06 | 259.63 | 0.2569 | 0.5255 | no |
| ATO | 2023-02-06 | 106.95 | 0.2356 | 0.5616 | no |
| BAC | 2023-02-06 | 32.98 | 0.2829 | 0.5019 | no |
| BSX | 2023-02-06 | 48.23 | 0.3961 | 0.4719 | no |
| CEG | 2023-02-06 | 80.63 | 0.2811 | 0.5327 | no |
| CF | 2023-02-06 | 79.16 | 0.3868 | 0.4974 | no |
| CHD | 2023-02-06 | 80.79 | 0.4141 | 0.4723 | no |
| COP | 2023-02-06 | 96.34 | 0.2731 | 0.5918 | no |
| CPB | 2023-02-06 | 43.90 | 0.4144 | 0.4842 | no |
| DVN | 2023-02-06 | 52.67 | 0.7100 | 0.6577 | no |
| DXCM | 2023-02-06 | 108.09 | 0.4960 | 0.5002 | no |
| EQT | 2023-02-06 | 29.62 | 0.5670 | 0.6597 | no |
| FANG | 2023-02-06 | 119.76 | 0.3134 | 0.6646 | no |
| GL | 2023-02-06 | 116.64 | 0.2733 | 0.4981 | no |
| GPC | 2023-02-06 | 150.02 | 0.3930 | 0.5983 | no |
| HAL | 2023-02-06 | 35.44 | 0.2523 | 0.5900 | no |
| HCA | 2023-02-06 | 248.15 | 0.4350 | 0.4987 | no |
| HPE | 2023-02-06 | 14.78 | 0.2158 | 0.5077 | no |
| ISRG | 2023-02-06 | 251.76 | 0.3425 | 0.5003 | no |
| KDP | 2023-02-06 | 31.82 | 0.2588 | 0.5006 | no |
| KHC | 2023-02-06 | 32.22 | 0.4037 | — | no |
| LNC | 2023-02-06 | 28.39 | 0.2348 | 0.5148 | no |
| LNT | 2023-02-06 | 47.23 | 0.2935 | 0.5617 | no |
| LUMN | 2023-02-06 | 5.21 | 0.2574 | 0.4777 | no |
| LVS | 2023-02-06 | 53.71 | 0.2833 | 0.4665 | no |
| MCK | 2023-02-06 | 357.65 | 0.3183 | 0.4807 | no |
| MRK | 2023-02-06 | 92.48 | 0.2133 | 0.6143 | no |
| MTB | 2023-02-06 | 140.28 | 0.4146 | 0.4793 | no |
| NRG | 2023-02-06 | 31.69 | 0.7483 | 0.5171 | no |
| NTAP | 2023-02-06 | 62.13 | 0.5994 | 0.5297 | no |
| OXY | 2023-02-06 | 57.71 | 0.2782 | 0.6343 | no |
| PCAR | 2023-02-06 | 65.03 | 0.2420 | 0.5549 | no |
| PFE | 2023-02-06 | 35.65 | 0.4068 | 0.6086 | no |
| PG | 2023-02-06 | 129.59 | 0.2188 | 0.4809 | no |
| PKG | 2023-02-06 | 128.90 | 0.2480 | 0.5124 | no |
| PM | 2023-02-06 | 87.82 | 0.2840 | 0.4614 | no |
| PSA | 2023-02-06 | 257.90 | 0.2209 | 0.4601 | no |
| RJF | 2023-02-06 | 105.54 | 0.3318 | 0.4815 | no |
| RTX | 2023-02-06 | 89.46 | 0.2994 | 0.5803 | no |
| SRE | 2023-02-06 | 69.55 | 0.2552 | 0.5600 | no |
| SYY | 2023-02-06 | 69.43 | 0.2673 | 0.5812 | no |
| TDG | 2023-02-06 | 607.37 | 0.2211 | 0.5653 | no |
| TEL | 2023-02-06 | 125.47 | 0.2132 | — | no |
| TRMB | 2023-02-06 | 59.37 | 0.4139 | 0.5319 | no |
| WMB | 2023-02-06 | 27.43 | 0.3459 | 0.5108 | no |
| WY | 2023-02-06 | 30.05 | 0.2118 | 0.5247 | no |
| XOM | 2023-02-06 | 99.35 | 0.2673 | 0.5743 | no |
| YUM | 2023-02-06 | 118.08 | 0.2372 | 0.4630 | no |