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 | -1.80% | 0.62% | 2023-02-07 | -8.35% |
| buy & hold | participation factor overlay | 6 months | complete | 2.33% | 4.47% | 2023-07-26 | -8.35% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.74% | 0.50% | 2023-02-13 | -8.08% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.41% | 4.85% | 2023-07-26 | -8.08% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.82% | 0.62% | 2023-02-07 | -7.91% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.40% | 0.62% | 2023-02-07 | -7.91% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.36% | 0.64% | 2023-02-13 | -7.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.87% | 0.64% | 2023-02-13 | -8.67% |
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 |
|---|---|---|---|---|---|
| ABT | 2023-02-06 | 103.79 | 0.2219 | 0.4670 | no |
| AEP | 2023-02-06 | 80.18 | 0.2466 | 0.5115 | no |
| APA | 2023-02-06 | 37.09 | 0.3703 | 0.6317 | no |
| ATO | 2023-02-06 | 106.95 | 0.2171 | 0.5616 | no |
| BF.B | 2023-02-06 | 60.88 | 0.2468 | — | no |
| BRK.B | 2023-02-06 | 308.25 | 0.3604 | — | no |
| BSX | 2023-02-06 | 48.23 | 0.4027 | 0.4719 | no |
| CEG | 2023-02-06 | 80.63 | 0.2693 | 0.5327 | no |
| CF | 2023-02-06 | 79.16 | 0.6040 | 0.4974 | no |
| CHD | 2023-02-06 | 80.79 | 0.2692 | 0.4723 | no |
| CPB | 2023-02-06 | 43.90 | 0.3519 | 0.4842 | no |
| DUK | 2023-02-06 | 86.68 | 0.3043 | 0.5487 | no |
| DVN | 2023-02-06 | 52.67 | 0.8420 | 0.6577 | no |
| DXCM | 2023-02-06 | 108.09 | 0.2799 | 0.5002 | no |
| ED | 2023-02-06 | 81.51 | 0.2302 | — | no |
| EQT | 2023-02-06 | 29.62 | 0.6693 | 0.6597 | no |
| GIS | 2023-02-06 | 64.92 | 0.2529 | 0.4798 | no |
| GPC | 2023-02-06 | 150.02 | 0.2258 | 0.5983 | no |
| HAL | 2023-02-06 | 35.44 | 0.2372 | 0.5900 | no |
| HCA | 2023-02-06 | 248.15 | 0.2483 | 0.4987 | no |
| HPE | 2023-02-06 | 14.78 | 0.3176 | 0.5077 | no |
| ISRG | 2023-02-06 | 251.76 | 0.3613 | 0.5003 | no |
| JPM | 2023-02-06 | 129.36 | 0.2404 | 0.4849 | no |
| KMB | 2023-02-06 | 112.82 | 0.2930 | 0.4655 | no |
| LNT | 2023-02-06 | 47.23 | 0.3284 | 0.5617 | no |
| LUMN | 2023-02-06 | 5.21 | 0.2454 | 0.4777 | no |
| LW | 2023-02-06 | 90.84 | 0.2235 | 0.5037 | no |
| MCK | 2023-02-06 | 357.65 | 0.2495 | 0.4807 | no |
| MCO | 2023-02-06 | 309.51 | 0.3145 | 0.4828 | no |
| MOH | 2023-02-06 | 302.27 | 0.2946 | 0.4728 | no |
| NRG | 2023-02-06 | 31.69 | 0.5406 | 0.5171 | no |
| NSC | 2023-02-06 | 231.98 | 0.3818 | 0.5172 | no |
| NTAP | 2023-02-06 | 62.13 | 0.5298 | 0.5297 | no |
| ON | 2023-02-06 | 77.75 | 0.2143 | 0.5037 | no |
| OXY | 2023-02-06 | 57.71 | 0.2325 | 0.6343 | no |
| PEP | 2023-02-06 | 149.20 | 0.2551 | 0.4775 | no |
| PFE | 2023-02-06 | 35.65 | 0.4991 | 0.6086 | no |
| PKG | 2023-02-06 | 128.90 | 0.3316 | 0.5124 | no |
| PM | 2023-02-06 | 87.82 | 0.2255 | 0.4614 | no |
| RJF | 2023-02-06 | 105.54 | 0.2850 | 0.4815 | no |
| RTX | 2023-02-06 | 89.46 | 0.2646 | 0.5803 | no |
| SJM | 2023-02-06 | 130.89 | 0.2297 | 0.4640 | no |
| SRE | 2023-02-06 | 69.55 | 0.2214 | 0.5600 | no |
| SYY | 2023-02-06 | 69.43 | 0.2299 | 0.5812 | no |
| TDG | 2023-02-06 | 607.37 | 0.2492 | 0.5653 | no |
| TRMB | 2023-02-06 | 59.37 | 0.2152 | 0.5319 | no |
| UNP | 2023-02-06 | 191.91 | 0.2241 | 0.5106 | no |
| VICI | 2023-02-06 | 27.61 | 0.2323 | 0.4779 | no |
| WMB | 2023-02-06 | 27.43 | 0.3571 | 0.5108 | no |
| WY | 2023-02-06 | 30.05 | 0.2546 | 0.5247 | no |