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 | 0.99% | 6.18% | 2023-02-02 | -8.76% |
| buy & hold | participation factor overlay | 6 months | complete | 6.55% | 7.76% | 2023-07-03 | -8.76% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.14% | 8.41% | 2023-02-02 | -10.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.06% | 8.41% | 2023-02-02 | -10.25% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.51% | 4.33% | 2023-02-02 | -7.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.01% | 4.33% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.17% | 6.00% | 2023-02-02 | -9.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.46% | 6.00% | 2023-02-02 | -9.12% |
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 | 2023-01-09 | 142.71 | 0.5800 | 0.4957 | no |
| ADSK | 2023-01-09 | 190.52 | 0.6540 | 0.5222 | no |
| AKAM | 2023-01-09 | 86.51 | 0.3659 | 0.4633 | no |
| AMD | 2023-01-09 | 66.22 | 0.5529 | 0.5100 | no |
| AMP | 2023-01-09 | 307.78 | 0.6367 | 0.4736 | no |
| ANET | 2023-01-09 | 28.44 | 0.5027 | 0.4839 | no |
| APA | 2023-01-09 | 38.58 | 0.3590 | 0.6597 | no |
| APD | 2023-01-09 | 283.28 | 0.3668 | 0.5351 | no |
| BDX | 2023-01-09 | 190.07 | 0.3404 | 0.4622 | no |
| BR | 2023-01-09 | 128.37 | 0.3984 | 0.4638 | no |
| COP | 2023-01-09 | 106.76 | 0.3460 | 0.6754 | no |
| CPRT | 2023-01-09 | 31.33 | 0.4328 | 0.4636 | no |
| CZR | 2023-01-09 | 44.94 | 0.4377 | 0.4986 | no |
| DD | 2023-01-09 | 84.99 | 0.3116 | 0.5089 | no |
| DLR | 2023-01-09 | 89.66 | 0.5415 | 0.4514 | no |
| DVA | 2023-01-09 | 80.95 | 0.4238 | 0.5068 | no |
| ED | 2023-01-09 | 85.16 | 0.3282 | — | no |
| EIX | 2023-01-09 | 56.38 | 0.3314 | 0.5838 | no |
| EOG | 2023-01-09 | 113.22 | 0.3510 | 0.6391 | no |
| EQT | 2023-01-09 | 32.30 | 0.3760 | 0.7321 | no |
| EXPD | 2023-01-09 | 103.89 | 0.5567 | — | no |
| FANG | 2023-01-09 | 122.14 | 0.4186 | 0.6831 | no |
| FSLR | 2023-01-09 | 157.55 | 0.4731 | 0.5269 | no |
| FTV | 2023-01-09 | 48.87 | 0.4271 | 0.4797 | no |
| GE | 2023-01-09 | 56.44 | 0.3806 | 0.4844 | no |
| GRMN | 2023-01-09 | 92.23 | 0.3604 | 0.4878 | no |
| GS | 2023-01-09 | 321.64 | 0.5145 | 0.4809 | no |
| GWW | 2023-01-09 | 538.63 | 0.6797 | 0.4947 | no |
| HON | 2023-01-09 | 192.25 | 0.3466 | 0.4899 | no |
| HPE | 2023-01-09 | 15.54 | 0.4040 | 0.5142 | no |
| IBM | 2023-01-09 | 126.56 | 0.5454 | 0.5011 | no |
| IDXX | 2023-01-09 | 451.02 | 0.4250 | 0.5180 | no |
| INCY | 2023-01-09 | 80.89 | 0.3468 | 0.5545 | no |
| IR | 2023-01-09 | 55.43 | 0.3574 | 0.5111 | no |
| MET | 2023-01-09 | 64.52 | 0.4314 | 0.4919 | no |
| MU | 2023-01-09 | 55.97 | 0.3497 | 0.5313 | no |
| ORCL | 2023-01-09 | 83.19 | 0.3648 | 0.5673 | no |
| PPG | 2023-01-09 | 118.32 | 0.3787 | 0.5357 | no |
| QRVO | 2023-01-09 | 95.00 | 0.3179 | — | no |
| RJF | 2023-01-09 | 105.13 | 0.3772 | 0.4778 | no |
| STZ | 2023-01-09 | 198.85 | 0.4681 | 0.4813 | no |
| SYK | 2023-01-09 | 249.86 | 0.4465 | 0.4560 | no |
| T | 2023-01-09 | 15.91 | 0.4228 | 0.4805 | no |
| TER | 2023-01-09 | 91.65 | 0.5868 | 0.5033 | no |
| TRMB | 2023-01-09 | 52.29 | 0.3973 | 0.5221 | no |
| TROW | 2023-01-09 | 94.13 | 0.7982 | — | no |
| UPS | 2023-01-09 | 146.89 | 0.3602 | 0.4911 | no |
| WDC | 2023-01-09 | 28.06 | 0.4596 | 0.5219 | no |
| WFC | 2023-01-09 | 39.22 | 0.3457 | 0.4969 | no |
| WMT | 2023-01-09 | 46.72 | 0.3359 | 0.5885 | no |