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 | -1.31% | 5.53% | 2023-02-02 | -9.16% |
| buy & hold | participation factor overlay | 6 months | complete | 4.33% | 5.53% | 2023-02-02 | -9.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.85% | 7.03% | 2023-02-02 | -10.28% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.22% | 7.03% | 2023-02-02 | -10.28% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.59% | 3.56% | 2023-02-02 | -8.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.07% | 3.56% | 2023-02-02 | -8.47% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.40% | 4.91% | 2023-02-02 | -8.90% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.32% | 4.91% | 2023-02-02 | -10.45% |
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 | 0.5436 | 0.4957 | no |
| ADSK | 2023-01-09 | 190.52 | 0.5851 | 0.5222 | no |
| AKAM | 2023-01-09 | 86.51 | 0.4871 | 0.4633 | no |
| ALB | 2023-01-09 | 213.08 | 0.3105 | 0.5327 | no |
| ALLE | 2023-01-09 | 106.92 | 0.2975 | 0.4690 | no |
| AMP | 2023-01-09 | 307.78 | 0.5109 | 0.4736 | no |
| ANET | 2023-01-09 | 28.44 | 0.2967 | 0.4839 | no |
| AOS | 2023-01-09 | 57.32 | 0.3588 | 0.4678 | no |
| APD | 2023-01-09 | 283.28 | 0.3308 | 0.5351 | no |
| BDX | 2023-01-09 | 190.07 | 0.3178 | 0.4622 | no |
| BIIB | 2023-01-09 | 280.54 | 0.4187 | 0.6190 | no |
| BRK.B | 2023-01-09 | 319.02 | 0.3586 | — | no |
| CAG | 2023-01-09 | 33.14 | 0.3265 | 0.5044 | no |
| CEG | 2023-01-09 | 81.45 | 0.3120 | 0.5338 | no |
| CHD | 2023-01-09 | 79.67 | 0.3584 | 0.4671 | no |
| CRL | 2023-01-09 | 222.35 | 0.3483 | 0.4766 | no |
| CSCO | 2023-01-09 | 43.92 | 0.3240 | 0.4771 | no |
| CSX | 2023-01-09 | 30.54 | 0.3162 | 0.5153 | no |
| DLR | 2023-01-09 | 89.66 | 0.4612 | 0.4514 | no |
| DVA | 2023-01-09 | 80.95 | 0.6032 | 0.5068 | no |
| ED | 2023-01-09 | 85.16 | 0.3027 | — | no |
| EOG | 2023-01-09 | 113.22 | 0.4279 | 0.6391 | no |
| EQT | 2023-01-09 | 32.30 | 0.5668 | 0.7321 | no |
| FANG | 2023-01-09 | 122.14 | 0.5084 | 0.6831 | no |
| FSLR | 2023-01-09 | 157.55 | 0.3962 | 0.5269 | no |
| GS | 2023-01-09 | 321.64 | 0.4265 | 0.4809 | no |
| GWW | 2023-01-09 | 538.63 | 0.5985 | 0.4947 | no |
| HLT | 2023-01-09 | 127.55 | 0.3425 | 0.4571 | no |
| HON | 2023-01-09 | 192.25 | 0.4361 | 0.4899 | no |
| IBM | 2023-01-09 | 126.56 | 0.3315 | 0.5011 | no |
| INCY | 2023-01-09 | 80.89 | 0.3212 | 0.5545 | no |
| IQV | 2023-01-09 | 208.50 | 0.3078 | 0.4907 | no |
| IRM | 2023-01-09 | 44.65 | 0.3545 | 0.4984 | no |
| KMB | 2023-01-09 | 118.81 | 0.3027 | 0.4627 | no |
| MCHP | 2023-01-09 | 67.64 | 0.3682 | 0.5002 | no |
| NDAQ | 2023-01-09 | 58.74 | 0.2899 | 0.5600 | no |
| ORCL | 2023-01-09 | 83.19 | 0.3782 | 0.5673 | no |
| PH | 2023-01-09 | 296.69 | 0.3060 | 0.5154 | no |
| RJF | 2023-01-09 | 105.13 | 0.5479 | 0.4778 | no |
| RTX | 2023-01-09 | 94.99 | 0.3097 | 0.5881 | no |
| STT | 2023-01-09 | 72.53 | 0.3300 | 0.4932 | no |
| STZ | 2023-01-09 | 198.85 | 0.3643 | 0.4813 | no |
| SYK | 2023-01-09 | 249.86 | 0.4388 | 0.4560 | no |
| TER | 2023-01-09 | 91.65 | 0.4737 | 0.5033 | no |
| TRMB | 2023-01-09 | 52.29 | 0.6131 | 0.5221 | no |
| TROW | 2023-01-09 | 94.13 | 0.8852 | — | no |
| TT | 2023-01-09 | 172.43 | 0.5645 | 0.4905 | no |
| WAB | 2023-01-09 | 100.12 | 0.4203 | 0.5544 | no |
| WFC | 2023-01-09 | 39.22 | 0.5632 | 0.4969 | no |
| WTW | 2023-01-09 | 242.69 | 0.3315 | 0.5111 | no |