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 | 0.53% | 6.00% | 2023-02-02 | -8.25% |
| buy & hold | participation factor overlay | 6 months | complete | 7.02% | 8.75% | 2023-06-15 | -8.25% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.98% | 8.27% | 2023-02-02 | -9.63% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.99% | 10.18% | 2023-07-03 | -9.63% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.12% | 3.42% | 2023-03-03 | -6.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.66% | 3.66% | 2023-07-03 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.31% | 5.96% | 2023-02-02 | -7.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.96% | 5.96% | 2023-02-02 | -8.84% |
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 | 0.4045 | 0.4957 | no |
| ADSK | 2023-01-09 | 190.52 | 0.5138 | 0.5222 | no |
| AJG | 2023-01-09 | 185.58 | 0.3492 | 0.5481 | no |
| AKAM | 2023-01-09 | 86.51 | 0.3421 | 0.4633 | no |
| ALLE | 2023-01-09 | 106.92 | 0.3838 | 0.4690 | no |
| AMD | 2023-01-09 | 66.22 | 0.3868 | 0.5100 | no |
| AMP | 2023-01-09 | 307.78 | 0.6321 | 0.4736 | no |
| ANET | 2023-01-09 | 28.44 | 0.5738 | 0.4839 | no |
| AVGO | 2023-01-09 | 56.42 | 0.3852 | 0.5051 | no |
| BAC | 2023-01-09 | 31.61 | 0.4249 | 0.5030 | no |
| BDX | 2023-01-09 | 190.07 | 0.3883 | 0.4622 | no |
| BIIB | 2023-01-09 | 280.54 | 0.3211 | 0.6190 | no |
| BRK.B | 2023-01-09 | 319.02 | 0.4517 | — | no |
| CAG | 2023-01-09 | 33.14 | 0.3903 | 0.5044 | no |
| CARR | 2023-01-09 | 41.23 | 0.5251 | 0.4808 | no |
| CDNS | 2023-01-09 | 161.34 | 0.3917 | 0.5372 | no |
| CDW | 2023-01-09 | 174.12 | 0.3113 | 0.5075 | no |
| CEG | 2023-01-09 | 81.45 | 0.3177 | 0.5338 | no |
| CPRT | 2023-01-09 | 31.33 | 0.4889 | 0.4636 | no |
| DLR | 2023-01-09 | 89.66 | 0.5758 | 0.4514 | no |
| DVA | 2023-01-09 | 80.95 | 0.6143 | 0.5068 | no |
| ED | 2023-01-09 | 85.16 | 0.3423 | — | no |
| EOG | 2023-01-09 | 113.22 | 0.3864 | 0.6391 | no |
| EQT | 2023-01-09 | 32.30 | 0.3785 | 0.7321 | no |
| EXPD | 2023-01-09 | 103.89 | 0.4222 | — | no |
| FANG | 2023-01-09 | 122.14 | 0.3674 | 0.6831 | no |
| GE | 2023-01-09 | 56.44 | 0.3836 | 0.4844 | no |
| GRMN | 2023-01-09 | 92.23 | 0.3742 | 0.4878 | no |
| GS | 2023-01-09 | 321.64 | 0.6545 | 0.4809 | no |
| GWW | 2023-01-09 | 538.63 | 0.5098 | 0.4947 | no |
| HPE | 2023-01-09 | 15.54 | 0.3579 | 0.5142 | no |
| IBM | 2023-01-09 | 126.56 | 0.5339 | 0.5011 | no |
| INCY | 2023-01-09 | 80.89 | 0.3505 | 0.5545 | no |
| JPM | 2023-01-09 | 127.86 | 0.3358 | 0.4865 | no |
| MCO | 2023-01-09 | 283.16 | 0.3590 | 0.4833 | no |
| MTD | 2023-01-09 | 1454.78 | 0.3241 | 0.4638 | no |
| MU | 2023-01-09 | 55.97 | 0.3278 | 0.5313 | no |
| ORCL | 2023-01-09 | 83.19 | 0.5436 | 0.5673 | no |
| PNW | 2023-01-09 | 64.25 | 0.3764 | 0.5126 | no |
| RJF | 2023-01-09 | 105.13 | 0.3364 | 0.4778 | no |
| RTX | 2023-01-09 | 94.99 | 0.3428 | 0.5881 | no |
| SBUX | 2023-01-09 | 97.28 | 0.3250 | 0.4692 | no |
| T | 2023-01-09 | 15.91 | 0.4822 | 0.4805 | no |
| TER | 2023-01-09 | 91.65 | 0.6631 | 0.5033 | no |
| TRMB | 2023-01-09 | 52.29 | 0.4410 | 0.5221 | no |
| TROW | 2023-01-09 | 94.13 | 0.5865 | — | no |
| TT | 2023-01-09 | 172.43 | 0.3443 | 0.4905 | no |
| WDC | 2023-01-09 | 28.06 | 0.5120 | 0.5219 | no |
| WFC | 2023-01-09 | 39.22 | 0.5170 | 0.4969 | no |
| YUM | 2023-01-09 | 121.61 | 0.3991 | 0.4714 | no |