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 | 0.88% | 6.42% | 2023-02-02 | -8.42% |
| buy & hold | participation factor overlay | 6 months | complete | 6.83% | 8.10% | 2023-07-03 | -8.42% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.86% | 9.35% | 2023-02-02 | -9.58% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.13% | 9.35% | 2023-02-02 | -9.58% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.69% | 4.17% | 2023-02-02 | -8.54% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.81% | 4.17% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.47% | 5.94% | 2023-02-02 | -8.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.78% | 5.94% | 2023-02-02 | -9.70% |
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 | 0.6445 | 0.4957 | no |
| ADSK | 2023-01-09 | 190.52 | 0.6100 | 0.5222 | no |
| AJG | 2023-01-09 | 185.58 | 0.3745 | 0.5481 | no |
| AKAM | 2023-01-09 | 86.51 | 0.4437 | 0.4633 | no |
| AMD | 2023-01-09 | 66.22 | 0.3801 | 0.5100 | no |
| AMP | 2023-01-09 | 307.78 | 0.7776 | 0.4736 | no |
| ANET | 2023-01-09 | 28.44 | 0.4392 | 0.4839 | no |
| AOS | 2023-01-09 | 57.32 | 0.3438 | 0.4678 | no |
| APA | 2023-01-09 | 38.58 | 0.3250 | 0.6597 | no |
| BAC | 2023-01-09 | 31.61 | 0.4610 | 0.5030 | no |
| BDX | 2023-01-09 | 190.07 | 0.4183 | 0.4622 | no |
| BIIB | 2023-01-09 | 280.54 | 0.3032 | 0.6190 | no |
| BLK | 2023-01-09 | 679.28 | 0.3481 | — | no |
| CARR | 2023-01-09 | 41.23 | 0.4303 | 0.4808 | no |
| CEG | 2023-01-09 | 81.45 | 0.3060 | 0.5338 | no |
| CHD | 2023-01-09 | 79.67 | 0.3393 | 0.4671 | no |
| CPRT | 2023-01-09 | 31.33 | 0.3803 | 0.4636 | no |
| DLR | 2023-01-09 | 89.66 | 0.5754 | 0.4514 | no |
| DVA | 2023-01-09 | 80.95 | 0.6770 | 0.5068 | no |
| ED | 2023-01-09 | 85.16 | 0.3652 | — | no |
| EOG | 2023-01-09 | 113.22 | 0.3150 | 0.6391 | no |
| ETN | 2023-01-09 | 153.41 | 0.3806 | 0.4859 | no |
| EXR | 2023-01-09 | 123.55 | 0.4366 | 0.4594 | no |
| FSLR | 2023-01-09 | 157.55 | 0.4726 | 0.5269 | no |
| GRMN | 2023-01-09 | 92.23 | 0.4433 | 0.4878 | no |
| GS | 2023-01-09 | 321.64 | 0.6231 | 0.4809 | no |
| GWW | 2023-01-09 | 538.63 | 0.4490 | 0.4947 | no |
| HLT | 2023-01-09 | 127.55 | 0.3228 | 0.4571 | no |
| IBM | 2023-01-09 | 126.56 | 0.4278 | 0.5011 | no |
| INCY | 2023-01-09 | 80.89 | 0.4033 | 0.5545 | no |
| JNJ | 2023-01-09 | 161.08 | 0.3146 | 0.5012 | no |
| MET | 2023-01-09 | 64.52 | 0.4276 | 0.4919 | no |
| MU | 2023-01-09 | 55.97 | 0.5045 | 0.5313 | no |
| NDAQ | 2023-01-09 | 58.74 | 0.3095 | 0.5600 | no |
| NEE | 2023-01-09 | 75.01 | 0.3152 | 0.5144 | no |
| NOW | 2023-01-09 | 74.78 | 0.3270 | 0.4735 | no |
| ON | 2023-01-09 | 64.60 | 0.3462 | 0.4979 | no |
| ORCL | 2023-01-09 | 83.19 | 0.5902 | 0.5673 | no |
| PPG | 2023-01-09 | 118.32 | 0.3016 | 0.5357 | no |
| RJF | 2023-01-09 | 105.13 | 0.5523 | 0.4778 | no |
| STZ | 2023-01-09 | 198.85 | 0.3500 | 0.4813 | no |
| SYK | 2023-01-09 | 249.86 | 0.3515 | 0.4560 | no |
| T | 2023-01-09 | 15.91 | 0.3548 | 0.4805 | no |
| TER | 2023-01-09 | 91.65 | 0.4138 | 0.5033 | no |
| TRMB | 2023-01-09 | 52.29 | 0.3635 | 0.5221 | no |
| TROW | 2023-01-09 | 94.13 | 0.9746 | — | no |
| TT | 2023-01-09 | 172.43 | 0.3498 | 0.4905 | no |
| WAB | 2023-01-09 | 100.12 | 0.3454 | 0.5544 | no |
| WFC | 2023-01-09 | 39.22 | 0.5281 | 0.4969 | no |
| XYL | 2023-01-09 | 106.70 | 0.3136 | 0.4882 | no |