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 | -0.24% | 3.59% | 2023-02-02 | -8.87% |
| buy & hold | participation factor overlay | 6 months | complete | 4.28% | 4.28% | 2023-07-21 | -8.87% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.63% | 4.58% | 2023-02-02 | -10.49% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.01% | 4.58% | 2023-02-02 | -10.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.05% | 3.52% | 2023-02-02 | -7.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.88% | 3.88% | 2023-07-21 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.89% | 4.20% | 2023-02-02 | -9.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.08% | 4.20% | 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 |
|---|---|---|---|---|---|
| AMCR | 2023-01-23 | 48.66 | 0.2391 | 0.4990 | no |
| ANET | 2023-01-23 | 28.91 | 0.5576 | 0.4917 | no |
| AON | 2023-01-23 | 316.26 | 0.2565 | 0.5293 | no |
| CAG | 2023-01-23 | 30.77 | 0.2692 | 0.4925 | no |
| CEG | 2023-01-23 | 80.56 | 0.2835 | 0.5327 | no |
| CF | 2023-01-23 | 79.77 | 0.4965 | 0.4980 | no |
| CFG | 2023-01-23 | 35.42 | 0.2540 | 0.4863 | no |
| CNP | 2023-01-23 | 27.23 | 0.2184 | 0.4857 | no |
| CVX | 2023-01-23 | 155.41 | 0.2387 | 0.5978 | no |
| DGX | 2023-01-23 | 135.64 | 0.3092 | 0.5131 | no |
| DLTR | 2023-01-23 | 148.27 | 0.3583 | 0.6197 | no |
| DPZ | 2023-01-23 | 325.13 | 0.2337 | 0.4800 | no |
| DUK | 2023-01-23 | 87.87 | 0.2040 | 0.5488 | no |
| DVA | 2023-01-23 | 80.32 | 0.7183 | 0.5092 | no |
| EIX | 2023-01-23 | 56.26 | 0.3145 | 0.5852 | no |
| EOG | 2023-01-23 | 117.34 | 0.2838 | 0.6234 | no |
| EQT | 2023-01-23 | 32.63 | 0.7264 | 0.6605 | no |
| ETN | 2023-01-23 | 148.01 | 0.1955 | 0.4864 | no |
| FANG | 2023-01-23 | 129.22 | 0.2547 | 0.6653 | no |
| FDX | 2023-01-23 | 139.77 | 0.3307 | 0.5195 | no |
| HLT | 2023-01-23 | 137.42 | 0.1849 | 0.4636 | no |
| HON | 2023-01-23 | 185.19 | 0.3753 | 0.4905 | no |
| HPE | 2023-01-23 | 14.56 | 0.2276 | 0.5123 | no |
| HSY | 2023-01-23 | 193.89 | 0.2442 | 0.4790 | no |
| ILMN | 2023-01-23 | 199.46 | 0.2463 | 0.4528 | no |
| INCY | 2023-01-23 | 83.36 | 0.2565 | 0.5917 | no |
| JPM | 2023-01-23 | 124.65 | 0.2393 | 0.4849 | no |
| KHC | 2023-01-23 | 32.78 | 0.4264 | — | no |
| LNT | 2023-01-23 | 46.84 | 0.2390 | 0.5617 | no |
| LUMN | 2023-01-23 | 5.20 | 0.3687 | 0.4777 | no |
| MCHP | 2023-01-23 | 67.50 | 0.2399 | 0.5010 | no |
| MCO | 2023-01-23 | 308.22 | 0.2791 | 0.4868 | no |
| NTAP | 2023-01-23 | 61.31 | 0.2084 | 0.5301 | no |
| NVR | 2023-01-23 | 5028.00 | 0.2802 | — | no |
| PFE | 2023-01-23 | 36.01 | 0.3425 | 0.6124 | no |
| PM | 2023-01-23 | 87.34 | 0.2097 | 0.4606 | no |
| PNW | 2023-01-23 | 64.17 | 0.2959 | 0.5191 | no |
| PWR | 2023-01-23 | 146.77 | 0.3651 | 0.5247 | no |
| RF | 2023-01-23 | 19.35 | 0.2079 | 0.5048 | no |
| RHI | 2023-01-23 | 65.92 | 0.5576 | 0.4973 | no |
| SEDG | 2023-01-23 | 295.35 | 0.3674 | 0.5403 | no |
| SO | 2023-01-23 | 58.58 | 0.2393 | 0.5307 | no |
| STZ | 2023-01-23 | 204.51 | 0.2905 | 0.4862 | no |
| TECH | 2023-01-23 | 80.07 | 0.3308 | 0.4688 | no |
| TGT | 2023-01-23 | 142.23 | 0.1914 | 0.6021 | no |
| TRMB | 2023-01-23 | 56.01 | 0.2373 | 0.5308 | no |
| TSCO | 2023-01-23 | 40.34 | 0.2845 | 0.5881 | no |
| VICI | 2023-01-23 | 27.10 | 0.1926 | 0.4779 | no |
| WEC | 2023-01-23 | 81.33 | 0.2157 | 0.5297 | no |
| WFC | 2023-01-23 | 39.97 | 0.3715 | 0.4935 | no |