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 | -1.99% | 2.84% | 2023-02-02 | -9.41% |
| buy & hold | participation factor overlay | 6 months | complete | 3.83% | 3.84% | 2023-07-20 | -9.41% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.02% | 4.47% | 2023-02-02 | -11.01% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.92% | 4.47% | 2023-02-02 | -11.04% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.22% | 3.37% | 2023-02-02 | -8.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.65% | 3.37% | 2023-02-02 | -8.47% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.34% | 4.15% | 2023-02-02 | -8.90% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.82% | 4.15% | 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 |
|---|---|---|---|---|---|
| AMAT | 2023-01-23 | 105.27 | 0.3746 | 0.5380 | no |
| AMGN | 2023-01-23 | 235.06 | 0.2926 | 0.6112 | no |
| ANET | 2023-01-23 | 28.91 | 0.5171 | 0.4917 | no |
| AVGO | 2023-01-23 | 54.49 | 0.2518 | 0.5076 | no |
| AZO | 2023-01-23 | 2342.42 | 0.1877 | 0.5567 | no |
| BA | 2023-01-23 | 208.36 | 0.2745 | 0.5689 | no |
| BDX | 2023-01-23 | 185.46 | 0.2986 | 0.4769 | no |
| CAG | 2023-01-23 | 30.77 | 0.2782 | 0.4925 | no |
| CDW | 2023-01-23 | 188.46 | 0.3009 | 0.5016 | no |
| CEG | 2023-01-23 | 80.56 | 0.2100 | 0.5327 | no |
| CF | 2023-01-23 | 79.77 | 0.3916 | 0.4980 | no |
| CI | 2023-01-23 | 287.07 | 0.3155 | 0.4900 | no |
| CNP | 2023-01-23 | 27.23 | 0.3913 | 0.4857 | no |
| DPZ | 2023-01-23 | 325.13 | 0.2796 | 0.4800 | no |
| DUK | 2023-01-23 | 87.87 | 0.1743 | 0.5488 | no |
| DVA | 2023-01-23 | 80.32 | 0.5793 | 0.5092 | no |
| EIX | 2023-01-23 | 56.26 | 0.1761 | 0.5852 | no |
| ENPH | 2023-01-23 | 223.58 | 0.1838 | 0.5231 | no |
| EOG | 2023-01-23 | 117.34 | 0.3372 | 0.6234 | no |
| EQT | 2023-01-23 | 32.63 | 0.8025 | 0.6605 | no |
| ETN | 2023-01-23 | 148.01 | 0.4442 | 0.4864 | no |
| FANG | 2023-01-23 | 129.22 | 0.2771 | 0.6653 | no |
| FDX | 2023-01-23 | 139.77 | 0.3231 | 0.5195 | no |
| FITB | 2023-01-23 | 30.27 | 0.2150 | 0.4754 | no |
| HBAN | 2023-01-23 | 12.01 | 0.2131 | 0.4727 | no |
| HPE | 2023-01-23 | 14.56 | 0.1831 | 0.5123 | no |
| HSY | 2023-01-23 | 193.89 | 0.2751 | 0.4790 | no |
| IBM | 2023-01-23 | 124.21 | 0.2026 | 0.4976 | no |
| IFF | 2023-01-23 | 101.54 | 0.2773 | 0.5234 | no |
| JPM | 2023-01-23 | 124.65 | 0.2868 | 0.4849 | no |
| KEYS | 2023-01-23 | 178.77 | 0.1994 | 0.4602 | no |
| KHC | 2023-01-23 | 32.78 | 0.2790 | — | no |
| LNC | 2023-01-23 | 25.80 | 0.1787 | 0.5148 | no |
| LNT | 2023-01-23 | 46.84 | 0.3220 | 0.5617 | no |
| LUMN | 2023-01-23 | 5.20 | 0.4216 | 0.4777 | no |
| MRK | 2023-01-23 | 98.30 | 0.1751 | 0.5558 | no |
| NTAP | 2023-01-23 | 61.31 | 0.3481 | 0.5301 | no |
| PFE | 2023-01-23 | 36.01 | 0.4020 | 0.6124 | no |
| RHI | 2023-01-23 | 65.92 | 0.3348 | 0.4973 | no |
| RJF | 2023-01-23 | 107.64 | 0.3739 | 0.4772 | no |
| ROL | 2023-01-23 | 34.40 | 0.1754 | 0.5083 | no |
| SEDG | 2023-01-23 | 295.35 | 0.2350 | 0.5403 | no |
| SO | 2023-01-23 | 58.58 | 0.1971 | 0.5307 | no |
| STT | 2023-01-23 | 75.43 | 0.2217 | 0.4810 | no |
| STZ | 2023-01-23 | 204.51 | 0.3089 | 0.4862 | no |
| TSCO | 2023-01-23 | 40.34 | 0.3507 | 0.5881 | no |
| WEC | 2023-01-23 | 81.33 | 0.2834 | 0.5297 | no |
| WFC | 2023-01-23 | 39.97 | 0.2181 | 0.4935 | no |
| WM | 2023-01-23 | 143.99 | 0.1868 | 0.5354 | no |
| XEL | 2023-01-23 | 60.02 | 0.2881 | 0.5654 | no |