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 | -1.93% | 2.70% | 2023-02-02 | -9.79% |
| buy & hold | participation factor overlay | 6 months | complete | 1.36% | 2.70% | 2023-02-02 | -9.79% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.64% | 4.87% | 2023-02-02 | -11.24% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.64% | 4.87% | 2023-02-02 | -11.24% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.21% | 3.20% | 2023-03-03 | -6.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.31% | 4.50% | 2023-07-13 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.89% | 4.86% | 2023-02-02 | -7.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.83% | 4.86% | 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 | 2023-01-23 | 137.40 | 0.2887 | 0.4983 | no |
| AES | 2023-01-23 | 22.74 | 0.2181 | — | no |
| AMGN | 2023-01-23 | 235.06 | 0.4941 | 0.6112 | no |
| ANET | 2023-01-23 | 28.91 | 0.9041 | 0.4917 | no |
| BDX | 2023-01-23 | 185.46 | 0.2095 | 0.4769 | no |
| BLK | 2023-01-23 | 678.97 | 0.2210 | — | no |
| CAG | 2023-01-23 | 30.77 | 0.4060 | 0.4925 | no |
| CDW | 2023-01-23 | 188.46 | 0.4078 | 0.5016 | no |
| CEG | 2023-01-23 | 80.56 | 0.2536 | 0.5327 | no |
| CF | 2023-01-23 | 79.77 | 0.3648 | 0.4980 | no |
| CNC | 2023-01-23 | 76.39 | 0.3795 | 0.4823 | no |
| CNP | 2023-01-23 | 27.23 | 0.3238 | 0.4857 | no |
| CPB | 2023-01-23 | 44.77 | 0.2308 | 0.4835 | no |
| DLTR | 2023-01-23 | 148.27 | 0.3806 | 0.6197 | no |
| DPZ | 2023-01-23 | 325.13 | 0.2592 | 0.4800 | no |
| DUK | 2023-01-23 | 87.87 | 0.2612 | 0.5488 | no |
| DVA | 2023-01-23 | 80.32 | 0.4142 | 0.5092 | no |
| EIX | 2023-01-23 | 56.26 | 0.2988 | 0.5852 | no |
| EOG | 2023-01-23 | 117.34 | 0.3484 | 0.6234 | no |
| EQT | 2023-01-23 | 32.63 | 0.5895 | 0.6605 | no |
| FANG | 2023-01-23 | 129.22 | 0.2180 | 0.6653 | no |
| FDX | 2023-01-23 | 139.77 | 0.3878 | 0.5195 | no |
| HON | 2023-01-23 | 185.19 | 0.2973 | 0.4905 | no |
| HSY | 2023-01-23 | 193.89 | 0.4282 | 0.4790 | no |
| IFF | 2023-01-23 | 101.54 | 0.2425 | 0.5234 | no |
| JPM | 2023-01-23 | 124.65 | 0.2172 | 0.4849 | no |
| KHC | 2023-01-23 | 32.78 | 0.3084 | — | no |
| LNC | 2023-01-23 | 25.80 | 0.3001 | 0.5148 | no |
| LNT | 2023-01-23 | 46.84 | 0.2102 | 0.5617 | no |
| LUMN | 2023-01-23 | 5.20 | 0.4171 | 0.4777 | no |
| MOS | 2023-01-23 | 42.79 | 0.2637 | 0.5124 | no |
| MU | 2023-01-23 | 58.04 | 0.2598 | 0.5348 | no |
| NTAP | 2023-01-23 | 61.31 | 0.2099 | 0.5301 | no |
| OXY | 2023-01-23 | 63.16 | 0.2609 | 0.6343 | no |
| PFE | 2023-01-23 | 36.01 | 0.3970 | 0.6124 | no |
| PWR | 2023-01-23 | 146.77 | 0.3495 | 0.5247 | no |
| RHI | 2023-01-23 | 65.92 | 0.4586 | 0.4973 | no |
| RJF | 2023-01-23 | 107.64 | 0.3150 | 0.4772 | no |
| RSG | 2023-01-23 | 118.33 | 0.2409 | 0.5374 | no |
| SEDG | 2023-01-23 | 295.35 | 0.3157 | 0.5403 | no |
| SO | 2023-01-23 | 58.58 | 0.2361 | 0.5307 | no |
| SPGI | 2023-01-23 | 337.39 | 0.2620 | 0.4815 | no |
| STT | 2023-01-23 | 75.43 | 0.2620 | 0.4810 | no |
| STZ | 2023-01-23 | 204.51 | 0.2927 | 0.4862 | no |
| TECH | 2023-01-23 | 80.07 | 0.2232 | 0.4688 | no |
| TGT | 2023-01-23 | 142.23 | 0.2907 | 0.6021 | no |
| TSCO | 2023-01-23 | 40.34 | 0.2647 | 0.5881 | no |
| VRSN | 2023-01-23 | 210.77 | 0.2508 | 0.5685 | no |
| WEC | 2023-01-23 | 81.33 | 0.2740 | 0.5297 | no |
| WFC | 2023-01-23 | 39.97 | 0.4160 | 0.4935 | no |