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 | -1.82% | 3.45% | 2023-02-02 | -9.79% |
| buy & hold | participation factor overlay | 6 months | complete | 3.67% | 3.72% | 2023-07-20 | -9.79% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.58% | 4.43% | 2023-02-02 | -10.74% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.22% | 4.45% | 2023-07-20 | -10.74% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.55% | 3.47% | 2023-02-02 | -8.54% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.67% | 3.47% | 2023-02-02 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.73% | 4.52% | 2023-02-02 | -8.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.36% | 4.52% | 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 |
|---|---|---|---|---|---|
| AMAT | 2023-01-23 | 105.27 | 0.2832 | 0.5380 | no |
| AMGN | 2023-01-23 | 235.06 | 0.3662 | 0.6112 | no |
| ANET | 2023-01-23 | 28.91 | 0.5554 | 0.4917 | no |
| BAC | 2023-01-23 | 30.76 | 0.1905 | 0.5019 | no |
| BDX | 2023-01-23 | 185.46 | 0.2195 | 0.4769 | no |
| CAG | 2023-01-23 | 30.77 | 0.2858 | 0.4925 | no |
| CDW | 2023-01-23 | 188.46 | 0.2313 | 0.5016 | no |
| CEG | 2023-01-23 | 80.56 | 0.2513 | 0.5327 | no |
| CF | 2023-01-23 | 79.77 | 0.4147 | 0.4980 | no |
| CFG | 2023-01-23 | 35.42 | 0.1844 | 0.4863 | no |
| CINF | 2023-01-23 | 94.60 | 0.1780 | 0.5766 | no |
| CNP | 2023-01-23 | 27.23 | 0.2945 | 0.4857 | no |
| CTAS | 2023-01-23 | 105.53 | 0.2930 | 0.4868 | no |
| DD | 2023-01-23 | 86.15 | 0.2144 | 0.5153 | no |
| DGX | 2023-01-23 | 135.64 | 0.2485 | 0.5131 | no |
| DLTR | 2023-01-23 | 148.27 | 0.1990 | 0.6197 | no |
| DPZ | 2023-01-23 | 325.13 | 0.1993 | 0.4800 | no |
| DVA | 2023-01-23 | 80.32 | 0.4990 | 0.5092 | no |
| EIX | 2023-01-23 | 56.26 | 0.3024 | 0.5852 | no |
| ENPH | 2023-01-23 | 223.58 | 0.2755 | 0.5231 | no |
| EOG | 2023-01-23 | 117.34 | 0.3470 | 0.6234 | no |
| EQT | 2023-01-23 | 32.63 | 0.6142 | 0.6605 | no |
| ETN | 2023-01-23 | 148.01 | 0.2584 | 0.4864 | no |
| EXC | 2023-01-23 | 36.62 | 0.2106 | 0.5354 | no |
| FDX | 2023-01-23 | 139.77 | 0.4746 | 0.5195 | no |
| HON | 2023-01-23 | 185.19 | 0.1846 | 0.4905 | no |
| HSY | 2023-01-23 | 193.89 | 0.3991 | 0.4790 | no |
| IBM | 2023-01-23 | 124.21 | 0.1849 | 0.4976 | no |
| INCY | 2023-01-23 | 83.36 | 0.2147 | 0.5917 | no |
| IQV | 2023-01-23 | 224.17 | 0.1960 | 0.5057 | no |
| JPM | 2023-01-23 | 124.65 | 0.2584 | 0.4849 | no |
| KHC | 2023-01-23 | 32.78 | 0.3201 | — | no |
| LNC | 2023-01-23 | 25.80 | 0.2307 | 0.5148 | no |
| LNT | 2023-01-23 | 46.84 | 0.2828 | 0.5617 | no |
| LUMN | 2023-01-23 | 5.20 | 0.4466 | 0.4777 | no |
| MCO | 2023-01-23 | 308.22 | 0.2102 | 0.4868 | no |
| NRG | 2023-01-23 | 29.78 | 0.1864 | 0.5172 | no |
| NTAP | 2023-01-23 | 61.31 | 0.2222 | 0.5301 | no |
| PFE | 2023-01-23 | 36.01 | 0.2805 | 0.6124 | no |
| PPL | 2023-01-23 | 25.74 | 0.2815 | 0.5379 | no |
| RHI | 2023-01-23 | 65.92 | 0.4605 | 0.4973 | no |
| RJF | 2023-01-23 | 107.64 | 0.3949 | 0.4772 | no |
| SO | 2023-01-23 | 58.58 | 0.3312 | 0.5307 | no |
| STZ | 2023-01-23 | 204.51 | 0.3061 | 0.4862 | no |
| TGT | 2023-01-23 | 142.23 | 0.2169 | 0.6021 | no |
| TSCO | 2023-01-23 | 40.34 | 0.4493 | 0.5881 | no |
| VICI | 2023-01-23 | 27.10 | 0.2323 | 0.4779 | no |
| WFC | 2023-01-23 | 39.97 | 0.2174 | 0.4935 | no |
| XEL | 2023-01-23 | 60.02 | 0.1848 | 0.5654 | no |
| ZBH | 2023-01-23 | 121.12 | 0.2288 | 0.4957 | no |