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 | 0.87% | 2.55% | 2023-02-02 | -7.72% |
| buy & hold | participation factor overlay | 6 months | complete | 3.41% | 4.83% | 2023-07-21 | -7.72% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.18% | 2.87% | 2023-02-02 | -8.96% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.48% | 3.85% | 2023-07-21 | -8.96% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.78% | 2.55% | 2023-02-02 | -7.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.22% | 3.22% | 2023-07-28 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.49% | 2.87% | 2023-02-02 | -9.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.84% | 2.95% | 2023-07-26 | -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 |
|---|---|---|---|---|---|
| AEP | 2023-01-30 | 81.05 | 0.3726 | 0.5115 | no |
| AIG | 2023-01-30 | 57.88 | 0.2517 | 0.5235 | no |
| AMCR | 2023-01-30 | 48.49 | 0.2623 | 0.4991 | no |
| ANET | 2023-01-30 | 31.25 | 0.2231 | 0.4896 | no |
| AZO | 2023-01-30 | 2389.75 | 0.2743 | 0.5573 | no |
| BAC | 2023-01-30 | 32.03 | 0.3103 | 0.5019 | no |
| CEG | 2023-01-30 | 83.46 | 0.2114 | 0.5327 | no |
| CF | 2023-01-30 | 75.62 | 0.5185 | 0.4978 | no |
| CNP | 2023-01-30 | 26.92 | 0.2163 | 0.4855 | no |
| CPB | 2023-01-30 | 44.19 | 0.3408 | 0.4858 | no |
| DGX | 2023-01-30 | 136.25 | 0.2506 | 0.5132 | no |
| DPZ | 2023-01-30 | 333.67 | 0.2121 | 0.4810 | no |
| DUK | 2023-01-30 | 87.61 | 0.3402 | 0.5487 | no |
| DXCM | 2023-01-30 | 106.12 | 0.2829 | 0.5002 | no |
| EQT | 2023-01-30 | 30.47 | 1.2593 | 0.6597 | no |
| ES | 2023-01-30 | 69.14 | 0.3757 | 0.5476 | no |
| ETR | 2023-01-30 | 47.57 | 0.2253 | 0.5532 | no |
| FAST | 2023-01-30 | 22.75 | 0.4129 | 0.4578 | no |
| GILD | 2023-01-30 | 73.83 | 0.2794 | 0.5748 | no |
| GPC | 2023-01-30 | 148.05 | 0.4187 | 0.5974 | no |
| GWW | 2023-01-30 | 551.42 | 0.2696 | 0.4947 | no |
| HD | 2023-01-30 | 286.42 | 0.3617 | 0.5476 | no |
| HPE | 2023-01-30 | 14.53 | 0.2572 | 0.5088 | no |
| HSY | 2023-01-30 | 198.70 | 0.2510 | 0.4809 | no |
| HUM | 2023-01-30 | 466.17 | 0.3043 | 0.4801 | no |
| INCY | 2023-01-30 | 85.40 | 0.2461 | 0.5917 | no |
| KDP | 2023-01-30 | 31.42 | 0.2240 | 0.5006 | no |
| KHC | 2023-01-30 | 32.57 | 0.4024 | — | no |
| LNC | 2023-01-30 | 27.43 | 0.3594 | 0.5148 | no |
| LNT | 2023-01-30 | 47.86 | 0.4414 | 0.5617 | no |
| MCO | 2023-01-30 | 305.76 | 0.2293 | 0.4867 | no |
| MRK | 2023-01-30 | 94.40 | 0.2668 | 0.5558 | no |
| NRG | 2023-01-30 | 30.77 | 0.3345 | 0.5171 | no |
| NTAP | 2023-01-30 | 60.59 | 0.2645 | 0.5291 | no |
| PEG | 2023-01-30 | 53.15 | 0.3909 | 0.5340 | no |
| PFE | 2023-01-30 | 35.33 | 0.2891 | 0.6124 | no |
| PNW | 2023-01-30 | 63.09 | 0.3195 | 0.5191 | no |
| RSG | 2023-01-30 | 118.80 | 0.3450 | 0.5367 | no |
| RTX | 2023-01-30 | 92.00 | 0.2720 | 0.5803 | no |
| SO | 2023-01-30 | 59.22 | 0.3923 | 0.5306 | no |
| TECH | 2023-01-30 | 79.27 | 0.2653 | 0.4717 | no |
| TFX | 2023-01-30 | 234.43 | 0.2849 | 0.5205 | no |
| TRMB | 2023-01-30 | 57.28 | 0.3068 | 0.5309 | no |
| UHS | 2023-01-30 | 142.21 | 0.3312 | 0.5141 | no |
| UNP | 2023-01-30 | 184.41 | 0.3517 | 0.5106 | no |
| VRSK | 2023-01-30 | 175.35 | 0.2303 | 0.4928 | no |
| WEC | 2023-01-30 | 81.05 | 0.2458 | 0.5295 | no |
| WFC | 2023-01-30 | 41.76 | 0.3875 | 0.4935 | no |
| XEL | 2023-01-30 | 60.04 | 0.2610 | 0.5629 | no |
| ZBH | 2023-01-30 | 121.52 | 0.2795 | 0.4967 | no |