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 | 1.86% | 2.93% | 2023-02-02 | -7.56% |
| buy & hold | participation factor overlay | 6 months | complete | 3.56% | 5.22% | 2023-07-25 | -7.56% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.62% | 2.98% | 2023-02-02 | -8.08% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.77% | 4.35% | 2023-07-25 | -8.08% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.69% | 2.93% | 2023-02-02 | -8.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.76% | 2.93% | 2023-02-02 | -8.47% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.94% | 2.98% | 2023-02-02 | -8.90% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.91% | 2.98% | 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 |
|---|---|---|---|---|---|
| AEE | 2023-01-30 | 77.50 | 0.2797 | 0.4580 | no |
| AEP | 2023-01-30 | 81.05 | 0.3715 | 0.5115 | no |
| AIG | 2023-01-30 | 57.88 | 0.3869 | 0.5235 | no |
| ANET | 2023-01-30 | 31.25 | 0.2942 | 0.4896 | no |
| AWK | 2023-01-30 | 143.57 | 0.2204 | 0.5318 | no |
| BAC | 2023-01-30 | 32.03 | 0.3370 | 0.5019 | no |
| BRK.B | 2023-01-30 | 307.60 | 0.2655 | — | no |
| BSX | 2023-01-30 | 45.84 | 0.1935 | 0.4930 | no |
| CF | 2023-01-30 | 75.62 | 0.3906 | 0.4978 | no |
| CPB | 2023-01-30 | 44.19 | 0.2124 | 0.4858 | no |
| CSX | 2023-01-30 | 28.35 | 0.2430 | 0.5127 | no |
| DGX | 2023-01-30 | 136.25 | 0.2826 | 0.5132 | no |
| DPZ | 2023-01-30 | 333.67 | 0.2578 | 0.4810 | no |
| EOG | 2023-01-30 | 117.06 | 0.2976 | 0.6234 | no |
| EQT | 2023-01-30 | 30.47 | 1.1481 | 0.6597 | no |
| ES | 2023-01-30 | 69.14 | 0.4012 | 0.5476 | no |
| ETR | 2023-01-30 | 47.57 | 0.2016 | 0.5532 | no |
| FAST | 2023-01-30 | 22.75 | 0.5808 | 0.4578 | no |
| GILD | 2023-01-30 | 73.83 | 0.2652 | 0.5748 | no |
| GPC | 2023-01-30 | 148.05 | 0.2859 | 0.5974 | no |
| GRMN | 2023-01-30 | 90.99 | 0.2631 | 0.4824 | no |
| GWW | 2023-01-30 | 551.42 | 0.2316 | 0.4947 | no |
| HCA | 2023-01-30 | 249.02 | 0.2329 | 0.4987 | no |
| HSY | 2023-01-30 | 198.70 | 0.3701 | 0.4809 | no |
| INCY | 2023-01-30 | 85.40 | 0.2312 | 0.5917 | no |
| ISRG | 2023-01-30 | 245.00 | 0.2901 | 0.5003 | no |
| LNT | 2023-01-30 | 47.86 | 0.5039 | 0.5617 | no |
| MKC | 2023-01-30 | 68.05 | 0.1965 | 0.4922 | no |
| MOS | 2023-01-30 | 43.52 | 0.2256 | 0.5123 | no |
| NRG | 2023-01-30 | 30.77 | 0.4064 | 0.5171 | no |
| NSC | 2023-01-30 | 218.61 | 0.2748 | 0.5172 | no |
| NTAP | 2023-01-30 | 60.59 | 0.3128 | 0.5291 | no |
| PEG | 2023-01-30 | 53.15 | 0.2332 | 0.5340 | no |
| PFE | 2023-01-30 | 35.33 | 0.3831 | 0.6124 | no |
| PG | 2023-01-30 | 128.64 | 0.2367 | 0.4803 | no |
| PNW | 2023-01-30 | 63.09 | 0.3645 | 0.5191 | no |
| RHI | 2023-01-30 | 70.68 | 0.2851 | 0.4785 | no |
| RSG | 2023-01-30 | 118.80 | 0.2945 | 0.5367 | no |
| RTX | 2023-01-30 | 92.00 | 0.1992 | 0.5803 | no |
| SEDG | 2023-01-30 | 300.44 | 0.2116 | 0.5412 | no |
| SHW | 2023-01-30 | 222.72 | 0.3302 | 0.5194 | no |
| SO | 2023-01-30 | 59.22 | 0.2395 | 0.5306 | no |
| TGT | 2023-01-30 | 146.43 | 0.2230 | 0.6004 | no |
| TRMB | 2023-01-30 | 57.28 | 0.5382 | 0.5309 | no |
| TSCO | 2023-01-30 | 41.99 | 0.2153 | 0.5601 | no |
| UHS | 2023-01-30 | 142.21 | 0.1940 | 0.5141 | no |
| VICI | 2023-01-30 | 27.34 | 0.2142 | 0.4779 | no |
| VRSK | 2023-01-30 | 175.35 | 0.2358 | 0.4928 | no |
| WTW | 2023-01-30 | 239.42 | 0.2787 | 0.5267 | no |
| ZBH | 2023-01-30 | 121.52 | 0.4085 | 0.4967 | no |