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 | -0.68% | 2.31% | 2023-02-02 | -8.52% |
| buy & hold | participation factor overlay | 6 months | complete | 3.38% | 4.48% | 2023-07-26 | -8.52% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.26% | 3.04% | 2023-02-02 | -10.60% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.42% | 3.73% | 2023-07-26 | -10.60% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.60% | 2.49% | 2023-03-03 | -6.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.19% | 3.89% | 2023-07-25 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.09% | 3.04% | 2023-02-02 | -7.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.06% | 3.04% | 2023-02-02 | -8.83% |
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 | 0.3874 | 0.5115 | no |
| AIG | 2023-01-30 | 57.88 | 0.3526 | 0.5235 | no |
| ALB | 2023-01-30 | 262.57 | 0.2995 | 0.5402 | no |
| AMGN | 2023-01-30 | 225.67 | 0.2210 | 0.6112 | no |
| ANET | 2023-01-30 | 31.25 | 0.5687 | 0.4896 | no |
| AZO | 2023-01-30 | 2389.75 | 0.2046 | 0.5573 | no |
| BAC | 2023-01-30 | 32.03 | 0.4356 | 0.5019 | no |
| CF | 2023-01-30 | 75.62 | 0.4377 | 0.4978 | no |
| COP | 2023-01-30 | 108.33 | 0.2390 | 0.6526 | no |
| CPB | 2023-01-30 | 44.19 | 0.3677 | 0.4858 | no |
| DGX | 2023-01-30 | 136.25 | 0.2212 | 0.5132 | no |
| DPZ | 2023-01-30 | 333.67 | 0.2198 | 0.4810 | no |
| EIX | 2023-01-30 | 57.66 | 0.3592 | 0.5848 | no |
| EOG | 2023-01-30 | 117.06 | 0.3457 | 0.6234 | no |
| EQT | 2023-01-30 | 30.47 | 1.0416 | 0.6597 | no |
| ES | 2023-01-30 | 69.14 | 0.2905 | 0.5476 | no |
| FAST | 2023-01-30 | 22.75 | 0.3917 | 0.4578 | no |
| FDX | 2023-01-30 | 140.41 | 0.3395 | 0.5203 | no |
| GILD | 2023-01-30 | 73.83 | 0.3484 | 0.5748 | no |
| GPC | 2023-01-30 | 148.05 | 0.3389 | 0.5974 | no |
| GWW | 2023-01-30 | 551.42 | 0.3880 | 0.4947 | no |
| HPE | 2023-01-30 | 14.53 | 0.2704 | 0.5088 | no |
| HSY | 2023-01-30 | 198.70 | 0.4317 | 0.4809 | no |
| HUM | 2023-01-30 | 466.17 | 0.2199 | 0.4801 | no |
| IP | 2023-01-30 | 31.81 | 0.2003 | 0.5220 | no |
| ISRG | 2023-01-30 | 245.00 | 0.2342 | 0.5003 | no |
| KHC | 2023-01-30 | 32.57 | 0.2737 | — | no |
| LNC | 2023-01-30 | 27.43 | 0.2746 | 0.5148 | no |
| LNT | 2023-01-30 | 47.86 | 0.3585 | 0.5617 | no |
| MRNA | 2023-01-30 | 187.23 | 0.2468 | 0.6247 | no |
| NRG | 2023-01-30 | 30.77 | 0.3074 | 0.5171 | no |
| NSC | 2023-01-30 | 218.61 | 0.2855 | 0.5172 | no |
| NTAP | 2023-01-30 | 60.59 | 0.3241 | 0.5291 | no |
| OXY | 2023-01-30 | 61.76 | 0.2017 | 0.6343 | no |
| PEG | 2023-01-30 | 53.15 | 0.2690 | 0.5340 | no |
| PEP | 2023-01-30 | 149.23 | 0.2198 | 0.4775 | no |
| PFE | 2023-01-30 | 35.33 | 0.4488 | 0.6124 | no |
| PG | 2023-01-30 | 128.64 | 0.2149 | 0.4803 | no |
| PNW | 2023-01-30 | 63.09 | 0.3258 | 0.5191 | no |
| RJF | 2023-01-30 | 105.49 | 0.3017 | 0.4815 | no |
| RSG | 2023-01-30 | 118.80 | 0.3830 | 0.5367 | no |
| RTX | 2023-01-30 | 92.00 | 0.3898 | 0.5803 | no |
| SHW | 2023-01-30 | 222.72 | 0.3325 | 0.5194 | no |
| SO | 2023-01-30 | 59.22 | 0.4304 | 0.5306 | no |
| TRMB | 2023-01-30 | 57.28 | 0.2269 | 0.5309 | no |
| UHS | 2023-01-30 | 142.21 | 0.2320 | 0.5141 | no |
| UNP | 2023-01-30 | 184.41 | 0.3824 | 0.5106 | no |
| WFC | 2023-01-30 | 41.76 | 0.2101 | 0.4935 | no |
| WTW | 2023-01-30 | 239.42 | 0.3022 | 0.5267 | no |
| ZBH | 2023-01-30 | 121.52 | 0.2439 | 0.4967 | no |