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 | -3.17% | 0.83% | 2023-02-07 | -7.86% |
| buy & hold | participation factor overlay | 6 months | complete | -0.00% | 2.13% | 2023-07-25 | -7.86% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.98% | 0.80% | 2023-02-07 | -8.09% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.26% | 2.42% | 2023-07-26 | -8.09% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.37% | 0.83% | 2023-02-07 | -7.47% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.48% | 1.58% | 2023-07-31 | -7.87% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.00% | 0.80% | 2023-02-07 | -8.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.81% | 0.80% | 2023-02-07 | -9.73% |
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 |
|---|---|---|---|---|---|
| ABBV | 2023-02-06 | 128.77 | 0.2295 | 0.5758 | no |
| AMCR | 2023-02-06 | 49.02 | 0.2608 | 0.4991 | no |
| AMGN | 2023-02-06 | 218.46 | 0.3166 | — | no |
| ANET | 2023-02-06 | 32.69 | 0.3855 | 0.4888 | no |
| AON | 2023-02-06 | 303.66 | 0.2223 | 0.5645 | no |
| AWK | 2023-02-06 | 142.72 | 0.2448 | 0.5318 | no |
| BAC | 2023-02-06 | 32.98 | 0.3226 | 0.5019 | no |
| BDX | 2023-02-06 | 179.92 | 0.2314 | 0.4702 | no |
| BSX | 2023-02-06 | 48.23 | 0.4782 | 0.4719 | no |
| CF | 2023-02-06 | 79.16 | 0.4613 | 0.4974 | no |
| CHD | 2023-02-06 | 80.79 | 0.4486 | 0.4723 | no |
| CINF | 2023-02-06 | 104.86 | 0.2368 | 0.5766 | no |
| CMS | 2023-02-06 | 55.55 | 0.3045 | 0.5078 | no |
| COP | 2023-02-06 | 96.34 | 0.2703 | 0.5918 | no |
| COST | 2023-02-06 | 492.43 | 0.2240 | 0.6164 | no |
| CPB | 2023-02-06 | 43.90 | 0.2666 | 0.4842 | no |
| DD | 2023-02-06 | 84.77 | 0.2450 | 0.5156 | no |
| DUK | 2023-02-06 | 86.68 | 0.3198 | 0.5487 | no |
| DVN | 2023-02-06 | 52.67 | 0.6744 | 0.6577 | no |
| DXCM | 2023-02-06 | 108.09 | 0.3253 | 0.5002 | no |
| ED | 2023-02-06 | 81.51 | 0.2506 | — | no |
| EQT | 2023-02-06 | 29.62 | 0.6630 | 0.6597 | no |
| ES | 2023-02-06 | 68.60 | 0.2710 | 0.5476 | no |
| GL | 2023-02-06 | 116.64 | 0.3008 | 0.4981 | no |
| GPC | 2023-02-06 | 150.02 | 0.3686 | 0.5983 | no |
| HCA | 2023-02-06 | 248.15 | 0.4347 | 0.4987 | no |
| HD | 2023-02-06 | 298.35 | 0.2298 | 0.5501 | no |
| ISRG | 2023-02-06 | 251.76 | 0.3801 | 0.5003 | no |
| JPM | 2023-02-06 | 129.36 | 0.2485 | 0.4849 | no |
| KDP | 2023-02-06 | 31.82 | 0.3008 | 0.5006 | no |
| LNC | 2023-02-06 | 28.39 | 0.3876 | 0.5148 | no |
| LUMN | 2023-02-06 | 5.21 | 0.3541 | 0.4777 | no |
| MCK | 2023-02-06 | 357.65 | 0.3107 | 0.4807 | no |
| MRK | 2023-02-06 | 92.48 | 0.2960 | 0.6143 | no |
| NI | 2023-02-06 | 24.16 | 0.2877 | — | no |
| NRG | 2023-02-06 | 31.69 | 0.4779 | 0.5171 | no |
| NTAP | 2023-02-06 | 62.13 | 0.4763 | 0.5297 | no |
| OXY | 2023-02-06 | 57.71 | 0.4236 | 0.6343 | no |
| PEP | 2023-02-06 | 149.20 | 0.3171 | 0.4775 | no |
| PFE | 2023-02-06 | 35.65 | 0.4144 | 0.6086 | no |
| PM | 2023-02-06 | 87.82 | 0.2711 | 0.4614 | no |
| PNW | 2023-02-06 | 65.43 | 0.2277 | 0.5191 | no |
| RHI | 2023-02-06 | 72.13 | 0.4206 | 0.4785 | no |
| RJF | 2023-02-06 | 105.54 | 0.4566 | 0.4815 | no |
| RTX | 2023-02-06 | 89.46 | 0.2329 | 0.5803 | no |
| SO | 2023-02-06 | 58.76 | 0.2552 | 0.5306 | no |
| SYY | 2023-02-06 | 69.43 | 0.2562 | 0.5812 | no |
| TRMB | 2023-02-06 | 59.37 | 0.4587 | 0.5319 | no |
| WMB | 2023-02-06 | 27.43 | 0.3689 | 0.5108 | no |
| XOM | 2023-02-06 | 99.35 | 0.3879 | 0.5743 | no |