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 | -1.21% | 1.12% | 2023-05-01 | -6.21% |
| buy & hold | participation factor overlay | 6 months | complete | -0.25% | 1.74% | 2023-07-25 | -6.37% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.05% | 0.83% | 2023-04-28 | -6.48% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.35% | 1.40% | 2023-07-24 | -6.48% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.02% | 0.39% | 2023-02-13 | -6.84% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.99% | 2.60% | 2023-07-31 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.53% | 0.63% | 2023-02-13 | -8.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.38% | 2.29% | 2023-07-31 | -8.08% |
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 | 2023-02-13 | 134.32 | 0.2159 | 0.5927 | no |
| AON | 2023-02-13 | 310.48 | 0.4764 | 0.5645 | no |
| AZO | 2023-02-13 | 2510.50 | 0.2227 | 0.5611 | no |
| BDX | 2023-02-13 | 181.15 | 0.2984 | 0.4702 | no |
| BSX | 2023-02-13 | 47.37 | 0.2581 | 0.4723 | no |
| CEG | 2023-02-13 | 84.40 | 0.4298 | 0.5327 | no |
| CHD | 2023-02-13 | 78.59 | 0.3299 | 0.4720 | no |
| CNC | 2023-02-13 | 72.99 | 0.4148 | 0.4767 | no |
| CPB | 2023-02-13 | 44.25 | 0.3243 | 0.4842 | no |
| CSX | 2023-02-13 | 29.66 | 0.2810 | 0.5127 | no |
| CTAS | 2023-02-13 | 107.21 | 0.3161 | 0.4868 | no |
| CVS | 2023-02-13 | 78.59 | 0.2043 | 0.5467 | no |
| CVX | 2023-02-13 | 146.93 | 0.3006 | 0.5628 | no |
| DGX | 2023-02-13 | 135.28 | 0.1853 | 0.4906 | no |
| EQT | 2023-02-13 | 29.63 | 0.3167 | 0.6597 | no |
| FCX | 2023-02-13 | 39.91 | 0.2473 | 0.6034 | no |
| FE | 2023-02-13 | 34.47 | 0.2806 | 0.5576 | no |
| FOX | 2023-02-13 | 31.45 | 0.1910 | — | no |
| GD | 2023-02-13 | 218.80 | 0.4041 | 0.5679 | no |
| GIS | 2023-02-13 | 65.45 | 0.3813 | 0.4766 | no |
| GPC | 2023-02-13 | 154.43 | 0.4480 | 0.5963 | no |
| HAL | 2023-02-13 | 35.57 | 0.2097 | 0.5900 | no |
| HCA | 2023-02-13 | 250.69 | 0.4315 | 0.4992 | no |
| HII | 2023-02-13 | 205.03 | 0.1928 | 0.5720 | no |
| HSY | 2023-02-13 | 215.88 | 0.4271 | 0.4855 | no |
| IFF | 2023-02-13 | 86.51 | 0.1927 | 0.5197 | no |
| KDP | 2023-02-13 | 32.00 | 0.2063 | 0.4995 | no |
| KHC | 2023-02-13 | 32.60 | 0.3218 | — | no |
| LDOS | 2023-02-13 | 96.40 | 0.3057 | 0.5757 | no |
| LMT | 2023-02-13 | 439.20 | 0.6000 | 0.5748 | no |
| LW | 2023-02-13 | 92.28 | 0.2853 | 0.5009 | no |
| MNST | 2023-02-13 | 25.85 | 0.2395 | 0.4763 | no |
| MO | 2023-02-13 | 35.62 | 0.2291 | 0.4691 | no |
| MOH | 2023-02-13 | 303.31 | 0.2824 | 0.4698 | no |
| MRK | 2023-02-13 | 97.21 | 0.4589 | 0.6143 | no |
| MTB | 2023-02-13 | 140.40 | 0.2335 | 0.4793 | no |
| NRG | 2023-02-13 | 32.15 | 0.6416 | 0.5171 | no |
| NWL | 2023-02-13 | 12.30 | 0.2469 | 0.4651 | no |
| OKE | 2023-02-13 | 57.91 | 0.1811 | 0.5401 | no |
| OXY | 2023-02-13 | 61.00 | 0.2901 | 0.6326 | no |
| PEP | 2023-02-13 | 154.93 | 0.4928 | 0.4693 | no |
| PFE | 2023-02-13 | 35.24 | 0.5553 | 0.6086 | no |
| PG | 2023-02-13 | 126.79 | 0.1784 | 0.4806 | no |
| RSG | 2023-02-13 | 122.49 | 0.2121 | 0.5367 | no |
| SJM | 2023-02-13 | 130.69 | 0.2237 | 0.4602 | no |
| SO | 2023-02-13 | 58.45 | 0.2381 | 0.5306 | no |
| SYY | 2023-02-13 | 70.54 | 0.2327 | 0.5808 | no |
| TFX | 2023-02-13 | 238.81 | 0.3227 | 0.5205 | no |
| ULTA | 2023-02-13 | 518.99 | 0.1998 | 0.4648 | no |
| XRAY | 2023-02-13 | 32.91 | 0.2609 | 0.5556 | no |