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 | -2.47% | 0.59% | 2023-02-13 | -7.14% |
| buy & hold | participation factor overlay | 6 months | complete | -1.05% | 1.33% | 2023-07-24 | -7.14% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.32% | 0.67% | 2023-02-13 | -7.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.59% | 1.11% | 2023-07-24 | -7.72% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.49% | 0.59% | 2023-02-13 | -7.41% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.17% | 1.41% | 2023-07-31 | -7.81% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.71% | 0.67% | 2023-02-13 | -8.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -4.29% | 0.67% | 2023-02-13 | -9.68% |
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 |
|---|---|---|---|---|---|
| ACGL | 2023-02-13 | 61.14 | 0.2273 | 0.5265 | no |
| ALB | 2023-02-13 | 254.55 | 0.3502 | 0.5404 | no |
| AMGN | 2023-02-13 | 216.54 | 0.2214 | — | no |
| ANET | 2023-02-13 | 33.63 | 0.3891 | 0.4877 | no |
| AON | 2023-02-13 | 310.48 | 0.5026 | 0.5645 | no |
| BA | 2023-02-13 | 213.60 | 0.3071 | 0.5688 | no |
| BAC | 2023-02-13 | 32.28 | 0.2012 | 0.5019 | no |
| BIIB | 2023-02-13 | 284.45 | 0.2167 | 0.6253 | no |
| BSX | 2023-02-13 | 47.37 | 0.3219 | 0.4723 | no |
| CEG | 2023-02-13 | 84.40 | 0.2019 | 0.5327 | no |
| CHD | 2023-02-13 | 78.59 | 0.4374 | 0.4720 | no |
| CNC | 2023-02-13 | 72.99 | 0.3436 | 0.4767 | no |
| CPB | 2023-02-13 | 44.25 | 0.2388 | 0.4842 | no |
| CSX | 2023-02-13 | 29.66 | 0.2282 | 0.5127 | no |
| CTAS | 2023-02-13 | 107.21 | 0.3616 | 0.4868 | no |
| CVX | 2023-02-13 | 146.93 | 0.2168 | 0.5628 | no |
| DGX | 2023-02-13 | 135.28 | 0.2246 | 0.4906 | no |
| ENPH | 2023-02-13 | 212.88 | 0.2227 | 0.5298 | no |
| EVRG | 2023-02-13 | 52.38 | 0.2067 | 0.4829 | no |
| GD | 2023-02-13 | 218.80 | 0.2687 | 0.5679 | no |
| GILD | 2023-02-13 | 76.64 | 0.3371 | 0.6213 | no |
| GL | 2023-02-13 | 117.95 | 0.2080 | 0.4981 | no |
| GPC | 2023-02-13 | 154.43 | 0.3654 | 0.5963 | no |
| HAL | 2023-02-13 | 35.57 | 0.3211 | 0.5900 | no |
| HCA | 2023-02-13 | 250.69 | 0.5388 | 0.4992 | no |
| HSY | 2023-02-13 | 215.88 | 0.4947 | 0.4855 | no |
| IFF | 2023-02-13 | 86.51 | 0.3651 | 0.5197 | no |
| KHC | 2023-02-13 | 32.60 | 0.3343 | — | no |
| KLAC | 2023-02-13 | 38.45 | 0.2712 | 0.5436 | no |
| KMB | 2023-02-13 | 111.17 | 0.2210 | 0.4655 | no |
| LDOS | 2023-02-13 | 96.40 | 0.2749 | 0.5757 | no |
| LMT | 2023-02-13 | 439.20 | 0.3854 | 0.5748 | no |
| LNC | 2023-02-13 | 27.45 | 0.5014 | 0.5069 | no |
| LW | 2023-02-13 | 92.28 | 0.2994 | 0.5009 | no |
| LYB | 2023-02-13 | 78.64 | 0.2119 | 0.5405 | no |
| MOH | 2023-02-13 | 303.31 | 0.2717 | 0.4698 | no |
| MRK | 2023-02-13 | 97.21 | 0.4502 | 0.6143 | no |
| MTB | 2023-02-13 | 140.40 | 0.5046 | 0.4793 | no |
| NRG | 2023-02-13 | 32.15 | 0.6750 | 0.5171 | no |
| OKE | 2023-02-13 | 57.91 | 0.2147 | 0.5401 | no |
| OXY | 2023-02-13 | 61.00 | 0.5315 | 0.6326 | no |
| PCG | 2023-02-13 | 15.26 | 0.2001 | 0.5676 | no |
| PEP | 2023-02-13 | 154.93 | 0.4842 | 0.4693 | no |
| PFE | 2023-02-13 | 35.24 | 0.3808 | 0.6086 | no |
| SJM | 2023-02-13 | 130.69 | 0.3355 | 0.4602 | no |
| SO | 2023-02-13 | 58.45 | 0.2110 | 0.5306 | no |
| SYY | 2023-02-13 | 70.54 | 0.4000 | 0.5808 | no |
| TFX | 2023-02-13 | 238.81 | 0.2140 | 0.5205 | no |
| TSCO | 2023-02-13 | 43.55 | 0.2100 | 0.5607 | no |
| WM | 2023-02-13 | 145.61 | 0.2106 | 0.5291 | no |