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 | -1.33% | 1.05% | 2023-04-18 | -6.11% |
| buy & hold | participation factor overlay | 6 months | complete | -0.26% | 2.92% | 2023-07-24 | -6.11% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.17% | 0.89% | 2023-04-18 | -6.05% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.66% | 3.28% | 2023-07-24 | -6.05% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.97% | 0.96% | 2023-03-03 | -6.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.31% | 2.34% | 2023-07-25 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.43% | 1.08% | 2023-03-03 | -7.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.74% | 1.08% | 2023-03-03 | -8.48% |
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 | 0.2238 | 0.5265 | no |
| ANET | 2023-02-13 | 33.63 | 0.2835 | 0.4877 | no |
| AON | 2023-02-13 | 310.48 | 0.3625 | 0.5645 | no |
| AZO | 2023-02-13 | 2510.50 | 0.2371 | 0.5611 | no |
| BRO | 2023-02-13 | 56.90 | 0.2142 | 0.5828 | no |
| BSX | 2023-02-13 | 47.37 | 0.3085 | 0.4723 | no |
| CAG | 2023-02-13 | 29.71 | 0.2527 | 0.4921 | no |
| CHD | 2023-02-13 | 78.59 | 0.2818 | 0.4720 | no |
| CNC | 2023-02-13 | 72.99 | 0.4038 | 0.4767 | no |
| CPB | 2023-02-13 | 44.25 | 0.5678 | 0.4842 | no |
| CSCO | 2023-02-13 | 43.18 | 0.2478 | 0.4761 | no |
| CSX | 2023-02-13 | 29.66 | 0.3286 | 0.5127 | no |
| CTAS | 2023-02-13 | 107.21 | 0.3535 | 0.4868 | no |
| ENPH | 2023-02-13 | 212.88 | 0.2803 | 0.5298 | no |
| EQT | 2023-02-13 | 29.63 | 0.2332 | 0.6597 | no |
| EVRG | 2023-02-13 | 52.38 | 0.4676 | 0.4829 | no |
| FAST | 2023-02-13 | 24.05 | 0.2426 | 0.4578 | no |
| GD | 2023-02-13 | 218.80 | 0.3196 | 0.5679 | no |
| GIS | 2023-02-13 | 65.45 | 0.2975 | 0.4766 | no |
| GL | 2023-02-13 | 117.95 | 0.2685 | 0.4981 | no |
| GPC | 2023-02-13 | 154.43 | 0.2859 | 0.5963 | no |
| HAL | 2023-02-13 | 35.57 | 0.3480 | 0.5900 | no |
| HCA | 2023-02-13 | 250.69 | 0.5956 | 0.4992 | no |
| HSY | 2023-02-13 | 215.88 | 0.4227 | 0.4855 | no |
| IFF | 2023-02-13 | 86.51 | 0.2003 | 0.5197 | no |
| IVZ | 2023-02-13 | 15.96 | 0.2052 | 0.4864 | no |
| KHC | 2023-02-13 | 32.60 | 0.3538 | — | no |
| LDOS | 2023-02-13 | 96.40 | 0.2301 | 0.5757 | no |
| LMT | 2023-02-13 | 439.20 | 0.4352 | 0.5748 | no |
| LNC | 2023-02-13 | 27.45 | 0.4295 | 0.5069 | no |
| LW | 2023-02-13 | 92.28 | 0.3105 | 0.5009 | no |
| MOH | 2023-02-13 | 303.31 | 0.3215 | 0.4698 | no |
| MRK | 2023-02-13 | 97.21 | 0.5636 | 0.6143 | no |
| MTB | 2023-02-13 | 140.40 | 0.4525 | 0.4793 | no |
| NRG | 2023-02-13 | 32.15 | 0.6653 | 0.5171 | no |
| NTAP | 2023-02-13 | 61.40 | 0.2416 | 0.5288 | no |
| NWL | 2023-02-13 | 12.30 | 0.2107 | 0.4651 | no |
| OKE | 2023-02-13 | 57.91 | 0.2106 | 0.5401 | no |
| OXY | 2023-02-13 | 61.00 | 0.2742 | 0.6326 | no |
| PCAR | 2023-02-13 | 64.63 | 0.3167 | 0.5549 | no |
| PEP | 2023-02-13 | 154.93 | 0.4529 | 0.4693 | no |
| PFE | 2023-02-13 | 35.24 | 0.7080 | 0.6086 | no |
| RSG | 2023-02-13 | 122.49 | 0.2823 | 0.5367 | no |
| SJM | 2023-02-13 | 130.69 | 0.1941 | 0.4602 | no |
| SO | 2023-02-13 | 58.45 | 0.3731 | 0.5306 | no |
| SYY | 2023-02-13 | 70.54 | 0.2936 | 0.5808 | no |
| TER | 2023-02-13 | 104.41 | 0.2513 | 0.5233 | no |
| TFX | 2023-02-13 | 238.81 | 0.2511 | 0.5205 | no |
| TSCO | 2023-02-13 | 43.55 | 0.2948 | 0.5607 | no |
| ULTA | 2023-02-13 | 518.99 | 0.2033 | 0.4648 | no |