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 | -2.29% | 0.56% | 2023-02-13 | -7.60% |
| buy & hold | participation factor overlay | 6 months | complete | -1.08% | 1.71% | 2023-07-26 | -7.60% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.43% | 0.76% | 2023-02-13 | -7.17% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.05% | 1.63% | 2023-07-26 | -7.17% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.15% | 0.56% | 2023-02-13 | -7.81% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.77% | 0.56% | 2023-02-13 | -7.81% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.53% | 0.76% | 2023-02-13 | -7.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -4.32% | 0.76% | 2023-02-13 | -8.67% |
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 | 0.4176 | 0.5927 | no |
| ALB | 2023-02-13 | 254.55 | 0.3494 | 0.5404 | no |
| AON | 2023-02-13 | 310.48 | 0.4685 | 0.5645 | no |
| AZO | 2023-02-13 | 2510.50 | 0.2913 | 0.5611 | no |
| BA | 2023-02-13 | 213.60 | 0.2976 | 0.5688 | no |
| BSX | 2023-02-13 | 47.37 | 0.2662 | 0.4723 | no |
| CEG | 2023-02-13 | 84.40 | 0.2759 | 0.5327 | no |
| CHD | 2023-02-13 | 78.59 | 0.2885 | 0.4720 | no |
| CNC | 2023-02-13 | 72.99 | 0.4381 | 0.4767 | no |
| CPB | 2023-02-13 | 44.25 | 0.3790 | 0.4842 | no |
| CSX | 2023-02-13 | 29.66 | 0.2909 | 0.5127 | no |
| CTAS | 2023-02-13 | 107.21 | 0.2985 | 0.4868 | no |
| CVS | 2023-02-13 | 78.59 | 0.2453 | 0.5467 | no |
| CVX | 2023-02-13 | 146.93 | 0.2233 | 0.5628 | no |
| ENPH | 2023-02-13 | 212.88 | 0.2468 | 0.5298 | no |
| EQT | 2023-02-13 | 29.63 | 0.3213 | 0.6597 | no |
| FCX | 2023-02-13 | 39.91 | 0.2140 | 0.6034 | no |
| FE | 2023-02-13 | 34.47 | 0.2500 | 0.5576 | no |
| GD | 2023-02-13 | 218.80 | 0.3763 | 0.5679 | no |
| GIS | 2023-02-13 | 65.45 | 0.2333 | 0.4766 | no |
| GPC | 2023-02-13 | 154.43 | 0.3196 | 0.5963 | no |
| HAL | 2023-02-13 | 35.57 | 0.2422 | 0.5900 | no |
| HCA | 2023-02-13 | 250.69 | 0.3467 | 0.4992 | no |
| HSY | 2023-02-13 | 215.88 | 0.3915 | 0.4855 | no |
| IFF | 2023-02-13 | 86.51 | 0.2897 | 0.5197 | no |
| ISRG | 2023-02-13 | 246.09 | 0.2257 | 0.5003 | no |
| KHC | 2023-02-13 | 32.60 | 0.3756 | — | no |
| LDOS | 2023-02-13 | 96.40 | 0.2117 | 0.5757 | no |
| LMT | 2023-02-13 | 439.20 | 0.4289 | 0.5748 | no |
| LNC | 2023-02-13 | 27.45 | 0.2429 | 0.5069 | no |
| LVS | 2023-02-13 | 53.67 | 0.2559 | 0.4665 | no |
| LW | 2023-02-13 | 92.28 | 0.2326 | 0.5009 | no |
| MKC | 2023-02-13 | 68.40 | 0.2094 | 0.4868 | no |
| MOH | 2023-02-13 | 303.31 | 0.2504 | 0.4698 | no |
| MRK | 2023-02-13 | 97.21 | 0.3460 | 0.6143 | no |
| MTB | 2023-02-13 | 140.40 | 0.2601 | 0.4793 | no |
| NOC | 2023-02-13 | 439.56 | 0.2750 | 0.5663 | no |
| NRG | 2023-02-13 | 32.15 | 0.6786 | 0.5171 | no |
| NTAP | 2023-02-13 | 61.40 | 0.2794 | 0.5288 | no |
| OXY | 2023-02-13 | 61.00 | 0.2494 | 0.6326 | no |
| PEG | 2023-02-13 | 53.63 | 0.3548 | 0.5340 | no |
| PEP | 2023-02-13 | 154.93 | 0.5214 | 0.4693 | no |
| PFE | 2023-02-13 | 35.24 | 0.6294 | 0.6086 | no |
| PFG | 2023-02-13 | 79.13 | 0.2246 | 0.5082 | no |
| SBUX | 2023-02-13 | 98.62 | 0.2344 | 0.5043 | no |
| SJM | 2023-02-13 | 130.69 | 0.2311 | 0.4602 | no |
| SO | 2023-02-13 | 58.45 | 0.2405 | 0.5306 | no |
| SYY | 2023-02-13 | 70.54 | 0.5501 | 0.5808 | no |
| ULTA | 2023-02-13 | 518.99 | 0.2103 | 0.4648 | no |
| WMB | 2023-02-13 | 27.14 | 0.2493 | 0.5108 | no |