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 | 0.23% | 2.76% | 2023-04-24 | -5.44% |
| buy & hold | participation factor overlay | 6 months | complete | 5.37% | 9.87% | 2023-07-31 | -5.44% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.42% | 2.34% | 2023-04-19 | -6.10% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.94% | 9.37% | 2023-07-19 | -6.10% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.03% | 1.61% | 2023-03-03 | -6.69% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.27% | 4.01% | 2023-07-31 | -6.69% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.37% | 1.90% | 2023-03-03 | -7.88% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.45% | 3.80% | 2023-07-31 | -7.88% |
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 | 2023-02-27 | 135.42 | 0.5071 | 0.5927 | no |
| ADBE | 2023-02-27 | 322.02 | 0.3678 | 0.4879 | no |
| ADI | 2023-02-27 | 175.42 | 0.2077 | 0.5196 | no |
| ADSK | 2023-02-27 | 195.00 | 0.2227 | 0.5182 | no |
| BAC | 2023-02-27 | 31.34 | 0.2975 | 0.5019 | no |
| BALL | 2023-02-27 | 54.41 | 0.2229 | 0.5050 | no |
| BBWI | 2023-02-27 | 39.36 | 0.2356 | 0.4614 | no |
| BRO | 2023-02-27 | 55.62 | 0.2168 | 0.5828 | no |
| CE | 2023-02-27 | 115.03 | 0.2861 | 0.5110 | no |
| CEG | 2023-02-27 | 77.42 | 0.2885 | 0.5229 | no |
| CPB | 2023-02-27 | 45.81 | 0.4405 | 0.4818 | no |
| CPRT | 2023-02-27 | 34.90 | 0.2547 | 0.4685 | no |
| CRM | 2023-02-27 | 160.77 | 0.2417 | 0.5223 | no |
| DG | 2023-02-27 | 200.70 | 0.2549 | 0.5426 | no |
| DUK | 2023-02-27 | 84.83 | 0.2912 | 0.5393 | no |
| DVA | 2023-02-27 | 82.91 | 0.3692 | 0.4925 | no |
| EIX | 2023-02-27 | 58.27 | 0.2427 | 0.5803 | no |
| ENPH | 2023-02-27 | 205.47 | 0.5991 | 0.5359 | no |
| FSLR | 2023-02-27 | 163.45 | 0.4650 | 0.5320 | no |
| GIS | 2023-02-27 | 69.49 | 0.3057 | 0.4767 | no |
| GRMN | 2023-02-27 | 92.31 | 0.3263 | 0.4836 | no |
| HAL | 2023-02-27 | 33.95 | 0.2082 | 0.5901 | no |
| HPQ | 2023-02-27 | 25.44 | 0.3504 | 0.5343 | no |
| HWM | 2023-02-27 | 41.89 | 0.2429 | 0.5810 | no |
| IFF | 2023-02-27 | 86.47 | 0.3189 | 0.5197 | no |
| INCY | 2023-02-27 | 77.18 | 0.2825 | 0.5662 | no |
| INTC | 2023-02-27 | 24.94 | 0.3888 | 0.5222 | no |
| ISRG | 2023-02-27 | 233.96 | 0.2826 | 0.5003 | no |
| KDP | 2023-02-27 | 32.49 | 0.3132 | 0.4984 | no |
| NFLX | 2023-02-27 | 32.39 | 0.3808 | 0.4802 | no |
| NRG | 2023-02-27 | 31.38 | 0.6471 | 0.5636 | no |
| NVR | 2023-02-27 | 5197.13 | 0.4306 | — | no |
| NWS | 2023-02-27 | 17.09 | 0.2718 | — | no |
| PEP | 2023-02-27 | 155.55 | 0.5293 | 0.4693 | no |
| PG | 2023-02-27 | 127.40 | 0.2127 | 0.4806 | no |
| PGR | 2023-02-27 | 129.70 | 0.2203 | 0.5124 | no |
| PH | 2023-02-27 | 339.39 | 0.3900 | 0.4998 | no |
| PHM | 2023-02-27 | 52.70 | 0.2094 | 0.5015 | no |
| RJF | 2023-02-27 | 103.26 | 0.2554 | 0.4815 | no |
| ROST | 2023-02-27 | 108.46 | 0.2827 | 0.4572 | no |
| RSG | 2023-02-27 | 124.85 | 0.2286 | 0.5371 | no |
| SLB | 2023-02-27 | 49.54 | 0.5057 | 0.6138 | no |
| SYK | 2023-02-27 | 255.27 | 0.2078 | 0.5142 | no |
| SYY | 2023-02-27 | 69.33 | 0.2317 | 0.5809 | no |
| TECH | 2023-02-27 | 71.87 | 0.6645 | 0.4725 | no |
| TRMB | 2023-02-27 | 52.26 | 0.2622 | 0.5387 | no |
| TT | 2023-02-27 | 176.56 | 0.3262 | 0.4824 | no |
| USB | 2023-02-27 | 40.78 | 0.2042 | 0.4867 | no |
| WMB | 2023-02-27 | 26.60 | 0.2967 | 0.5172 | no |
| XRAY | 2023-02-27 | 31.78 | 0.4062 | 0.5556 | no |