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 | -0.72% | 1.60% | 2023-04-19 | -6.08% |
| buy & hold | participation factor overlay | 6 months | complete | 3.78% | 8.14% | 2023-07-31 | -6.08% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.35% | 3.09% | 2023-05-18 | -5.82% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.81% | 9.63% | 2023-07-19 | -6.99% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.31% | 1.04% | 2023-03-03 | -6.15% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.31% | 3.24% | 2023-07-31 | -6.78% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.11% | 1.31% | 2023-03-03 | -8.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.48% | 1.74% | 2023-07-31 | -8.49% |
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 | 0.2407 | 0.5927 | no |
| ADBE | 2023-02-27 | 322.02 | 0.3762 | 0.4879 | no |
| AES | 2023-02-27 | 21.85 | 0.3493 | — | no |
| BA | 2023-02-27 | 199.87 | 0.2254 | 0.5691 | no |
| BALL | 2023-02-27 | 54.41 | 0.3782 | 0.5050 | no |
| BBWI | 2023-02-27 | 39.36 | 0.2757 | 0.4614 | no |
| BRO | 2023-02-27 | 55.62 | 0.3641 | 0.5828 | no |
| CAG | 2023-02-27 | 29.99 | 0.1985 | 0.4891 | no |
| CE | 2023-02-27 | 115.03 | 0.5183 | 0.5110 | no |
| CEG | 2023-02-27 | 77.42 | 0.3688 | 0.5229 | no |
| CNC | 2023-02-27 | 70.88 | 0.2515 | 0.4767 | no |
| CPB | 2023-02-27 | 45.81 | 0.2485 | 0.4818 | no |
| CPRT | 2023-02-27 | 34.90 | 0.2545 | 0.4685 | no |
| CRM | 2023-02-27 | 160.77 | 0.4505 | 0.5223 | no |
| CSX | 2023-02-27 | 29.82 | 0.2302 | 0.5161 | no |
| CTAS | 2023-02-27 | 106.32 | 0.3472 | 0.4882 | no |
| DG | 2023-02-27 | 200.70 | 0.2587 | 0.5426 | no |
| DVA | 2023-02-27 | 82.91 | 0.3485 | 0.4925 | no |
| ENPH | 2023-02-27 | 205.47 | 0.4924 | 0.5359 | no |
| FDX | 2023-02-27 | 153.84 | 0.2590 | 0.5201 | no |
| GOOG | 2023-02-27 | 89.24 | 0.3753 | — | no |
| GRMN | 2023-02-27 | 92.31 | 0.2595 | 0.4836 | no |
| HAL | 2023-02-27 | 33.95 | 0.2291 | 0.5901 | no |
| HPQ | 2023-02-27 | 25.44 | 0.3015 | 0.5343 | no |
| IFF | 2023-02-27 | 86.47 | 0.3315 | 0.5197 | no |
| INTC | 2023-02-27 | 24.94 | 0.3593 | 0.5222 | no |
| ISRG | 2023-02-27 | 233.96 | 0.3010 | 0.5003 | no |
| ITW | 2023-02-27 | 216.44 | 0.2035 | 0.5153 | no |
| IVZ | 2023-02-27 | 15.12 | 0.2756 | 0.4864 | no |
| LLY | 2023-02-27 | 314.53 | 0.2185 | 0.5857 | no |
| LNT | 2023-02-27 | 45.19 | 0.3144 | 0.5289 | no |
| MKTX | 2023-02-27 | 332.13 | 0.3028 | 0.5154 | no |
| MNST | 2023-02-27 | 25.50 | 0.2256 | 0.4763 | no |
| NDAQ | 2023-02-27 | 54.65 | 0.2954 | 0.4965 | no |
| NRG | 2023-02-27 | 31.38 | 0.8328 | 0.5636 | no |
| NVR | 2023-02-27 | 5197.13 | 0.4975 | — | no |
| NWS | 2023-02-27 | 17.09 | 0.2063 | — | no |
| PEP | 2023-02-27 | 155.55 | 0.2914 | 0.4693 | no |
| PPL | 2023-02-27 | 24.39 | 0.2173 | 0.5381 | no |
| RF | 2023-02-27 | 19.84 | 0.1998 | 0.5048 | no |
| ROST | 2023-02-27 | 108.46 | 0.3381 | 0.4572 | no |
| SLB | 2023-02-27 | 49.54 | 0.2482 | 0.6138 | no |
| TECH | 2023-02-27 | 71.87 | 0.4715 | 0.4725 | no |
| TEL | 2023-02-27 | 120.04 | 0.2734 | — | no |
| TGT | 2023-02-27 | 148.83 | 0.3111 | 0.6018 | no |
| TRMB | 2023-02-27 | 52.26 | 0.2156 | 0.5387 | no |
| USB | 2023-02-27 | 40.78 | 0.2136 | 0.4867 | no |
| WMB | 2023-02-27 | 26.60 | 0.3691 | 0.5172 | no |
| XRAY | 2023-02-27 | 31.78 | 0.2916 | 0.5556 | no |
| ZION | 2023-02-27 | 44.53 | 0.2435 | 0.4708 | no |