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 | -0.07% | 3.88% | 2023-04-24 | -5.27% |
| buy & hold | participation factor overlay | 6 months | complete | 6.01% | 10.55% | 2023-07-31 | -5.27% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.06% | 3.01% | 2023-04-19 | -5.93% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.88% | 10.69% | 2023-07-25 | -6.99% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.22% | 1.90% | 2023-03-03 | -6.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.17% | 3.28% | 2023-07-25 | -7.26% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.46% | 1.98% | 2023-03-03 | -7.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -4.51% | 1.98% | 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 |
|---|---|---|---|---|---|
| ABBV | 2023-02-27 | 135.42 | 0.3598 | 0.5927 | no |
| ADBE | 2023-02-27 | 322.02 | 0.3949 | 0.4879 | no |
| ADI | 2023-02-27 | 175.42 | 0.4304 | 0.5196 | no |
| AES | 2023-02-27 | 21.85 | 0.3306 | — | no |
| BAC | 2023-02-27 | 31.34 | 0.2568 | 0.5019 | no |
| BALL | 2023-02-27 | 54.41 | 0.4663 | 0.5050 | no |
| BDX | 2023-02-27 | 175.03 | 0.2340 | 0.4702 | no |
| BRO | 2023-02-27 | 55.62 | 0.2283 | 0.5828 | no |
| CAG | 2023-02-27 | 29.99 | 0.3033 | 0.4891 | no |
| CE | 2023-02-27 | 115.03 | 0.5359 | 0.5110 | no |
| CEG | 2023-02-27 | 77.42 | 0.3108 | 0.5229 | no |
| COP | 2023-02-27 | 93.73 | 0.2375 | 0.5905 | no |
| CPB | 2023-02-27 | 45.81 | 0.2343 | 0.4818 | no |
| CPRT | 2023-02-27 | 34.90 | 0.2369 | 0.4685 | no |
| CRM | 2023-02-27 | 160.77 | 0.3195 | 0.5223 | no |
| DVA | 2023-02-27 | 82.91 | 0.4020 | 0.4925 | no |
| ENPH | 2023-02-27 | 205.47 | 0.7392 | 0.5359 | no |
| FDX | 2023-02-27 | 153.84 | 0.2378 | 0.5201 | no |
| FSLR | 2023-02-27 | 163.45 | 0.4228 | 0.5320 | no |
| FTV | 2023-02-27 | 50.29 | 0.2094 | 0.4882 | no |
| GIS | 2023-02-27 | 69.49 | 0.2678 | 0.4767 | no |
| GOOG | 2023-02-27 | 89.24 | 0.2601 | — | no |
| HAL | 2023-02-27 | 33.95 | 0.2067 | 0.5901 | no |
| HII | 2023-02-27 | 205.37 | 0.2358 | 0.5756 | no |
| HWM | 2023-02-27 | 41.89 | 0.2323 | 0.5810 | no |
| IFF | 2023-02-27 | 86.47 | 0.3552 | 0.5197 | no |
| INCY | 2023-02-27 | 77.18 | 0.2096 | 0.5662 | no |
| INTC | 2023-02-27 | 24.94 | 0.3041 | 0.5222 | no |
| ISRG | 2023-02-27 | 233.96 | 0.3243 | 0.5003 | no |
| ITW | 2023-02-27 | 216.44 | 0.3791 | 0.5153 | no |
| JNJ | 2023-02-27 | 141.56 | 0.2473 | 0.5388 | no |
| KDP | 2023-02-27 | 32.49 | 0.3578 | 0.4984 | no |
| LYB | 2023-02-27 | 77.01 | 0.2022 | 0.5405 | no |
| MPC | 2023-02-27 | 116.90 | 0.2292 | 0.5497 | no |
| NFLX | 2023-02-27 | 32.39 | 0.3532 | 0.4802 | no |
| NRG | 2023-02-27 | 31.38 | 0.5241 | 0.5636 | no |
| NVR | 2023-02-27 | 5197.13 | 0.4037 | — | no |
| PEP | 2023-02-27 | 155.55 | 0.3770 | 0.4693 | no |
| PFG | 2023-02-27 | 78.33 | 0.2537 | 0.5082 | no |
| PPL | 2023-02-27 | 24.39 | 0.3477 | 0.5381 | no |
| ROST | 2023-02-27 | 108.46 | 0.2318 | 0.4572 | no |
| SLB | 2023-02-27 | 49.54 | 0.4799 | 0.6138 | no |
| SYK | 2023-02-27 | 255.27 | 0.2966 | 0.5142 | no |
| TECH | 2023-02-27 | 71.87 | 0.5833 | 0.4725 | no |
| TRMB | 2023-02-27 | 52.26 | 0.2819 | 0.5387 | no |
| TT | 2023-02-27 | 176.56 | 0.2269 | 0.4824 | no |
| ULTA | 2023-02-27 | 523.85 | 0.2185 | 0.4649 | no |
| WMB | 2023-02-27 | 26.60 | 0.2204 | 0.5172 | no |
| XRAY | 2023-02-27 | 31.78 | 0.2864 | 0.5556 | no |
| ZTS | 2023-02-27 | 160.55 | 0.2462 | 0.5337 | no |