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 | 1.47% | 4.27% | 2023-04-19 | -4.37% |
| buy & hold | participation factor overlay | 6 months | complete | 5.96% | 10.63% | 2023-07-25 | -4.89% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.74% | 3.47% | 2023-04-19 | -5.10% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.69% | 10.45% | 2023-07-25 | -5.89% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.48% | 1.66% | 2023-03-03 | -7.12% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.63% | 2.02% | 2023-07-31 | -7.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.40% | 1.71% | 2023-03-03 | -6.97% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.34% | 1.71% | 2023-03-03 | -7.92% |
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 | 0.3666 | 0.5927 | no |
| ADBE | 2023-02-27 | 322.02 | 0.2598 | 0.4879 | no |
| AES | 2023-02-27 | 21.85 | 0.3911 | — | no |
| BALL | 2023-02-27 | 54.41 | 0.2854 | 0.5050 | no |
| BBY | 2023-02-27 | 69.96 | 0.2418 | 0.5694 | no |
| BEN | 2023-02-27 | 24.78 | 0.4353 | 0.4954 | no |
| BRO | 2023-02-27 | 55.62 | 0.3224 | 0.5828 | no |
| CE | 2023-02-27 | 115.03 | 0.4048 | 0.5110 | no |
| CEG | 2023-02-27 | 77.42 | 0.3670 | 0.5229 | no |
| CPB | 2023-02-27 | 45.81 | 0.2512 | 0.4818 | no |
| CPRT | 2023-02-27 | 34.90 | 0.2257 | 0.4685 | no |
| CRM | 2023-02-27 | 160.77 | 0.3182 | 0.5223 | no |
| DVA | 2023-02-27 | 82.91 | 0.3460 | 0.4925 | no |
| EIX | 2023-02-27 | 58.27 | 0.2598 | 0.5803 | no |
| ENPH | 2023-02-27 | 205.47 | 0.6069 | 0.5359 | no |
| EVRG | 2023-02-27 | 51.96 | 0.2966 | 0.5214 | no |
| FSLR | 2023-02-27 | 163.45 | 0.3753 | 0.5320 | no |
| GE | 2023-02-27 | 65.84 | 0.2386 | 0.4834 | no |
| GIS | 2023-02-27 | 69.49 | 0.2647 | 0.4767 | no |
| GOOG | 2023-02-27 | 89.24 | 0.2321 | — | no |
| HAL | 2023-02-27 | 33.95 | 0.2539 | 0.5901 | no |
| HPQ | 2023-02-27 | 25.44 | 0.2855 | 0.5343 | no |
| HWM | 2023-02-27 | 41.89 | 0.2444 | 0.5810 | no |
| IFF | 2023-02-27 | 86.47 | 0.3457 | 0.5197 | no |
| INTC | 2023-02-27 | 24.94 | 0.3527 | 0.5222 | no |
| ISRG | 2023-02-27 | 233.96 | 0.2698 | 0.5003 | no |
| JNJ | 2023-02-27 | 141.56 | 0.3246 | 0.5388 | no |
| KDP | 2023-02-27 | 32.49 | 0.4192 | 0.4984 | no |
| LMT | 2023-02-27 | 434.98 | 0.2552 | 0.5781 | no |
| MKTX | 2023-02-27 | 332.13 | 0.2838 | 0.5154 | no |
| MPC | 2023-02-27 | 116.90 | 0.2591 | 0.5497 | no |
| NDAQ | 2023-02-27 | 54.65 | 0.2856 | 0.4965 | no |
| NFLX | 2023-02-27 | 32.39 | 0.2959 | 0.4802 | no |
| NOC | 2023-02-27 | 443.82 | 0.2281 | 0.5701 | no |
| NRG | 2023-02-27 | 31.38 | 0.5271 | 0.5636 | no |
| NVR | 2023-02-27 | 5197.13 | 0.4797 | — | no |
| NWS | 2023-02-27 | 17.09 | 0.4093 | — | no |
| PEP | 2023-02-27 | 155.55 | 0.3733 | 0.4693 | no |
| PGR | 2023-02-27 | 129.70 | 0.2434 | 0.5124 | no |
| ROL | 2023-02-27 | 33.69 | 0.2695 | 0.5061 | no |
| RSG | 2023-02-27 | 124.85 | 0.3552 | 0.5371 | no |
| SLB | 2023-02-27 | 49.54 | 0.4124 | 0.6138 | no |
| STZ | 2023-02-27 | 209.71 | 0.2451 | 0.4879 | no |
| TECH | 2023-02-27 | 71.87 | 0.3161 | 0.4725 | no |
| TEL | 2023-02-27 | 120.04 | 0.4090 | — | no |
| TER | 2023-02-27 | 100.94 | 0.2497 | 0.5259 | no |
| TGT | 2023-02-27 | 148.83 | 0.3289 | 0.6018 | no |
| TRGP | 2023-02-27 | 70.49 | 0.2467 | 0.4658 | no |
| WMB | 2023-02-27 | 26.60 | 0.3474 | 0.5172 | no |
| XRAY | 2023-02-27 | 31.78 | 0.2538 | 0.5556 | no |