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 | -1.58% | 0.00% | 2023-03-06 | -6.01% |
| buy & hold | participation factor overlay | 6 months | complete | 1.09% | 5.57% | 2023-07-31 | -6.01% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.05% | 0.00% | 2023-03-06 | -6.33% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.99% | 5.80% | 2023-07-19 | -6.33% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.03% | 0.00% | 2023-03-06 | -6.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.47% | 2.40% | 2023-07-31 | -6.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.52% | 0.00% | 2023-03-06 | -7.86% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.87% | 1.88% | 2023-07-31 | -7.86% |
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 | 2023-03-06 | 137.65 | 0.2898 | 0.5927 | no |
| ACGL | 2023-03-06 | 67.82 | 0.2310 | 0.5285 | no |
| AMAT | 2023-03-06 | 116.52 | 0.2249 | 0.5607 | no |
| AMGN | 2023-03-06 | 211.08 | 0.2315 | — | no |
| AON | 2023-03-06 | 297.38 | 0.2623 | 0.5645 | no |
| BA | 2023-03-06 | 214.12 | 0.4743 | 0.5691 | no |
| BAC | 2023-03-06 | 31.35 | 0.2212 | 0.5019 | no |
| BBWI | 2023-03-06 | 36.19 | 0.5925 | 0.4614 | no |
| BEN | 2023-03-06 | 24.70 | 0.4414 | 0.4954 | no |
| BIO | 2023-03-06 | 502.00 | 0.2875 | 0.4992 | no |
| CAG | 2023-03-06 | 29.19 | 0.2463 | 0.4891 | no |
| CE | 2023-03-06 | 119.07 | 0.2636 | 0.5110 | no |
| CPB | 2023-03-06 | 45.06 | 0.3388 | 0.4818 | no |
| CZR | 2023-03-06 | 54.93 | 0.2434 | 0.5273 | no |
| DIS | 2023-03-06 | 98.52 | 0.4987 | 0.4674 | no |
| DRI | 2023-03-06 | 131.80 | 0.3677 | 0.4617 | no |
| DVA | 2023-03-06 | 82.07 | 0.2624 | 0.4925 | no |
| EFX | 2023-03-06 | 201.69 | 0.3184 | 0.4574 | no |
| GPC | 2023-03-06 | 154.20 | 0.2919 | 0.5815 | no |
| HWM | 2023-03-06 | 43.35 | 0.3268 | 0.5810 | no |
| IDXX | 2023-03-06 | 488.18 | 0.3315 | 0.5167 | no |
| IFF | 2023-03-06 | 85.39 | 0.2608 | 0.5197 | no |
| JPM | 2023-03-06 | 132.32 | 0.2430 | 0.4849 | no |
| KMI | 2023-03-06 | 14.74 | 0.2838 | 0.5435 | no |
| KO | 2023-03-06 | 53.12 | 0.2228 | 0.4917 | no |
| LRCX | 2023-03-06 | 47.86 | 0.3541 | 0.5344 | no |
| MCK | 2023-03-06 | 339.09 | 0.2143 | 0.4802 | no |
| MSCI | 2023-03-06 | 515.06 | 0.5600 | 0.4864 | no |
| MU | 2023-03-06 | 56.43 | 0.2832 | 0.5379 | no |
| NRG | 2023-03-06 | 31.36 | 0.2206 | 0.5636 | no |
| NVR | 2023-03-06 | 5265.00 | 0.3531 | — | no |
| NWL | 2023-03-06 | 12.41 | 0.2189 | 0.4651 | no |
| OGN | 2023-03-06 | 21.31 | 0.3599 | 0.5548 | no |
| PCAR | 2023-03-06 | 67.81 | 0.2716 | 0.5551 | no |
| PEP | 2023-03-06 | 152.40 | 0.3448 | 0.4690 | no |
| PG | 2023-03-06 | 128.43 | 0.4800 | 0.4804 | no |
| PHM | 2023-03-06 | 53.26 | 0.4026 | 0.5015 | no |
| POOL | 2023-03-06 | 342.29 | 0.4661 | 0.4616 | no |
| QRVO | 2023-03-06 | 102.78 | 0.4616 | — | no |
| ROL | 2023-03-06 | 33.67 | 0.2407 | 0.5061 | no |
| RSG | 2023-03-06 | 123.76 | 0.3180 | 0.5371 | no |
| RTX | 2023-03-06 | 92.06 | 0.2602 | 0.5789 | no |
| SBAC | 2023-03-06 | 243.49 | 0.2604 | 0.4796 | no |
| STE | 2023-03-06 | 183.82 | 0.3188 | 0.5054 | no |
| SYY | 2023-03-06 | 69.00 | 0.2644 | 0.5809 | no |
| TER | 2023-03-06 | 102.24 | 0.2130 | 0.5259 | no |
| TFC | 2023-03-06 | 38.62 | 0.3074 | 0.4927 | no |
| UHS | 2023-03-06 | 124.17 | 0.2745 | 0.4934 | no |
| URI | 2023-03-06 | 461.62 | 0.2189 | 0.5190 | no |
| WDC | 2023-03-06 | 29.15 | 0.6697 | 0.5199 | no |