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 | -2.07% | 0.00% | 2023-03-06 | -6.07% |
| buy & hold | participation factor overlay | 6 months | complete | -0.17% | 4.31% | 2023-07-31 | -6.07% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.76% | 0.00% | 2023-03-06 | -6.85% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.00% | 5.50% | 2023-07-31 | -6.85% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.64% | 0.00% | 2023-03-06 | -6.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.55% | 2.17% | 2023-07-31 | -6.78% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.45% | 0.00% | 2023-03-06 | -8.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.84% | 0.33% | 2023-07-31 | -8.58% |
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 | 0.2370 | 0.5927 | no |
| ACGL | 2023-03-06 | 67.82 | 0.2420 | 0.5285 | no |
| AES | 2023-03-06 | 21.39 | 0.3753 | — | no |
| AMAT | 2023-03-06 | 116.52 | 0.3528 | 0.5607 | no |
| ANET | 2023-03-06 | 35.59 | 0.4182 | 0.5006 | no |
| BA | 2023-03-06 | 214.12 | 0.5422 | 0.5691 | no |
| BBWI | 2023-03-06 | 36.19 | 0.5838 | 0.4614 | no |
| BBY | 2023-03-06 | 69.81 | 0.3233 | 0.6665 | no |
| BEN | 2023-03-06 | 24.70 | 0.2666 | 0.4954 | no |
| BIO | 2023-03-06 | 502.00 | 0.3350 | 0.4992 | no |
| CE | 2023-03-06 | 119.07 | 0.3850 | 0.5110 | no |
| CLX | 2023-03-06 | 136.40 | 0.3488 | 0.4550 | no |
| CPB | 2023-03-06 | 45.06 | 0.2020 | 0.4818 | no |
| DIS | 2023-03-06 | 98.52 | 0.4953 | 0.4674 | no |
| DRI | 2023-03-06 | 131.80 | 0.2904 | 0.4617 | no |
| DVA | 2023-03-06 | 82.07 | 0.2509 | 0.4925 | no |
| ENPH | 2023-03-06 | 218.57 | 0.2152 | 0.5358 | no |
| HIG | 2023-03-06 | 72.63 | 0.2102 | 0.5294 | no |
| HRL | 2023-03-06 | 35.56 | 0.2978 | 0.4876 | no |
| HWM | 2023-03-06 | 43.35 | 0.2484 | 0.5810 | no |
| JPM | 2023-03-06 | 132.32 | 0.3201 | 0.4849 | no |
| KLAC | 2023-03-06 | 37.34 | 0.3921 | 0.5453 | no |
| KMI | 2023-03-06 | 14.74 | 0.2656 | 0.5435 | no |
| LW | 2023-03-06 | 94.24 | 0.2347 | 0.4987 | no |
| MO | 2023-03-06 | 34.94 | 0.2325 | 0.4674 | no |
| MOS | 2023-03-06 | 50.81 | 0.2354 | 0.5103 | no |
| MSCI | 2023-03-06 | 515.06 | 0.3787 | 0.4864 | no |
| NOW | 2023-03-06 | 89.10 | 0.3821 | 0.5083 | no |
| NVR | 2023-03-06 | 5265.00 | 0.3746 | — | no |
| NWL | 2023-03-06 | 12.41 | 0.4060 | 0.4651 | no |
| OGN | 2023-03-06 | 21.31 | 0.2997 | 0.5548 | no |
| PEP | 2023-03-06 | 152.40 | 0.2894 | 0.4690 | no |
| PG | 2023-03-06 | 128.43 | 0.5439 | 0.4804 | no |
| PHM | 2023-03-06 | 53.26 | 0.3291 | 0.5015 | no |
| POOL | 2023-03-06 | 342.29 | 0.4638 | 0.4616 | no |
| QRVO | 2023-03-06 | 102.78 | 0.4027 | — | no |
| RJF | 2023-03-06 | 102.12 | 0.2420 | 0.4815 | no |
| ROL | 2023-03-06 | 33.67 | 0.2058 | 0.5061 | no |
| RSG | 2023-03-06 | 123.76 | 0.3074 | 0.5371 | no |
| STE | 2023-03-06 | 183.82 | 0.3326 | 0.5054 | no |
| SYK | 2023-03-06 | 261.33 | 0.2734 | 0.5142 | no |
| TER | 2023-03-06 | 102.24 | 0.3055 | 0.5259 | no |
| TGT | 2023-03-06 | 146.99 | 0.2291 | 0.5620 | no |
| UHS | 2023-03-06 | 124.17 | 0.2669 | 0.4934 | no |
| USB | 2023-03-06 | 40.14 | 0.2761 | 0.4867 | no |
| WDC | 2023-03-06 | 29.15 | 0.5058 | 0.5199 | no |
| WFC | 2023-03-06 | 42.91 | 0.2657 | 0.4935 | no |
| WMB | 2023-03-06 | 26.39 | 0.2597 | 0.5172 | no |
| XEL | 2023-03-06 | 57.04 | 0.2347 | 0.5629 | no |
| XRAY | 2023-03-06 | 35.99 | 0.2078 | 0.5133 | no |