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 | -1.76% | 0.00% | 2023-03-06 | -6.28% |
| buy & hold | participation factor overlay | 6 months | complete | 1.87% | 6.40% | 2023-07-31 | -6.28% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.66% | 0.00% | 2023-03-06 | -7.73% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.17% | 7.04% | 2023-07-31 | -7.73% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.55% | 0.00% | 2023-03-06 | -7.14% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.89% | 1.50% | 2023-07-25 | -7.14% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.93% | 0.00% | 2023-03-06 | -8.52% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.80% | 0.00% | 2023-03-06 | -8.52% |
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 |
|---|---|---|---|---|---|
| ACGL | 2023-03-06 | 67.82 | 0.2649 | 0.5285 | no |
| AES | 2023-03-06 | 21.39 | 0.4544 | — | no |
| AON | 2023-03-06 | 297.38 | 0.2564 | 0.5645 | no |
| BA | 2023-03-06 | 214.12 | 0.3874 | 0.5691 | no |
| BAC | 2023-03-06 | 31.35 | 0.2394 | 0.5019 | no |
| BBWI | 2023-03-06 | 36.19 | 0.5839 | 0.4614 | no |
| CE | 2023-03-06 | 119.07 | 0.3308 | 0.5110 | no |
| CEG | 2023-03-06 | 76.39 | 0.2648 | 0.5229 | no |
| CLX | 2023-03-06 | 136.40 | 0.2414 | 0.4550 | no |
| CPB | 2023-03-06 | 45.06 | 0.2122 | 0.4818 | no |
| DIS | 2023-03-06 | 98.52 | 0.7510 | 0.4674 | no |
| DRI | 2023-03-06 | 131.80 | 0.2753 | 0.4617 | no |
| FDX | 2023-03-06 | 156.50 | 0.2837 | 0.5201 | no |
| HII | 2023-03-06 | 202.88 | 0.2196 | 0.5756 | no |
| HWM | 2023-03-06 | 43.35 | 0.2171 | 0.5810 | no |
| JPM | 2023-03-06 | 132.32 | 0.3498 | 0.4849 | no |
| KDP | 2023-03-06 | 31.28 | 0.2688 | 0.4979 | no |
| KLAC | 2023-03-06 | 37.34 | 0.2162 | 0.5453 | no |
| KMI | 2023-03-06 | 14.74 | 0.3527 | 0.5435 | no |
| LH | 2023-03-06 | 196.99 | 0.2355 | 0.5116 | no |
| LMT | 2023-03-06 | 434.34 | 0.2970 | 0.5781 | no |
| LRCX | 2023-03-06 | 47.86 | 0.4085 | 0.5344 | no |
| LUMN | 2023-03-06 | 3.19 | 0.2131 | 0.4841 | no |
| MAS | 2023-03-06 | 49.76 | 0.2795 | 0.4700 | no |
| MCHP | 2023-03-06 | 76.32 | 0.3403 | 0.5292 | no |
| MSCI | 2023-03-06 | 515.06 | 0.4471 | 0.4864 | no |
| NOW | 2023-03-06 | 89.10 | 0.3478 | 0.5083 | no |
| NSC | 2023-03-06 | 210.97 | 0.2153 | 0.5207 | no |
| NVR | 2023-03-06 | 5265.00 | 0.3825 | — | no |
| OGN | 2023-03-06 | 21.31 | 0.2404 | 0.5548 | no |
| PEP | 2023-03-06 | 152.40 | 0.2964 | 0.4690 | no |
| PG | 2023-03-06 | 128.43 | 0.5693 | 0.4804 | no |
| PHM | 2023-03-06 | 53.26 | 0.3622 | 0.5015 | no |
| PKG | 2023-03-06 | 127.84 | 0.2500 | 0.5125 | no |
| POOL | 2023-03-06 | 342.29 | 0.5117 | 0.4616 | no |
| QRVO | 2023-03-06 | 102.78 | 0.5554 | — | no |
| RJF | 2023-03-06 | 102.12 | 0.3160 | 0.4815 | no |
| RSG | 2023-03-06 | 123.76 | 0.2957 | 0.5371 | no |
| SBAC | 2023-03-06 | 243.49 | 0.2191 | 0.4796 | no |
| STE | 2023-03-06 | 183.82 | 0.2810 | 0.5054 | no |
| SYK | 2023-03-06 | 261.33 | 0.2889 | 0.5142 | no |
| TEL | 2023-03-06 | 124.24 | 0.3035 | — | no |
| TER | 2023-03-06 | 102.24 | 0.3492 | 0.5259 | no |
| TFC | 2023-03-06 | 38.62 | 0.2885 | 0.4927 | no |
| UHS | 2023-03-06 | 124.17 | 0.3758 | 0.4934 | no |
| URI | 2023-03-06 | 461.62 | 0.2958 | 0.5190 | no |
| USB | 2023-03-06 | 40.14 | 0.2683 | 0.4867 | no |
| VRTX | 2023-03-06 | 290.00 | 0.2096 | 0.6256 | no |
| WDC | 2023-03-06 | 29.15 | 0.7052 | 0.5199 | no |
| XEL | 2023-03-06 | 57.04 | 0.2075 | 0.5629 | no |