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 | -1.78% | 0.00% | 2023-03-06 | -6.75% |
| buy & hold | participation factor overlay | 6 months | complete | 2.60% | 5.79% | 2023-07-31 | -6.75% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.39% | 0.00% | 2023-03-06 | -6.30% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.09% | 5.41% | 2023-07-26 | -6.30% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.32% | 0.00% | 2023-03-06 | -7.11% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.19% | 0.37% | 2023-07-31 | -7.11% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.46% | 0.00% | 2023-03-06 | -7.95% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.90% | 0.00% | 2023-03-06 | -7.95% |
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 | 0.3351 | 0.5927 | no |
| ACGL | 2023-03-06 | 67.82 | 0.2423 | 0.5285 | no |
| AES | 2023-03-06 | 21.39 | 0.3264 | — | no |
| ANET | 2023-03-06 | 35.59 | 0.3023 | 0.5006 | no |
| AON | 2023-03-06 | 297.38 | 0.2618 | 0.5645 | no |
| BA | 2023-03-06 | 214.12 | 0.3632 | 0.5691 | no |
| BAC | 2023-03-06 | 31.35 | 0.2095 | 0.5019 | no |
| BBWI | 2023-03-06 | 36.19 | 0.5253 | 0.4614 | no |
| BIO | 2023-03-06 | 502.00 | 0.2637 | 0.4992 | no |
| BRO | 2023-03-06 | 55.57 | 0.2587 | 0.5828 | no |
| CE | 2023-03-06 | 119.07 | 0.2910 | 0.5110 | no |
| CLX | 2023-03-06 | 136.40 | 0.2271 | 0.4550 | no |
| CPB | 2023-03-06 | 45.06 | 0.2436 | 0.4818 | no |
| DIS | 2023-03-06 | 98.52 | 0.2984 | 0.4674 | no |
| DOV | 2023-03-06 | 149.69 | 0.2209 | 0.4933 | no |
| DRI | 2023-03-06 | 131.80 | 0.3787 | 0.4617 | no |
| DVN | 2023-03-06 | 48.80 | 0.2175 | 0.7043 | no |
| EXC | 2023-03-06 | 36.37 | 0.2780 | 0.5227 | no |
| HWM | 2023-03-06 | 43.35 | 0.2696 | 0.5810 | no |
| KMB | 2023-03-06 | 108.40 | 0.3107 | 0.4655 | no |
| KMI | 2023-03-06 | 14.74 | 0.2792 | 0.5435 | no |
| LH | 2023-03-06 | 196.99 | 0.2086 | 0.5116 | no |
| LRCX | 2023-03-06 | 47.86 | 0.2889 | 0.5344 | no |
| LYB | 2023-03-06 | 77.31 | 0.2240 | 0.5405 | no |
| MSCI | 2023-03-06 | 515.06 | 0.2740 | 0.4864 | no |
| MU | 2023-03-06 | 56.43 | 0.2104 | 0.5379 | no |
| NOW | 2023-03-06 | 89.10 | 0.2649 | 0.5083 | no |
| NVR | 2023-03-06 | 5265.00 | 0.2363 | — | no |
| NWL | 2023-03-06 | 12.41 | 0.5005 | 0.4651 | no |
| NWS | 2023-03-06 | 16.98 | 0.4907 | — | no |
| PEP | 2023-03-06 | 152.40 | 0.2558 | 0.4690 | no |
| PG | 2023-03-06 | 128.43 | 0.4133 | 0.4804 | no |
| PH | 2023-03-06 | 345.77 | 0.2255 | 0.4998 | no |
| PHM | 2023-03-06 | 53.26 | 0.3683 | 0.5015 | no |
| POOL | 2023-03-06 | 342.29 | 0.2519 | 0.4616 | no |
| PPL | 2023-03-06 | 24.12 | 0.3374 | 0.5381 | no |
| QRVO | 2023-03-06 | 102.78 | 0.4400 | — | no |
| RJF | 2023-03-06 | 102.12 | 0.2618 | 0.4815 | no |
| RSG | 2023-03-06 | 123.76 | 0.2521 | 0.5371 | no |
| STE | 2023-03-06 | 183.82 | 0.3061 | 0.5054 | no |
| TEL | 2023-03-06 | 124.24 | 0.2831 | — | no |
| TER | 2023-03-06 | 102.24 | 0.4107 | 0.5259 | no |
| TFC | 2023-03-06 | 38.62 | 0.3944 | 0.4927 | no |
| UHS | 2023-03-06 | 124.17 | 0.2295 | 0.4934 | no |
| USB | 2023-03-06 | 40.14 | 0.2354 | 0.4867 | no |
| VRTX | 2023-03-06 | 290.00 | 0.2081 | 0.6256 | no |
| WDC | 2023-03-06 | 29.15 | 0.5791 | 0.5199 | no |
| WMB | 2023-03-06 | 26.39 | 0.2300 | 0.5172 | no |
| XEL | 2023-03-06 | 57.04 | 0.2638 | 0.5629 | no |
| ZION | 2023-03-06 | 43.31 | 0.2105 | 0.4708 | no |