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 | 8.32% | 8.32% | 2023-06-13 | -4.68% |
| buy & hold | participation factor overlay | 6 months | complete | 7.64% | 14.19% | 2023-07-31 | -6.42% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.75% | 9.75% | 2023-06-13 | -3.95% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.44% | 15.15% | 2023-07-31 | -7.20% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.04% | 6.04% | 2023-06-13 | -4.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.64% | 9.82% | 2023-07-31 | -6.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.78% | 4.78% | 2023-06-13 | -5.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.53% | 9.36% | 2023-07-31 | -6.40% |
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 |
|---|---|---|---|---|---|
| AAP | 2023-03-13 | 116.98 | 0.3712 | 0.5467 | no |
| ADI | 2023-03-13 | 169.97 | 0.4973 | 0.5196 | no |
| ALB | 2023-03-13 | 208.76 | 0.3476 | 0.5475 | no |
| BBWI | 2023-03-13 | 32.93 | 1.0125 | 0.4614 | no |
| BDX | 2023-03-13 | 168.09 | 0.3482 | 0.4702 | no |
| BF.B | 2023-03-13 | 56.58 | 0.2942 | — | no |
| C | 2023-03-13 | 41.93 | 0.3088 | 0.5043 | no |
| CCI | 2023-03-13 | 103.44 | 0.2748 | 0.4840 | no |
| CDNS | 2023-03-13 | 194.55 | 0.4064 | 0.5438 | no |
| CE | 2023-03-13 | 102.32 | 0.2832 | 0.5109 | no |
| COO | 2023-03-13 | 80.94 | 0.3041 | 0.5149 | no |
| CPB | 2023-03-13 | 44.98 | 0.3276 | 0.4720 | no |
| CVX | 2023-03-13 | 135.35 | 0.3732 | 0.5628 | no |
| CZR | 2023-03-13 | 46.10 | 0.7163 | 0.5273 | no |
| DIS | 2023-03-13 | 89.09 | 0.3387 | 0.4674 | no |
| DOW | 2023-03-13 | 43.37 | 0.3455 | 0.5328 | no |
| DTE | 2023-03-13 | 92.77 | 0.2837 | 0.5235 | no |
| EFX | 2023-03-13 | 186.93 | 0.2960 | 0.4575 | no |
| ES | 2023-03-13 | 63.15 | 0.3257 | 0.5230 | no |
| FDX | 2023-03-13 | 147.89 | 0.2886 | 0.5205 | no |
| HAL | 2023-03-13 | 31.20 | 0.3157 | 0.5901 | no |
| HII | 2023-03-13 | 191.15 | 0.2847 | 0.5756 | no |
| HPE | 2023-03-13 | 12.83 | 0.3031 | 0.4881 | no |
| IQV | 2023-03-13 | 196.48 | 0.4005 | 0.4969 | no |
| LNC | 2023-03-13 | 19.96 | 0.3538 | 0.5069 | no |
| LRCX | 2023-03-13 | 45.37 | 0.2861 | 0.5344 | no |
| MAS | 2023-03-13 | 46.56 | 0.2764 | 0.4700 | no |
| MSCI | 2023-03-13 | 495.76 | 0.3119 | 0.4864 | no |
| MTB | 2023-03-13 | 111.14 | 0.3303 | 0.4793 | no |
| MU | 2023-03-13 | 53.17 | 0.5649 | 0.5379 | no |
| NOW | 2023-03-13 | 82.59 | 0.4857 | 0.5083 | no |
| NVR | 2023-03-13 | 5176.02 | 0.4267 | — | no |
| NWS | 2023-03-13 | 15.55 | 0.7221 | — | no |
| ON | 2023-03-13 | 76.71 | 0.3385 | 0.4876 | no |
| PG | 2023-03-13 | 125.06 | 0.4288 | 0.4800 | no |
| PHM | 2023-03-13 | 50.84 | 0.3343 | 0.5015 | no |
| POOL | 2023-03-13 | 324.13 | 0.7310 | 0.4618 | no |
| PTC | 2023-03-13 | 117.31 | 0.4006 | 0.5594 | no |
| QCOM | 2023-03-13 | 105.28 | 0.4090 | 0.4964 | no |
| STE | 2023-03-13 | 170.32 | 0.5638 | 0.5036 | no |
| STX | 2023-03-13 | 55.65 | 0.3563 | 0.5039 | no |
| SYY | 2023-03-13 | 65.61 | 0.3267 | 0.5809 | no |
| TER | 2023-03-13 | 98.71 | 0.2736 | 0.5255 | no |
| TFC | 2023-03-13 | 27.71 | 0.3282 | 0.4927 | no |
| UHS | 2023-03-13 | 113.93 | 0.4040 | 0.4934 | no |
| USB | 2023-03-13 | 32.37 | 0.2905 | 0.4867 | no |
| WDC | 2023-03-13 | 26.53 | 0.4190 | 0.5197 | no |
| WFC | 2023-03-13 | 36.43 | 0.3671 | 0.4935 | no |
| WHR | 2023-03-13 | 108.49 | 0.2777 | 0.4786 | no |
| XEL | 2023-03-13 | 55.87 | 0.3917 | 0.5629 | no |