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 | 6.03% | 6.03% | 2023-06-13 | -5.43% |
| buy & hold | participation factor overlay | 6 months | complete | 4.01% | 11.80% | 2023-07-31 | -6.96% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.61% | 7.61% | 2023-06-13 | -4.94% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.83% | 13.08% | 2023-07-19 | -8.18% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.24% | 5.94% | 2023-04-18 | -5.64% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.01% | 9.30% | 2023-07-31 | -6.78% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.35% | 5.49% | 2023-03-31 | -6.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.12% | 8.16% | 2023-07-31 | -7.65% |
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 | 0.3675 | 0.5467 | no |
| ABT | 2023-03-13 | 89.87 | 0.3285 | 0.4674 | no |
| ADBE | 2023-03-13 | 329.42 | 0.3974 | 0.4879 | no |
| ADSK | 2023-03-13 | 193.33 | 0.3132 | 0.5182 | no |
| AEP | 2023-03-13 | 77.28 | 0.3133 | 0.5046 | no |
| ALB | 2023-03-13 | 208.76 | 0.3825 | 0.5475 | no |
| BBWI | 2023-03-13 | 32.93 | 1.1181 | 0.4614 | no |
| BF.B | 2023-03-13 | 56.58 | 0.3637 | — | no |
| BIIB | 2023-03-13 | 256.56 | 0.4448 | 0.6302 | no |
| CE | 2023-03-13 | 102.32 | 0.5810 | 0.5109 | no |
| CNP | 2023-03-13 | 25.15 | 0.3121 | 0.5215 | no |
| COO | 2023-03-13 | 80.94 | 0.4108 | 0.5149 | no |
| CZR | 2023-03-13 | 46.10 | 0.5420 | 0.5273 | no |
| DIS | 2023-03-13 | 89.09 | 0.3650 | 0.4674 | no |
| DLTR | 2023-03-13 | 140.65 | 0.3783 | 0.6079 | no |
| EMN | 2023-03-13 | 67.87 | 0.3604 | 0.5246 | no |
| ES | 2023-03-13 | 63.15 | 0.4246 | 0.5230 | no |
| ETSY | 2023-03-13 | 103.01 | 0.3654 | — | no |
| EVRG | 2023-03-13 | 49.90 | 0.4369 | 0.5214 | no |
| HAL | 2023-03-13 | 31.20 | 0.3170 | 0.5901 | no |
| HII | 2023-03-13 | 191.15 | 0.3097 | 0.5756 | no |
| HPQ | 2023-03-13 | 23.54 | 0.4523 | 0.5261 | no |
| HRL | 2023-03-13 | 34.16 | 0.3886 | 0.4870 | no |
| IQV | 2023-03-13 | 196.48 | 0.4318 | 0.4969 | no |
| IVZ | 2023-03-13 | 13.56 | 0.3640 | 0.4864 | no |
| LNC | 2023-03-13 | 19.96 | 0.3428 | 0.5069 | no |
| LUMN | 2023-03-13 | 2.46 | 0.4059 | 0.4841 | no |
| MGM | 2023-03-13 | 41.84 | 0.3729 | 0.4682 | no |
| MPC | 2023-03-13 | 116.40 | 0.3586 | 0.5497 | no |
| MTB | 2023-03-13 | 111.14 | 0.3343 | 0.4793 | no |
| MU | 2023-03-13 | 53.17 | 0.5385 | 0.5379 | no |
| NOW | 2023-03-13 | 82.59 | 0.3857 | 0.5083 | no |
| NVR | 2023-03-13 | 5176.02 | 0.3135 | — | no |
| NWS | 2023-03-13 | 15.55 | 0.6205 | — | no |
| PEP | 2023-03-13 | 152.88 | 0.3130 | 0.4691 | no |
| PG | 2023-03-13 | 125.06 | 0.4844 | 0.4800 | no |
| POOL | 2023-03-13 | 324.13 | 0.9080 | 0.4618 | no |
| PPL | 2023-03-13 | 23.12 | 0.4899 | 0.5381 | no |
| PTC | 2023-03-13 | 117.31 | 0.5437 | 0.5594 | no |
| QRVO | 2023-03-13 | 94.11 | 0.4219 | — | no |
| STE | 2023-03-13 | 170.32 | 0.4829 | 0.5036 | no |
| SYY | 2023-03-13 | 65.61 | 0.3487 | 0.5809 | no |
| TECH | 2023-03-13 | 70.50 | 0.3088 | 0.4725 | no |
| TER | 2023-03-13 | 98.71 | 0.3226 | 0.5255 | no |
| TFC | 2023-03-13 | 27.71 | 0.3977 | 0.4927 | no |
| TGT | 2023-03-13 | 137.93 | 0.3382 | 0.5620 | no |
| UHS | 2023-03-13 | 113.93 | 0.5036 | 0.4934 | no |
| WFC | 2023-03-13 | 36.43 | 0.3314 | 0.4935 | no |
| XEL | 2023-03-13 | 55.87 | 0.3929 | 0.5629 | no |
| ZION | 2023-03-13 | 23.00 | 0.4572 | 0.4708 | no |