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 | 8.90% | 8.90% | 2023-06-13 | -4.77% |
| buy & hold | participation factor overlay | 6 months | complete | 7.46% | 14.74% | 2023-07-31 | -7.15% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.50% | 8.50% | 2023-06-13 | -4.70% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.31% | 14.30% | 2023-07-31 | -6.87% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.81% | 6.10% | 2023-04-17 | -6.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.71% | 8.94% | 2023-07-25 | -6.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.22% | 5.77% | 2023-04-13 | -6.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.47% | 7.95% | 2023-07-31 | -6.93% |
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 |
|---|---|---|---|---|---|
| ADI | 2023-03-13 | 169.97 | 0.3776 | 0.5196 | no |
| ADSK | 2023-03-13 | 193.33 | 0.3653 | 0.5182 | no |
| AEP | 2023-03-13 | 77.28 | 0.3130 | 0.5046 | no |
| AES | 2023-03-13 | 19.65 | 0.3186 | — | no |
| ALB | 2023-03-13 | 208.76 | 0.5044 | 0.5475 | no |
| BBWI | 2023-03-13 | 32.93 | 1.0735 | 0.4614 | no |
| BF.B | 2023-03-13 | 56.58 | 0.3089 | — | no |
| CE | 2023-03-13 | 102.32 | 0.3796 | 0.5109 | no |
| COO | 2023-03-13 | 80.94 | 0.3773 | 0.5149 | no |
| CTVA | 2023-03-13 | 55.89 | 0.3592 | 0.5321 | no |
| CZR | 2023-03-13 | 46.10 | 0.5349 | 0.5273 | no |
| DIS | 2023-03-13 | 89.09 | 0.5333 | 0.4674 | no |
| DTE | 2023-03-13 | 92.77 | 0.3635 | 0.5235 | no |
| ED | 2023-03-13 | 80.46 | 0.2938 | — | no |
| EFX | 2023-03-13 | 186.93 | 0.3018 | 0.4575 | no |
| ES | 2023-03-13 | 63.15 | 0.3207 | 0.5230 | no |
| HAL | 2023-03-13 | 31.20 | 0.4184 | 0.5901 | no |
| HPE | 2023-03-13 | 12.83 | 0.2851 | 0.4881 | no |
| IQV | 2023-03-13 | 196.48 | 0.5063 | 0.4969 | no |
| KMB | 2023-03-13 | 106.51 | 0.3160 | 0.4655 | no |
| LKQ | 2023-03-13 | 48.04 | 0.3495 | 0.5211 | no |
| LNC | 2023-03-13 | 19.96 | 0.3279 | 0.5069 | no |
| LRCX | 2023-03-13 | 45.37 | 0.2934 | 0.5344 | no |
| MGM | 2023-03-13 | 41.84 | 0.3047 | 0.4682 | no |
| MTB | 2023-03-13 | 111.14 | 0.4210 | 0.4793 | no |
| MU | 2023-03-13 | 53.17 | 0.4598 | 0.5379 | no |
| NFLX | 2023-03-13 | 28.73 | 0.2968 | 0.4802 | no |
| NOW | 2023-03-13 | 82.59 | 0.4243 | 0.5083 | no |
| NVR | 2023-03-13 | 5176.02 | 0.3855 | — | no |
| NWL | 2023-03-13 | 10.22 | 0.4128 | 0.4639 | no |
| NWS | 2023-03-13 | 15.55 | 0.5957 | — | no |
| OKE | 2023-03-13 | 52.70 | 0.3161 | 0.5333 | no |
| ON | 2023-03-13 | 76.71 | 0.4909 | 0.4876 | no |
| PG | 2023-03-13 | 125.06 | 0.4031 | 0.4800 | no |
| POOL | 2023-03-13 | 324.13 | 1.0695 | 0.4618 | no |
| PPL | 2023-03-13 | 23.12 | 0.4220 | 0.5381 | no |
| PTC | 2023-03-13 | 117.31 | 0.3399 | 0.5594 | no |
| QCOM | 2023-03-13 | 105.28 | 0.4667 | 0.4964 | no |
| QRVO | 2023-03-13 | 94.11 | 0.3910 | — | no |
| STE | 2023-03-13 | 170.32 | 0.5980 | 0.5036 | no |
| SYY | 2023-03-13 | 65.61 | 0.3412 | 0.5809 | no |
| TECH | 2023-03-13 | 70.50 | 0.3048 | 0.4725 | no |
| TER | 2023-03-13 | 98.71 | 0.2797 | 0.5255 | no |
| TFC | 2023-03-13 | 27.71 | 0.3371 | 0.4927 | no |
| UHS | 2023-03-13 | 113.93 | 0.4736 | 0.4934 | no |
| WDC | 2023-03-13 | 26.53 | 0.4335 | 0.5197 | no |
| WFC | 2023-03-13 | 36.43 | 0.3037 | 0.4935 | no |
| WHR | 2023-03-13 | 108.49 | 0.3460 | 0.4786 | no |
| XEL | 2023-03-13 | 55.87 | 0.4066 | 0.5629 | no |
| ZION | 2023-03-13 | 23.00 | 0.3567 | 0.4708 | no |