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 | 7.60% | 7.60% | 2023-06-13 | -4.40% |
| buy & hold | participation factor overlay | 6 months | complete | 5.56% | 12.98% | 2023-07-31 | -6.87% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.39% | 9.39% | 2023-06-13 | -4.93% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.79% | 15.10% | 2023-07-19 | -8.12% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.61% | 6.20% | 2023-05-01 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.70% | 8.45% | 2023-07-31 | -6.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.85% | 5.37% | 2023-04-28 | -6.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.71% | 6.60% | 2023-07-19 | -6.85% |
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 | 0.2699 | 0.5467 | no |
| ABT | 2023-03-13 | 89.87 | 0.3907 | 0.4674 | no |
| ADSK | 2023-03-13 | 193.33 | 0.2989 | 0.5182 | no |
| AEP | 2023-03-13 | 77.28 | 0.3853 | 0.5046 | no |
| ALB | 2023-03-13 | 208.76 | 0.2839 | 0.5475 | no |
| BAC | 2023-03-13 | 26.48 | 0.2765 | 0.5019 | no |
| BBWI | 2023-03-13 | 32.93 | 1.1484 | 0.4614 | no |
| BDX | 2023-03-13 | 168.09 | 0.3128 | 0.4702 | no |
| BEN | 2023-03-13 | 22.10 | 0.3061 | 0.4954 | no |
| BF.B | 2023-03-13 | 56.58 | 0.3093 | — | no |
| CE | 2023-03-13 | 102.32 | 0.5413 | 0.5109 | no |
| CFG | 2023-03-13 | 27.51 | 0.2910 | 0.4863 | no |
| COO | 2023-03-13 | 80.94 | 0.5698 | 0.5149 | no |
| CSX | 2023-03-13 | 27.75 | 0.2858 | 0.5168 | no |
| CZR | 2023-03-13 | 46.10 | 0.6609 | 0.5273 | no |
| DIS | 2023-03-13 | 89.09 | 0.5290 | 0.4674 | no |
| DRI | 2023-03-13 | 127.50 | 0.2922 | 0.4614 | no |
| DTE | 2023-03-13 | 92.77 | 0.3554 | 0.5235 | no |
| EFX | 2023-03-13 | 186.93 | 0.4989 | 0.4575 | no |
| ES | 2023-03-13 | 63.15 | 0.3463 | 0.5230 | no |
| HRL | 2023-03-13 | 34.16 | 0.2974 | 0.4870 | no |
| IQV | 2023-03-13 | 196.48 | 0.5591 | 0.4969 | no |
| KDP | 2023-03-13 | 31.14 | 0.3276 | 0.4978 | no |
| LNC | 2023-03-13 | 19.96 | 0.3501 | 0.5069 | no |
| LUMN | 2023-03-13 | 2.46 | 0.5537 | 0.4841 | no |
| MU | 2023-03-13 | 53.17 | 0.5517 | 0.5379 | no |
| NFLX | 2023-03-13 | 28.73 | 0.2866 | 0.4802 | no |
| NOW | 2023-03-13 | 82.59 | 0.4991 | 0.5083 | no |
| NVR | 2023-03-13 | 5176.02 | 0.3507 | — | no |
| NWS | 2023-03-13 | 15.55 | 0.5078 | — | no |
| OKE | 2023-03-13 | 52.70 | 0.3147 | 0.5333 | no |
| ON | 2023-03-13 | 76.71 | 0.3272 | 0.4876 | no |
| PG | 2023-03-13 | 125.06 | 0.3449 | 0.4800 | no |
| POOL | 2023-03-13 | 324.13 | 0.9438 | 0.4618 | no |
| PPL | 2023-03-13 | 23.12 | 0.4524 | 0.5381 | no |
| PTC | 2023-03-13 | 117.31 | 0.4470 | 0.5594 | no |
| QCOM | 2023-03-13 | 105.28 | 0.4820 | 0.4964 | no |
| QRVO | 2023-03-13 | 94.11 | 0.3508 | — | no |
| STE | 2023-03-13 | 170.32 | 0.5204 | 0.5036 | no |
| TECH | 2023-03-13 | 70.50 | 0.3216 | 0.4725 | no |
| TER | 2023-03-13 | 98.71 | 0.3123 | 0.5255 | no |
| TFC | 2023-03-13 | 27.71 | 0.5465 | 0.4927 | no |
| UHS | 2023-03-13 | 113.93 | 0.5023 | 0.4934 | no |
| USB | 2023-03-13 | 32.37 | 0.4434 | 0.4867 | no |
| VRSK | 2023-03-13 | 175.26 | 0.2899 | 0.4872 | no |
| WEC | 2023-03-13 | 76.95 | 0.4202 | 0.5026 | no |
| WFC | 2023-03-13 | 36.43 | 0.3788 | 0.4935 | no |
| WHR | 2023-03-13 | 108.49 | 0.2774 | 0.4786 | no |
| XEL | 2023-03-13 | 55.87 | 0.4451 | 0.5629 | no |
| ZION | 2023-03-13 | 23.00 | 0.4806 | 0.4708 | no |