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 | 9.84% | 11.13% | 2023-06-15 | -3.83% |
| buy & hold | participation factor overlay | 6 months | complete | 8.44% | 15.14% | 2023-08-01 | -6.04% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.54% | 13.72% | 2023-06-15 | -3.52% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.04% | 17.48% | 2023-07-19 | -6.22% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.41% | 6.73% | 2023-06-16 | -4.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.94% | 9.28% | 2023-07-31 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.54% | 6.78% | 2023-06-16 | -5.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.18% | 10.18% | 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 |
|---|---|---|---|---|---|
| AEP | 2023-03-20 | 80.24 | 0.3036 | 0.5046 | no |
| ALB | 2023-03-20 | 198.35 | 0.4590 | 0.5475 | no |
| ANET | 2023-03-20 | 40.56 | 0.2904 | 0.5004 | no |
| AVGO | 2023-03-20 | 60.28 | 0.4421 | 0.5225 | no |
| BBWI | 2023-03-20 | 31.11 | 0.3726 | 0.4614 | no |
| C | 2023-03-20 | 39.88 | 0.4090 | 0.4917 | no |
| CAH | 2023-03-20 | 66.10 | 0.3087 | 0.4805 | no |
| CDNS | 2023-03-20 | 207.00 | 0.5488 | 0.5438 | no |
| CMG | 2023-03-20 | 32.10 | 0.3240 | 0.4675 | no |
| CNP | 2023-03-20 | 26.64 | 0.3598 | 0.5215 | no |
| CPB | 2023-03-20 | 46.05 | 0.3225 | 0.4720 | no |
| CRL | 2023-03-20 | 192.86 | 0.3998 | 0.5246 | no |
| CZR | 2023-03-20 | 43.46 | 0.3221 | 0.5273 | no |
| DIS | 2023-03-20 | 90.59 | 0.3973 | 0.4674 | no |
| DTE | 2023-03-20 | 96.04 | 0.4869 | 0.5235 | no |
| ETSY | 2023-03-20 | 104.43 | 0.3071 | — | no |
| HPE | 2023-03-20 | 13.01 | 0.4367 | 0.4881 | no |
| HPQ | 2023-03-20 | 24.47 | 0.3005 | 0.5249 | no |
| IVZ | 2023-03-20 | 13.44 | 0.3353 | 0.4831 | no |
| KMB | 2023-03-20 | 110.04 | 0.3765 | 0.4655 | no |
| LRCX | 2023-03-20 | 49.56 | 0.2932 | 0.5344 | no |
| MCK | 2023-03-20 | 335.70 | 0.3536 | 0.4801 | no |
| MDT | 2023-03-20 | 70.20 | 0.3405 | 0.4809 | no |
| MSCI | 2023-03-20 | 517.49 | 0.4095 | 0.4864 | no |
| MTB | 2023-03-20 | 111.65 | 0.3584 | 0.4720 | no |
| MU | 2023-03-20 | 55.86 | 0.3665 | 0.5379 | no |
| NOW | 2023-03-20 | 87.61 | 0.3443 | 0.5083 | no |
| NUE | 2023-03-20 | 139.52 | 0.3171 | 0.6388 | no |
| NVDA | 2023-03-20 | 25.53 | 0.3943 | 0.5049 | no |
| NVR | 2023-03-20 | 5497.08 | 0.3540 | — | no |
| NWS | 2023-03-20 | 15.67 | 0.3835 | — | no |
| ON | 2023-03-20 | 78.73 | 1.0027 | 0.4876 | no |
| PG | 2023-03-20 | 130.95 | 0.3100 | 0.4800 | no |
| POOL | 2023-03-20 | 322.99 | 0.4948 | 0.4624 | no |
| PTC | 2023-03-20 | 118.55 | 0.2981 | 0.5594 | no |
| QCOM | 2023-03-20 | 111.76 | 0.3775 | 0.4964 | no |
| RCL | 2023-03-20 | 59.92 | 0.3450 | 0.4802 | no |
| STLD | 2023-03-20 | 99.90 | 0.5407 | 0.6199 | no |
| SYY | 2023-03-20 | 66.55 | 0.3270 | 0.5797 | no |
| TER | 2023-03-20 | 104.22 | 0.5060 | 0.5255 | no |
| TGT | 2023-03-20 | 140.62 | 0.3284 | 0.5620 | no |
| TSCO | 2023-03-20 | 43.55 | 0.3780 | 0.5610 | no |
| UHS | 2023-03-20 | 117.87 | 0.5160 | 0.4931 | no |
| URI | 2023-03-20 | 362.69 | 0.5120 | 0.5197 | no |
| VRSK | 2023-03-20 | 176.19 | 0.3345 | 0.4872 | no |
| VRSN | 2023-03-20 | 190.04 | 0.3082 | 0.4561 | no |
| WDC | 2023-03-20 | 26.42 | 0.7039 | 0.5190 | no |
| WFC | 2023-03-20 | 34.90 | 0.5646 | 0.4827 | no |
| XEL | 2023-03-20 | 59.58 | 0.3227 | 0.5629 | no |
| ZION | 2023-03-20 | 27.04 | 0.3140 | 0.4659 | no |