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 | 10.38% | 11.72% | 2023-06-15 | -4.33% |
| buy & hold | participation factor overlay | 6 months | complete | 10.00% | 15.62% | 2023-08-01 | -5.20% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.61% | 12.97% | 2023-06-15 | -4.07% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.58% | 17.49% | 2023-07-31 | -5.87% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.78% | 6.09% | 2023-06-16 | -5.64% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.43% | 8.49% | 2023-07-31 | -6.78% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.70% | 4.91% | 2023-06-16 | -6.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.81% | 7.51% | 2023-07-31 | -7.74% |
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 |
|---|---|---|---|---|---|
| ABT | 2023-03-20 | 90.48 | 0.3985 | 0.4674 | no |
| AEP | 2023-03-20 | 80.24 | 0.3592 | 0.5046 | no |
| ALB | 2023-03-20 | 198.35 | 0.2604 | 0.5475 | no |
| AMD | 2023-03-20 | 96.30 | 0.2825 | 0.4999 | no |
| ANET | 2023-03-20 | 40.56 | 0.2732 | 0.5004 | no |
| AVGO | 2023-03-20 | 60.28 | 0.3040 | 0.5225 | no |
| BBWI | 2023-03-20 | 31.11 | 0.3031 | 0.4614 | no |
| C | 2023-03-20 | 39.88 | 0.4730 | 0.4917 | no |
| CAH | 2023-03-20 | 66.10 | 0.3390 | 0.4805 | no |
| CDNS | 2023-03-20 | 207.00 | 0.4204 | 0.5438 | no |
| CMG | 2023-03-20 | 32.10 | 0.3677 | 0.4675 | no |
| CRL | 2023-03-20 | 192.86 | 0.4032 | 0.5246 | no |
| DIS | 2023-03-20 | 90.59 | 0.3775 | 0.4674 | no |
| DPZ | 2023-03-20 | 293.75 | 0.2890 | 0.4932 | no |
| DTE | 2023-03-20 | 96.04 | 0.6462 | 0.5235 | no |
| ED | 2023-03-20 | 85.13 | 0.2879 | — | no |
| ENPH | 2023-03-20 | 189.59 | 0.3348 | 0.5360 | no |
| FAST | 2023-03-20 | 24.01 | 0.3263 | 0.4608 | no |
| HPE | 2023-03-20 | 13.01 | 0.3949 | 0.4881 | no |
| HPQ | 2023-03-20 | 24.47 | 0.3330 | 0.5249 | no |
| IEX | 2023-03-20 | 207.17 | 0.2602 | 0.5050 | no |
| KLAC | 2023-03-20 | 37.81 | 0.4618 | 0.5449 | no |
| KMB | 2023-03-20 | 110.04 | 0.4366 | 0.4655 | no |
| LNC | 2023-03-20 | 16.78 | 0.3669 | 0.5069 | no |
| LRCX | 2023-03-20 | 49.56 | 0.4172 | 0.5344 | no |
| MCK | 2023-03-20 | 335.70 | 0.3690 | 0.4801 | no |
| MDT | 2023-03-20 | 70.20 | 0.2702 | 0.4809 | no |
| MSCI | 2023-03-20 | 517.49 | 0.3980 | 0.4864 | no |
| MTB | 2023-03-20 | 111.65 | 0.4272 | 0.4720 | no |
| MU | 2023-03-20 | 55.86 | 0.4372 | 0.5379 | no |
| NOW | 2023-03-20 | 87.61 | 0.2590 | 0.5083 | no |
| NVDA | 2023-03-20 | 25.53 | 0.4612 | 0.5049 | no |
| NWS | 2023-03-20 | 15.67 | 0.4112 | — | no |
| ON | 2023-03-20 | 78.73 | 0.6771 | 0.4876 | no |
| PEP | 2023-03-20 | 156.19 | 0.2669 | 0.4691 | no |
| PG | 2023-03-20 | 130.95 | 0.4287 | 0.4800 | no |
| POOL | 2023-03-20 | 322.99 | 0.7820 | 0.4624 | no |
| SNPS | 2023-03-20 | 373.80 | 0.2569 | 0.5777 | no |
| STLD | 2023-03-20 | 99.90 | 0.5088 | 0.6199 | no |
| SYK | 2023-03-20 | 264.98 | 0.2644 | 0.5132 | no |
| TER | 2023-03-20 | 104.22 | 0.4128 | 0.5255 | no |
| TGT | 2023-03-20 | 140.62 | 0.4324 | 0.5620 | no |
| TRMB | 2023-03-20 | 48.81 | 0.2612 | 0.5387 | no |
| UHS | 2023-03-20 | 117.87 | 0.4381 | 0.4931 | no |
| URI | 2023-03-20 | 362.69 | 0.5694 | 0.5197 | no |
| VRSK | 2023-03-20 | 176.19 | 0.2830 | 0.4872 | no |
| WDC | 2023-03-20 | 26.42 | 0.3978 | 0.5190 | no |
| WFC | 2023-03-20 | 34.90 | 0.3861 | 0.4827 | no |
| WMB | 2023-03-20 | 24.73 | 0.2586 | 0.5172 | no |
| ZION | 2023-03-20 | 27.04 | 0.3819 | 0.4659 | no |