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 | 9.18% | 10.42% | 2023-06-15 | -3.95% |
| buy & hold | participation factor overlay | 6 months | complete | 10.17% | 15.75% | 2023-07-31 | -5.44% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.90% | 13.38% | 2023-06-15 | -4.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.49% | 18.64% | 2023-07-31 | -5.56% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.30% | 5.49% | 2023-06-16 | -6.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.54% | 7.92% | 2023-07-25 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.90% | 5.18% | 2023-04-13 | -6.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.24% | 7.34% | 2023-07-31 | -7.06% |
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 |
|---|---|---|---|---|---|
| ABBV | 2023-03-20 | 136.53 | 0.2609 | 0.5927 | no |
| ADSK | 2023-03-20 | 200.31 | 0.3280 | 0.5182 | no |
| ALB | 2023-03-20 | 198.35 | 0.3941 | 0.5475 | no |
| AMGN | 2023-03-20 | 207.11 | 0.2464 | — | no |
| AVGO | 2023-03-20 | 60.28 | 0.3607 | 0.5225 | no |
| BBWI | 2023-03-20 | 31.11 | 0.5270 | 0.4614 | no |
| C | 2023-03-20 | 39.88 | 0.4110 | 0.4917 | no |
| CAH | 2023-03-20 | 66.10 | 0.3239 | 0.4805 | no |
| CDNS | 2023-03-20 | 207.00 | 0.4117 | 0.5438 | no |
| CMG | 2023-03-20 | 32.10 | 0.4227 | 0.4675 | no |
| CNP | 2023-03-20 | 26.64 | 0.2509 | 0.5215 | no |
| CPB | 2023-03-20 | 46.05 | 0.2399 | 0.4720 | no |
| CRL | 2023-03-20 | 192.86 | 0.3685 | 0.5246 | no |
| CZR | 2023-03-20 | 43.46 | 0.4287 | 0.5273 | no |
| DIS | 2023-03-20 | 90.59 | 0.4400 | 0.4674 | no |
| DOW | 2023-03-20 | 41.50 | 0.2400 | 0.5328 | no |
| DTE | 2023-03-20 | 96.04 | 0.5583 | 0.5235 | no |
| DVA | 2023-03-20 | 77.11 | 0.2996 | 0.4924 | no |
| EQT | 2023-03-20 | 28.05 | 0.3079 | 0.6457 | no |
| FAST | 2023-03-20 | 24.01 | 0.3065 | 0.4608 | no |
| HPE | 2023-03-20 | 13.01 | 0.2971 | 0.4881 | no |
| IEX | 2023-03-20 | 207.17 | 0.2669 | 0.5050 | no |
| KMB | 2023-03-20 | 110.04 | 0.3175 | 0.4655 | no |
| LNC | 2023-03-20 | 16.78 | 0.2883 | 0.5069 | no |
| LRCX | 2023-03-20 | 49.56 | 0.2975 | 0.5344 | no |
| MAS | 2023-03-20 | 46.58 | 0.2421 | 0.4704 | no |
| MSCI | 2023-03-20 | 517.49 | 0.3021 | 0.4864 | no |
| MTB | 2023-03-20 | 111.65 | 0.3439 | 0.4720 | no |
| MU | 2023-03-20 | 55.86 | 0.3805 | 0.5379 | no |
| NWS | 2023-03-20 | 15.67 | 0.3891 | — | no |
| ODFL | 2023-03-20 | 162.67 | 0.3373 | 0.5267 | no |
| ON | 2023-03-20 | 78.73 | 0.5248 | 0.4876 | no |
| PG | 2023-03-20 | 130.95 | 0.2780 | 0.4800 | no |
| POOL | 2023-03-20 | 322.99 | 0.7497 | 0.4624 | no |
| PPL | 2023-03-20 | 23.95 | 0.2607 | 0.5381 | no |
| PTC | 2023-03-20 | 118.55 | 0.4082 | 0.5594 | no |
| RCL | 2023-03-20 | 59.92 | 0.4121 | 0.4802 | no |
| SNPS | 2023-03-20 | 373.80 | 0.3129 | 0.5777 | no |
| STLD | 2023-03-20 | 99.90 | 0.4320 | 0.6199 | no |
| SYK | 2023-03-20 | 264.98 | 0.2831 | 0.5132 | no |
| TEL | 2023-03-20 | 117.45 | 0.2549 | — | no |
| TER | 2023-03-20 | 104.22 | 0.3351 | 0.5255 | no |
| TGT | 2023-03-20 | 140.62 | 0.5218 | 0.5620 | no |
| TSCO | 2023-03-20 | 43.55 | 0.2793 | 0.5610 | no |
| UHS | 2023-03-20 | 117.87 | 0.3853 | 0.4931 | no |
| URI | 2023-03-20 | 362.69 | 0.4468 | 0.5197 | no |
| WDC | 2023-03-20 | 26.42 | 0.4281 | 0.5190 | no |
| WFC | 2023-03-20 | 34.90 | 0.6902 | 0.4827 | no |
| WMB | 2023-03-20 | 24.73 | 0.2605 | 0.5172 | no |
| ZION | 2023-03-20 | 27.04 | 0.4089 | 0.4659 | no |