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 | 10.53% | 11.84% | 2023-06-15 | -3.84% |
| buy & hold | participation factor overlay | 6 months | complete | 10.72% | 16.73% | 2023-07-31 | -5.59% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.47% | 11.82% | 2023-06-15 | -4.32% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.28% | 16.90% | 2023-07-31 | -5.67% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.68% | 6.12% | 2023-06-16 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.30% | 7.58% | 2023-07-31 | -6.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.41% | 5.09% | 2023-04-28 | -6.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.49% | 6.31% | 2023-07-19 | -7.33% |
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 |
|---|---|---|---|---|---|
| ADSK | 2023-03-20 | 200.31 | 0.2718 | 0.5182 | no |
| AEP | 2023-03-20 | 80.24 | 0.2870 | 0.5046 | no |
| ALB | 2023-03-20 | 198.35 | 0.3660 | 0.5475 | no |
| AMAT | 2023-03-20 | 119.58 | 0.2979 | 0.5604 | no |
| AVGO | 2023-03-20 | 60.28 | 0.3763 | 0.5225 | no |
| BBWI | 2023-03-20 | 31.11 | 0.4668 | 0.4614 | no |
| C | 2023-03-20 | 39.88 | 0.5051 | 0.4917 | no |
| CAH | 2023-03-20 | 66.10 | 0.2764 | 0.4805 | no |
| CAT | 2023-03-20 | 206.23 | 0.2586 | 0.5329 | no |
| CDNS | 2023-03-20 | 207.00 | 0.3767 | 0.5438 | no |
| CMG | 2023-03-20 | 32.10 | 0.3507 | 0.4675 | no |
| CNP | 2023-03-20 | 26.64 | 0.3453 | 0.5215 | no |
| CRL | 2023-03-20 | 192.86 | 0.2710 | 0.5246 | no |
| CZR | 2023-03-20 | 43.46 | 0.3969 | 0.5273 | no |
| DIS | 2023-03-20 | 90.59 | 0.3814 | 0.4674 | no |
| DTE | 2023-03-20 | 96.04 | 0.4489 | 0.5235 | no |
| EXPD | 2023-03-20 | 102.18 | 0.2725 | — | no |
| FAST | 2023-03-20 | 24.01 | 0.2847 | 0.4608 | no |
| GRMN | 2023-03-20 | 90.23 | 0.3511 | 0.4836 | no |
| HBAN | 2023-03-20 | 9.09 | 0.2565 | 0.4650 | no |
| HPE | 2023-03-20 | 13.01 | 0.3044 | 0.4881 | no |
| IEX | 2023-03-20 | 207.17 | 0.2910 | 0.5050 | no |
| KMB | 2023-03-20 | 110.04 | 0.4859 | 0.4655 | no |
| LNC | 2023-03-20 | 16.78 | 0.3430 | 0.5069 | no |
| LRCX | 2023-03-20 | 49.56 | 0.3156 | 0.5344 | no |
| MDT | 2023-03-20 | 70.20 | 0.2647 | 0.4809 | no |
| MSCI | 2023-03-20 | 517.49 | 0.4170 | 0.4864 | no |
| MTB | 2023-03-20 | 111.65 | 0.5078 | 0.4720 | no |
| MU | 2023-03-20 | 55.86 | 0.5274 | 0.5379 | no |
| NOW | 2023-03-20 | 87.61 | 0.3012 | 0.5083 | no |
| NUE | 2023-03-20 | 139.52 | 0.3073 | 0.6388 | no |
| NVDA | 2023-03-20 | 25.53 | 0.3423 | 0.5049 | no |
| NVR | 2023-03-20 | 5497.08 | 0.2978 | — | no |
| NWS | 2023-03-20 | 15.67 | 0.2945 | — | no |
| ON | 2023-03-20 | 78.73 | 0.6192 | 0.4876 | no |
| PEP | 2023-03-20 | 156.19 | 0.3033 | 0.4691 | no |
| PG | 2023-03-20 | 130.95 | 0.4626 | 0.4800 | no |
| POOL | 2023-03-20 | 322.99 | 0.8356 | 0.4624 | no |
| PTC | 2023-03-20 | 118.55 | 0.2633 | 0.5594 | no |
| STE | 2023-03-20 | 170.89 | 0.2788 | 0.5036 | no |
| STLD | 2023-03-20 | 99.90 | 0.5253 | 0.6199 | no |
| SYY | 2023-03-20 | 66.55 | 0.2713 | 0.5797 | no |
| TER | 2023-03-20 | 104.22 | 0.3593 | 0.5255 | no |
| TGT | 2023-03-20 | 140.62 | 0.4149 | 0.5620 | no |
| UHS | 2023-03-20 | 117.87 | 0.4769 | 0.4931 | no |
| URI | 2023-03-20 | 362.69 | 0.4362 | 0.5197 | no |
| VRSK | 2023-03-20 | 176.19 | 0.2561 | 0.4872 | no |
| WDC | 2023-03-20 | 26.42 | 0.4456 | 0.5190 | no |
| WFC | 2023-03-20 | 34.90 | 0.6349 | 0.4827 | no |
| ZION | 2023-03-20 | 27.04 | 0.4024 | 0.4659 | no |