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 | 6.60% | 7.64% | 2023-06-15 | -3.80% |
| buy & hold | participation factor overlay | 6 months | complete | 5.03% | 12.46% | 2023-08-01 | -7.01% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.05% | 8.53% | 2023-06-15 | -5.06% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.24% | 14.94% | 2023-07-31 | -8.65% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.36% | 5.69% | 2023-06-16 | -4.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.60% | 8.21% | 2023-07-31 | -9.99% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.18% | 5.41% | 2023-06-16 | -5.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.21% | 8.76% | 2023-07-31 | -10.08% |
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 | 2023-03-27 | 92.10 | 0.3811 | 0.4674 | no |
| ADSK | 2023-03-27 | 201.55 | 0.4964 | 0.5182 | no |
| AEP | 2023-03-27 | 78.73 | 0.3178 | 0.5042 | no |
| AMD | 2023-03-27 | 98.02 | 0.3245 | 0.4999 | no |
| AMGN | 2023-03-27 | 215.22 | 0.4070 | — | no |
| ANET | 2023-03-27 | 42.35 | 0.3169 | 0.5007 | no |
| AVGO | 2023-03-27 | 61.31 | 0.5862 | 0.5225 | no |
| AWK | 2023-03-27 | 131.49 | 0.3872 | 0.6381 | no |
| BBWI | 2023-03-27 | 32.82 | 0.4617 | 0.4614 | no |
| BIIB | 2023-03-27 | 270.81 | 0.3224 | 0.6302 | no |
| CAT | 2023-03-27 | 203.94 | 0.3958 | 0.5329 | no |
| CDNS | 2023-03-27 | 204.48 | 0.4989 | 0.5438 | no |
| CHRW | 2023-03-27 | 88.92 | 0.4036 | 0.5137 | no |
| CINF | 2023-03-27 | 99.77 | 0.4491 | 0.5550 | no |
| CSX | 2023-03-27 | 27.07 | 0.4833 | 0.5116 | no |
| CTVA | 2023-03-27 | 55.26 | 0.3525 | 0.5314 | no |
| CZR | 2023-03-27 | 43.48 | 0.5149 | 0.5273 | no |
| D | 2023-03-27 | 45.78 | 0.3291 | 0.5129 | no |
| DGX | 2023-03-27 | 132.18 | 0.3744 | 0.4906 | no |
| DIS | 2023-03-27 | 91.90 | 0.3553 | 0.4657 | no |
| EMN | 2023-03-27 | 70.07 | 0.3177 | 0.5231 | no |
| EXPD | 2023-03-27 | 101.29 | 0.4098 | — | no |
| HLT | 2023-03-27 | 132.20 | 0.5051 | 0.4680 | no |
| HPE | 2023-03-27 | 13.20 | 0.3389 | 0.4881 | no |
| KMB | 2023-03-27 | 113.69 | 0.4312 | 0.4659 | no |
| KMI | 2023-03-27 | 14.12 | 0.4726 | 0.5435 | no |
| LVS | 2023-03-27 | 51.06 | 0.3678 | 0.4699 | no |
| MAR | 2023-03-27 | 152.91 | 0.4083 | 0.4545 | no |
| MAS | 2023-03-27 | 45.30 | 0.4597 | 0.4704 | no |
| MCK | 2023-03-27 | 344.59 | 0.5246 | 0.4801 | no |
| MHK | 2023-03-27 | 96.70 | 0.9802 | 0.4494 | no |
| NUE | 2023-03-27 | 143.62 | 0.6416 | 0.6340 | no |
| NWL | 2023-03-27 | 10.02 | 0.6408 | 0.4649 | no |
| NWS | 2023-03-27 | 16.09 | 0.6033 | — | no |
| NWSA | 2023-03-27 | 15.96 | 0.5576 | 0.4462 | no |
| ODFL | 2023-03-27 | 162.79 | 0.3235 | 0.5218 | no |
| ON | 2023-03-27 | 78.05 | 0.5355 | 0.4876 | no |
| PG | 2023-03-27 | 134.05 | 0.5607 | 0.4800 | no |
| PTC | 2023-03-27 | 122.16 | 0.3620 | 0.5594 | no |
| RCL | 2023-03-27 | 60.23 | 0.6284 | 0.4802 | no |
| RHI | 2023-03-27 | 63.77 | 0.5221 | 0.4804 | no |
| SNPS | 2023-03-27 | 377.09 | 0.3361 | 0.5777 | no |
| SYY | 2023-03-27 | 68.39 | 0.3792 | 0.5797 | no |
| TGT | 2023-03-27 | 138.83 | 0.5235 | 0.5620 | no |
| TRMB | 2023-03-27 | 49.78 | 0.5726 | 0.5387 | no |
| URI | 2023-03-27 | 356.49 | 0.6592 | 0.5197 | no |
| VLO | 2023-03-27 | 118.84 | 0.4470 | 0.5409 | no |
| VRSK | 2023-03-27 | 182.42 | 0.3394 | 0.4872 | no |
| WDC | 2023-03-27 | 26.87 | 0.9200 | 0.5190 | no |
| WMB | 2023-03-27 | 25.29 | 0.3548 | 0.5106 | no |