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 | 6.33% | 6.96% | 2023-06-15 | -4.01% |
| buy & hold | participation factor overlay | 6 months | complete | 2.47% | 11.02% | 2023-07-31 | -7.88% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.19% | 7.80% | 2023-06-15 | -4.26% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.60% | 13.33% | 2023-07-31 | -8.75% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.52% | 4.88% | 2023-06-16 | -5.64% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.96% | 7.24% | 2023-07-31 | -9.52% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.33% | 3.79% | 2023-06-16 | -6.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.13% | 6.37% | 2023-07-31 | -10.81% |
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 | 0.4553 | 0.4674 | no |
| ADI | 2023-03-27 | 177.94 | 0.3543 | 0.5196 | no |
| AEP | 2023-03-27 | 78.73 | 0.3335 | 0.5042 | no |
| AMGN | 2023-03-27 | 215.22 | 0.3806 | — | no |
| AVGO | 2023-03-27 | 61.31 | 0.4860 | 0.5225 | no |
| BA | 2023-03-27 | 198.63 | 0.3559 | 0.5688 | no |
| BBWI | 2023-03-27 | 32.82 | 0.5128 | 0.4614 | no |
| BIIB | 2023-03-27 | 270.81 | 0.3359 | 0.6302 | no |
| BMY | 2023-03-27 | 58.13 | 0.4146 | 0.6514 | no |
| CAH | 2023-03-27 | 67.37 | 0.3121 | 0.4805 | no |
| CDNS | 2023-03-27 | 204.48 | 0.4948 | 0.5438 | no |
| CSX | 2023-03-27 | 27.07 | 0.4387 | 0.5116 | no |
| CTVA | 2023-03-27 | 55.26 | 0.3812 | 0.5314 | no |
| CZR | 2023-03-27 | 43.48 | 0.4956 | 0.5273 | no |
| D | 2023-03-27 | 45.78 | 0.5218 | 0.5129 | no |
| DGX | 2023-03-27 | 132.18 | 0.3052 | 0.4906 | no |
| DIS | 2023-03-27 | 91.90 | 0.4307 | 0.4657 | no |
| ED | 2023-03-27 | 84.67 | 0.3858 | — | no |
| ES | 2023-03-27 | 65.76 | 0.3475 | 0.5230 | no |
| HII | 2023-03-27 | 187.77 | 0.4459 | 0.5756 | no |
| HLT | 2023-03-27 | 132.20 | 0.5115 | 0.4680 | no |
| HPE | 2023-03-27 | 13.20 | 0.3393 | 0.4881 | no |
| KMB | 2023-03-27 | 113.69 | 0.3919 | 0.4659 | no |
| KMI | 2023-03-27 | 14.12 | 0.5226 | 0.5435 | no |
| MAR | 2023-03-27 | 152.91 | 0.4830 | 0.4545 | no |
| MCHP | 2023-03-27 | 73.04 | 0.3098 | 0.5292 | no |
| MCK | 2023-03-27 | 344.59 | 0.4547 | 0.4801 | no |
| MHK | 2023-03-27 | 96.70 | 0.8710 | 0.4494 | no |
| MRNA | 2023-03-27 | 149.80 | 0.3126 | 0.5947 | no |
| MSCI | 2023-03-27 | 525.06 | 0.3300 | 0.4864 | no |
| NUE | 2023-03-27 | 143.62 | 0.3348 | 0.6340 | no |
| NWL | 2023-03-27 | 10.02 | 0.4763 | 0.4649 | no |
| NWS | 2023-03-27 | 16.09 | 0.4356 | — | no |
| NWSA | 2023-03-27 | 15.96 | 0.3865 | 0.4462 | no |
| ON | 2023-03-27 | 78.05 | 0.4105 | 0.4876 | no |
| PG | 2023-03-27 | 134.05 | 0.5256 | 0.4800 | no |
| PTC | 2023-03-27 | 122.16 | 0.3796 | 0.5594 | no |
| RCL | 2023-03-27 | 60.23 | 0.4259 | 0.4802 | no |
| RHI | 2023-03-27 | 63.77 | 0.3374 | 0.4804 | no |
| SNPS | 2023-03-27 | 377.09 | 0.3811 | 0.5777 | no |
| SYK | 2023-03-27 | 269.74 | 0.3192 | 0.5132 | no |
| SYY | 2023-03-27 | 68.39 | 0.4044 | 0.5797 | no |
| TGT | 2023-03-27 | 138.83 | 0.5191 | 0.5620 | no |
| TRMB | 2023-03-27 | 49.78 | 0.3802 | 0.5387 | no |
| URI | 2023-03-27 | 356.49 | 0.4561 | 0.5197 | no |
| VRSK | 2023-03-27 | 182.42 | 0.3495 | 0.4872 | no |
| WDC | 2023-03-27 | 26.87 | 0.5479 | 0.5190 | no |
| WHR | 2023-03-27 | 106.88 | 0.3314 | 0.4789 | no |
| WMB | 2023-03-27 | 25.29 | 0.3834 | 0.5106 | no |
| ZBRA | 2023-03-27 | 290.87 | 0.3281 | 0.4513 | no |