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 | 6.95% | 7.70% | 2023-06-15 | -4.51% |
| buy & hold | participation factor overlay | 6 months | complete | 4.27% | 12.30% | 2023-07-31 | -7.44% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.70% | 8.32% | 2023-06-15 | -5.48% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.93% | 13.00% | 2023-07-31 | -9.09% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.02% | 4.46% | 2023-06-16 | -6.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.54% | 6.86% | 2023-07-25 | -9.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.04% | 3.99% | 2023-04-13 | -6.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.06% | 6.13% | 2023-07-31 | -10.54% |
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 | 0.3531 | 0.4674 | no |
| ADSK | 2023-03-27 | 201.55 | 0.3680 | 0.5182 | no |
| AMGN | 2023-03-27 | 215.22 | 0.3878 | — | no |
| AVGO | 2023-03-27 | 61.31 | 0.3991 | 0.5225 | no |
| AWK | 2023-03-27 | 131.49 | 0.3515 | 0.6381 | no |
| BBWI | 2023-03-27 | 32.82 | 0.4951 | 0.4614 | no |
| BDX | 2023-03-27 | 178.32 | 0.3671 | 0.4702 | no |
| BEN | 2023-03-27 | 22.25 | 0.3787 | 0.4867 | no |
| BIIB | 2023-03-27 | 270.81 | 0.3619 | 0.6302 | no |
| CAH | 2023-03-27 | 67.37 | 0.3751 | 0.4805 | no |
| CDNS | 2023-03-27 | 204.48 | 0.4154 | 0.5438 | no |
| CRL | 2023-03-27 | 196.49 | 0.3916 | 0.5246 | no |
| CSX | 2023-03-27 | 27.07 | 0.5271 | 0.5116 | no |
| CZR | 2023-03-27 | 43.48 | 0.5709 | 0.5273 | no |
| DIS | 2023-03-27 | 91.90 | 0.4831 | 0.4657 | no |
| EMN | 2023-03-27 | 70.07 | 0.4022 | 0.5231 | no |
| ENPH | 2023-03-27 | 199.36 | 0.4776 | 0.5360 | no |
| ES | 2023-03-27 | 65.76 | 0.3764 | 0.5230 | no |
| HAL | 2023-03-27 | 27.95 | 0.3508 | 0.5747 | no |
| KMB | 2023-03-27 | 113.69 | 0.3919 | 0.4659 | no |
| KMI | 2023-03-27 | 14.12 | 0.3849 | 0.5435 | no |
| LRCX | 2023-03-27 | 49.34 | 0.3772 | 0.5344 | no |
| MAS | 2023-03-27 | 45.30 | 0.4521 | 0.4704 | no |
| MCK | 2023-03-27 | 344.59 | 0.5037 | 0.4801 | no |
| MHK | 2023-03-27 | 96.70 | 0.8898 | 0.4494 | no |
| MSCI | 2023-03-27 | 525.06 | 0.4758 | 0.4864 | no |
| NUE | 2023-03-27 | 143.62 | 0.6591 | 0.6340 | no |
| NWL | 2023-03-27 | 10.02 | 0.5700 | 0.4649 | no |
| NWS | 2023-03-27 | 16.09 | 0.5128 | — | no |
| NWSA | 2023-03-27 | 15.96 | 0.4684 | 0.4462 | no |
| ODFL | 2023-03-27 | 162.79 | 0.3874 | 0.5218 | no |
| ON | 2023-03-27 | 78.05 | 0.6761 | 0.4876 | no |
| PG | 2023-03-27 | 134.05 | 0.4448 | 0.4800 | no |
| PTC | 2023-03-27 | 122.16 | 0.3398 | 0.5594 | no |
| RCL | 2023-03-27 | 60.23 | 0.5765 | 0.4802 | no |
| RHI | 2023-03-27 | 63.77 | 0.4178 | 0.4804 | no |
| SNPS | 2023-03-27 | 377.09 | 0.4496 | 0.5777 | no |
| STT | 2023-03-27 | 65.96 | 0.5114 | 0.4469 | no |
| STX | 2023-03-27 | 57.41 | 0.3724 | 0.5039 | no |
| SYK | 2023-03-27 | 269.74 | 0.3605 | 0.5132 | no |
| TER | 2023-03-27 | 105.36 | 0.4466 | 0.5255 | no |
| TGT | 2023-03-27 | 138.83 | 0.5710 | 0.5620 | no |
| TRGP | 2023-03-27 | 63.66 | 0.3620 | 0.4596 | no |
| TRMB | 2023-03-27 | 49.78 | 0.6043 | 0.5387 | no |
| TSCO | 2023-03-27 | 42.59 | 0.3724 | 0.5610 | no |
| URI | 2023-03-27 | 356.49 | 0.6298 | 0.5197 | no |
| VRSK | 2023-03-27 | 182.42 | 0.3539 | 0.4872 | no |
| WDC | 2023-03-27 | 26.87 | 0.6698 | 0.5190 | no |
| WHR | 2023-03-27 | 106.88 | 0.3730 | 0.4789 | no |
| ZBRA | 2023-03-27 | 290.87 | 0.4090 | 0.4513 | no |