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 | 5.68% | 6.43% | 2023-06-15 | -4.38% |
| buy & hold | participation factor overlay | 6 months | complete | 2.46% | 10.83% | 2023-07-31 | -7.77% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.27% | 8.70% | 2023-06-15 | -4.30% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.53% | 14.24% | 2023-07-31 | -9.63% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.23% | 5.02% | 2023-06-16 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.99% | 6.47% | 2023-07-31 | -9.83% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.72% | 4.01% | 2023-04-28 | -6.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.30% | 5.22% | 2023-07-19 | -10.95% |
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 | 2023-03-27 | 140.34 | 0.3375 | 0.5927 | no |
| ABT | 2023-03-27 | 92.10 | 0.3493 | 0.4674 | no |
| AEP | 2023-03-27 | 78.73 | 0.3752 | 0.5042 | no |
| ANET | 2023-03-27 | 42.35 | 0.3427 | 0.5007 | no |
| AVGO | 2023-03-27 | 61.31 | 0.3773 | 0.5225 | no |
| BBWI | 2023-03-27 | 32.82 | 0.5311 | 0.4614 | no |
| BEN | 2023-03-27 | 22.25 | 0.3624 | 0.4867 | no |
| BMY | 2023-03-27 | 58.13 | 0.3261 | 0.6514 | no |
| CDNS | 2023-03-27 | 204.48 | 0.4707 | 0.5438 | no |
| CSX | 2023-03-27 | 27.07 | 0.4941 | 0.5116 | no |
| CZR | 2023-03-27 | 43.48 | 0.7637 | 0.5273 | no |
| D | 2023-03-27 | 45.78 | 0.4463 | 0.5129 | no |
| DGX | 2023-03-27 | 132.18 | 0.4071 | 0.4906 | no |
| DIS | 2023-03-27 | 91.90 | 0.4108 | 0.4657 | no |
| ELV | 2023-03-27 | 442.05 | 0.2909 | 0.4937 | no |
| EMN | 2023-03-27 | 70.07 | 0.4399 | 0.5231 | no |
| EXPD | 2023-03-27 | 101.29 | 0.3312 | — | no |
| HII | 2023-03-27 | 187.77 | 0.3875 | 0.5756 | no |
| HLT | 2023-03-27 | 132.20 | 0.4404 | 0.4680 | no |
| IQV | 2023-03-27 | 191.10 | 0.3517 | 0.4969 | no |
| KMB | 2023-03-27 | 113.69 | 0.5389 | 0.4659 | no |
| KMI | 2023-03-27 | 14.12 | 0.5489 | 0.5435 | no |
| MAR | 2023-03-27 | 152.91 | 0.3556 | 0.4545 | no |
| MCD | 2023-03-27 | 250.32 | 0.2911 | 0.4910 | no |
| MCK | 2023-03-27 | 344.59 | 0.5287 | 0.4801 | no |
| MHK | 2023-03-27 | 96.70 | 1.0329 | 0.4494 | no |
| MPWR | 2023-03-27 | 477.80 | 0.3597 | 0.5101 | no |
| MRNA | 2023-03-27 | 149.80 | 0.3103 | 0.5947 | no |
| MSCI | 2023-03-27 | 525.06 | 0.3619 | 0.4864 | no |
| NTAP | 2023-03-27 | 57.04 | 0.3061 | 0.5029 | no |
| NWL | 2023-03-27 | 10.02 | 0.5358 | 0.4649 | no |
| NWS | 2023-03-27 | 16.09 | 0.4043 | — | no |
| ON | 2023-03-27 | 78.05 | 0.5314 | 0.4876 | no |
| PEP | 2023-03-27 | 158.91 | 0.2907 | 0.4698 | no |
| PG | 2023-03-27 | 134.05 | 0.6369 | 0.4800 | no |
| PTC | 2023-03-27 | 122.16 | 0.3571 | 0.5594 | no |
| RCL | 2023-03-27 | 60.23 | 0.4285 | 0.4802 | no |
| RHI | 2023-03-27 | 63.77 | 0.5096 | 0.4804 | no |
| SNPS | 2023-03-27 | 377.09 | 0.4468 | 0.5777 | no |
| SPGI | 2023-03-27 | 311.17 | 0.3275 | 0.4953 | no |
| STT | 2023-03-27 | 65.96 | 0.4696 | 0.4469 | no |
| SYY | 2023-03-27 | 68.39 | 0.4126 | 0.5797 | no |
| TER | 2023-03-27 | 105.36 | 0.3739 | 0.5255 | no |
| TGT | 2023-03-27 | 138.83 | 0.6671 | 0.5620 | no |
| TRGP | 2023-03-27 | 63.66 | 0.3495 | 0.4596 | no |
| TRMB | 2023-03-27 | 49.78 | 0.3330 | 0.5387 | no |
| URI | 2023-03-27 | 356.49 | 0.7378 | 0.5197 | no |
| WDC | 2023-03-27 | 26.87 | 1.0188 | 0.5190 | no |
| WHR | 2023-03-27 | 106.88 | 0.3727 | 0.4789 | no |
| WMB | 2023-03-27 | 25.29 | 0.4490 | 0.5106 | no |