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 | 5.51% | 5.51% | 2023-07-03 | -3.42% |
| buy & hold | participation factor overlay | 6 months | complete | -2.88% | 7.88% | 2023-07-31 | -9.98% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.64% | 5.64% | 2023-07-03 | -3.34% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.21% | 8.50% | 2023-07-31 | -9.87% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.18% | 3.20% | 2023-06-30 | -4.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.94% | 4.57% | 2023-07-31 | -11.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.08% | 3.08% | 2023-07-03 | -5.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -7.67% | 5.05% | 2023-07-31 | -12.11% |
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 |
|---|---|---|---|---|---|
| ADI | 2023-04-03 | 185.71 | 0.3299 | 0.5210 | no |
| ADM | 2023-04-03 | 71.20 | 0.4751 | 0.4865 | no |
| AEP | 2023-04-03 | 79.63 | 0.3598 | 0.5033 | no |
| ALB | 2023-04-03 | 210.20 | 0.3369 | 0.5393 | no |
| AVY | 2023-04-03 | 166.11 | 0.3671 | 0.5026 | no |
| AWK | 2023-04-03 | 133.52 | 0.3601 | 0.6381 | no |
| BEN | 2023-04-03 | 22.63 | 0.4479 | 0.4768 | no |
| BLK | 2023-04-03 | 612.58 | 0.5287 | — | no |
| BMY | 2023-04-03 | 58.93 | 0.5766 | 0.6503 | no |
| CDNS | 2023-04-03 | 209.00 | 0.3640 | 0.5439 | no |
| CRM | 2023-04-03 | 194.51 | 0.4496 | 0.4711 | no |
| CSX | 2023-04-03 | 28.33 | 0.4419 | 0.5009 | no |
| CTVA | 2023-04-03 | 58.32 | 0.3497 | 0.5287 | no |
| D | 2023-04-03 | 47.33 | 0.5022 | 0.5129 | no |
| DLTR | 2023-04-03 | 145.28 | 0.4185 | 0.6078 | no |
| DOW | 2023-04-03 | 45.23 | 0.6597 | 0.5276 | no |
| DTE | 2023-04-03 | 97.64 | 0.3617 | 0.5227 | no |
| ECL | 2023-04-03 | 159.44 | 0.3177 | 0.5172 | no |
| ELV | 2023-04-03 | 441.73 | 0.3417 | 0.4942 | no |
| ES | 2023-04-03 | 66.97 | 0.3157 | 0.5222 | no |
| FMC | 2023-04-03 | 108.10 | 0.5820 | 0.5168 | no |
| FTNT | 2023-04-03 | 65.82 | 0.3607 | 0.5495 | no |
| GD | 2023-04-03 | 212.95 | 0.3382 | 0.5718 | no |
| HAL | 2023-04-03 | 31.00 | 0.5648 | 0.5691 | no |
| HII | 2023-04-03 | 192.69 | 0.3321 | 0.5749 | no |
| IQV | 2023-04-03 | 197.70 | 0.3641 | 0.4969 | no |
| IR | 2023-04-03 | 57.89 | 0.5548 | 0.5182 | no |
| IT | 2023-04-03 | 323.27 | 0.3552 | 0.5049 | no |
| KMI | 2023-04-03 | 14.87 | 0.3266 | 0.5415 | no |
| KR | 2023-04-03 | 45.84 | 0.3989 | 0.5842 | no |
| LRCX | 2023-04-03 | 50.88 | 0.4138 | 0.5357 | no |
| LW | 2023-04-03 | 96.71 | 0.3416 | 0.5011 | no |
| MCK | 2023-04-03 | 352.84 | 0.3988 | 0.4795 | no |
| MDT | 2023-04-03 | 72.24 | 0.3871 | 0.4784 | no |
| MHK | 2023-04-03 | 99.91 | 0.3664 | 0.4496 | no |
| NTAP | 2023-04-03 | 59.30 | 0.3123 | 0.5014 | no |
| NWS | 2023-04-03 | 16.93 | 0.4670 | — | no |
| NWSA | 2023-04-03 | 16.71 | 0.4685 | 0.4462 | no |
| O | 2023-04-03 | 52.15 | 0.3132 | 0.4554 | no |
| ON | 2023-04-03 | 81.72 | 0.3266 | 0.4892 | no |
| OXY | 2023-04-03 | 61.87 | 0.3651 | 0.5422 | no |
| PHM | 2023-04-03 | 56.46 | 0.3628 | 0.5006 | no |
| SPGI | 2023-04-03 | 314.76 | 0.3886 | 0.4920 | no |
| TRMB | 2023-04-03 | 51.91 | 0.5289 | 0.5423 | no |
| TT | 2023-04-03 | 176.71 | 0.3629 | 0.4875 | no |
| UHS | 2023-04-03 | 125.22 | 0.3510 | 0.4931 | no |
| URI | 2023-04-03 | 381.18 | 0.6246 | 0.5195 | no |
| WDC | 2023-04-03 | 28.32 | 0.5087 | 0.5165 | no |
| WHR | 2023-04-03 | 109.96 | 0.4126 | 0.4786 | no |
| WMB | 2023-04-03 | 26.36 | 0.3144 | 0.5078 | no |