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 | 4.29% | 4.29% | 2023-07-03 | -4.48% |
| buy & hold | participation factor overlay | 6 months | complete | -2.05% | 7.00% | 2023-07-25 | -8.46% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.11% | 7.11% | 2023-07-03 | -4.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.54% | 9.49% | 2023-07-31 | -9.15% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.15% | 2.49% | 2023-06-30 | -5.64% |
| weekly rebalance | participation factor overlay | 6 months | complete | -8.07% | 3.60% | 2023-07-31 | -11.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.14% | 1.24% | 2023-06-30 | -6.50% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.77% | 2.78% | 2023-07-31 | -12.20% |
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 |
|---|---|---|---|---|---|
| A | 2023-04-03 | 134.06 | 0.4264 | 0.4414 | no |
| ABT | 2023-04-03 | 93.78 | 0.5310 | 0.4669 | no |
| ADI | 2023-04-03 | 185.71 | 0.3200 | 0.5210 | no |
| ADM | 2023-04-03 | 71.20 | 0.5091 | 0.4865 | no |
| AKAM | 2023-04-03 | 78.30 | 0.3962 | 0.4845 | no |
| ALB | 2023-04-03 | 210.20 | 0.4384 | 0.5393 | no |
| AVY | 2023-04-03 | 166.11 | 0.4208 | 0.5026 | no |
| BEN | 2023-04-03 | 22.63 | 0.4684 | 0.4768 | no |
| BLK | 2023-04-03 | 612.58 | 0.5596 | — | no |
| BMY | 2023-04-03 | 58.93 | 0.5234 | 0.6503 | no |
| CAT | 2023-04-03 | 218.25 | 0.2835 | 0.5308 | no |
| CCI | 2023-04-03 | 109.49 | 0.3539 | 0.4809 | no |
| CDNS | 2023-04-03 | 209.00 | 0.4700 | 0.5439 | no |
| COP | 2023-04-03 | 94.28 | 0.3880 | 0.5830 | no |
| CSX | 2023-04-03 | 28.33 | 0.4343 | 0.5009 | no |
| D | 2023-04-03 | 47.33 | 0.2981 | 0.5129 | no |
| DLTR | 2023-04-03 | 145.28 | 0.2867 | 0.6078 | no |
| DOW | 2023-04-03 | 45.23 | 0.3805 | 0.5276 | no |
| ELV | 2023-04-03 | 441.73 | 0.3007 | 0.4942 | no |
| EOG | 2023-04-03 | 107.05 | 0.2850 | 0.6357 | no |
| ES | 2023-04-03 | 66.97 | 0.3210 | 0.5222 | no |
| FAST | 2023-04-03 | 24.69 | 0.3285 | 0.4671 | no |
| FMC | 2023-04-03 | 108.10 | 0.3665 | 0.5168 | no |
| HAL | 2023-04-03 | 31.00 | 0.3651 | 0.5691 | no |
| HII | 2023-04-03 | 192.69 | 0.4057 | 0.5749 | no |
| HRL | 2023-04-03 | 34.86 | 0.3172 | 0.4871 | no |
| IR | 2023-04-03 | 57.89 | 0.2835 | 0.5182 | no |
| IT | 2023-04-03 | 323.27 | 0.4321 | 0.5049 | no |
| KR | 2023-04-03 | 45.84 | 0.5011 | 0.5842 | no |
| MCK | 2023-04-03 | 352.84 | 0.4738 | 0.4795 | no |
| MDT | 2023-04-03 | 72.24 | 0.3678 | 0.4784 | no |
| MHK | 2023-04-03 | 99.91 | 0.3127 | 0.4496 | no |
| NTAP | 2023-04-03 | 59.30 | 0.4326 | 0.5014 | no |
| NUE | 2023-04-03 | 146.70 | 0.3077 | 0.6245 | no |
| NWS | 2023-04-03 | 16.93 | 0.4083 | — | no |
| NWSA | 2023-04-03 | 16.71 | 0.3564 | 0.4462 | no |
| O | 2023-04-03 | 52.15 | 0.3157 | 0.4554 | no |
| OXY | 2023-04-03 | 61.87 | 0.3777 | 0.5422 | no |
| PFG | 2023-04-03 | 65.68 | 0.3001 | 0.5040 | no |
| PPL | 2023-04-03 | 24.59 | 0.3029 | 0.5374 | no |
| ROK | 2023-04-03 | 274.89 | 0.3038 | 0.4900 | no |
| ROST | 2023-04-03 | 102.29 | 0.4115 | 0.4418 | no |
| SNA | 2023-04-03 | 224.39 | 0.4031 | 0.4541 | no |
| SPGI | 2023-04-03 | 314.76 | 0.3446 | 0.4920 | no |
| TRMB | 2023-04-03 | 51.91 | 0.7115 | 0.5423 | no |
| UHS | 2023-04-03 | 125.22 | 0.5987 | 0.4931 | no |
| URI | 2023-04-03 | 381.18 | 0.3676 | 0.5195 | no |
| WDC | 2023-04-03 | 28.32 | 0.3971 | 0.5165 | no |
| WHR | 2023-04-03 | 109.96 | 0.4867 | 0.4786 | no |
| WMB | 2023-04-03 | 26.36 | 0.4373 | 0.5078 | no |