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% | 5.68% | 2023-07-03 | -3.00% |
| buy & hold | participation factor overlay | 6 months | complete | -1.82% | 8.22% | 2023-07-25 | -9.27% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.48% | 5.48% | 2023-07-03 | -3.83% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.73% | 8.77% | 2023-07-25 | -9.65% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.06% | 2.06% | 2023-07-03 | -6.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | -8.33% | 3.21% | 2023-07-25 | -11.19% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.14% | 1.14% | 2023-07-03 | -6.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.80% | 2.49% | 2023-07-31 | -11.99% |
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 | 0.3818 | 0.4414 | no |
| ABT | 2023-04-03 | 93.78 | 0.4462 | 0.4669 | no |
| ADI | 2023-04-03 | 185.71 | 0.5033 | 0.5210 | no |
| ADM | 2023-04-03 | 71.20 | 0.6010 | 0.4865 | no |
| AEP | 2023-04-03 | 79.63 | 0.3568 | 0.5033 | no |
| ALB | 2023-04-03 | 210.20 | 0.3355 | 0.5393 | no |
| AVGO | 2023-04-03 | 61.31 | 0.3275 | 0.5243 | no |
| BEN | 2023-04-03 | 22.63 | 0.3661 | 0.4768 | no |
| BLK | 2023-04-03 | 612.58 | 0.4320 | — | no |
| BMY | 2023-04-03 | 58.93 | 0.5285 | 0.6503 | no |
| CAH | 2023-04-03 | 71.97 | 0.3615 | 0.4799 | no |
| CDNS | 2023-04-03 | 209.00 | 0.6469 | 0.5439 | no |
| COP | 2023-04-03 | 94.28 | 0.4790 | 0.5830 | no |
| CRM | 2023-04-03 | 194.51 | 0.3136 | 0.4711 | no |
| CSX | 2023-04-03 | 28.33 | 0.4946 | 0.5009 | no |
| DGX | 2023-04-03 | 132.55 | 0.3624 | 0.4899 | no |
| DLTR | 2023-04-03 | 145.28 | 0.4925 | 0.6078 | no |
| DOW | 2023-04-03 | 45.23 | 0.4959 | 0.5276 | no |
| DUK | 2023-04-03 | 83.16 | 0.3154 | 0.5374 | no |
| ELV | 2023-04-03 | 441.73 | 0.3321 | 0.4942 | no |
| EMN | 2023-04-03 | 73.58 | 0.4116 | 0.5187 | no |
| EXPD | 2023-04-03 | 105.32 | 0.3453 | — | no |
| FMC | 2023-04-03 | 108.10 | 0.3166 | 0.5168 | no |
| GNRC | 2023-04-03 | 109.18 | 0.5194 | 0.5038 | no |
| HAL | 2023-04-03 | 31.00 | 0.5488 | 0.5691 | no |
| HRL | 2023-04-03 | 34.86 | 0.4262 | 0.4871 | no |
| IR | 2023-04-03 | 57.89 | 0.4392 | 0.5182 | no |
| IT | 2023-04-03 | 323.27 | 0.3345 | 0.5049 | no |
| KMI | 2023-04-03 | 14.87 | 0.3816 | 0.5415 | no |
| KR | 2023-04-03 | 45.84 | 0.4161 | 0.5842 | no |
| LW | 2023-04-03 | 96.71 | 0.3122 | 0.5011 | no |
| MAR | 2023-04-03 | 159.95 | 0.3181 | 0.4537 | no |
| MCK | 2023-04-03 | 352.84 | 0.3623 | 0.4795 | no |
| MDT | 2023-04-03 | 72.24 | 0.3466 | 0.4784 | no |
| MHK | 2023-04-03 | 99.91 | 0.3422 | 0.4496 | no |
| NUE | 2023-04-03 | 146.70 | 0.4109 | 0.6245 | no |
| NWS | 2023-04-03 | 16.93 | 0.5166 | — | no |
| NWSA | 2023-04-03 | 16.71 | 0.6189 | 0.4462 | no |
| O | 2023-04-03 | 52.15 | 0.4005 | 0.4554 | no |
| OXY | 2023-04-03 | 61.87 | 0.3595 | 0.5422 | no |
| PTC | 2023-04-03 | 127.26 | 0.5196 | 0.5593 | no |
| SBUX | 2023-04-03 | 95.51 | 0.3516 | 0.5024 | no |
| SNA | 2023-04-03 | 224.39 | 0.3238 | 0.4541 | no |
| SPGI | 2023-04-03 | 314.76 | 0.4507 | 0.4920 | no |
| TRMB | 2023-04-03 | 51.91 | 0.8050 | 0.5423 | no |
| TT | 2023-04-03 | 176.71 | 0.3109 | 0.4875 | no |
| UHS | 2023-04-03 | 125.22 | 0.3499 | 0.4931 | no |
| URI | 2023-04-03 | 381.18 | 0.6721 | 0.5195 | no |
| WDC | 2023-04-03 | 28.32 | 0.4084 | 0.5165 | no |
| WMB | 2023-04-03 | 26.36 | 0.3728 | 0.5078 | no |