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 | 2.72% | 2.72% | 2023-07-03 | -5.83% |
| buy & hold | participation factor overlay | 6 months | complete | -4.81% | 5.30% | 2023-07-25 | -9.60% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.73% | 2.73% | 2023-07-03 | -6.18% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.33% | 5.76% | 2023-07-26 | -10.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.44% | 2.54% | 2023-06-30 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | -8.18% | 3.39% | 2023-07-31 | -11.19% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.56% | 0.65% | 2023-04-28 | -6.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -10.65% | 1.82% | 2023-07-19 | -12.25% |
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 | 0.3766 | 0.4414 | no |
| ABT | 2023-04-03 | 93.78 | 0.3773 | 0.4669 | no |
| ADM | 2023-04-03 | 71.20 | 0.5241 | 0.4865 | no |
| ALB | 2023-04-03 | 210.20 | 0.4003 | 0.5393 | no |
| AMGN | 2023-04-03 | 217.37 | 0.3507 | — | no |
| BEN | 2023-04-03 | 22.63 | 0.3956 | 0.4768 | no |
| BLK | 2023-04-03 | 612.58 | 0.4453 | — | no |
| BMY | 2023-04-03 | 58.93 | 0.4661 | 0.6503 | no |
| CCI | 2023-04-03 | 109.49 | 0.3379 | 0.4809 | no |
| CDNS | 2023-04-03 | 209.00 | 0.4569 | 0.5439 | no |
| CME | 2023-04-03 | 166.00 | 0.3995 | 0.5368 | no |
| COP | 2023-04-03 | 94.28 | 0.4791 | 0.5830 | no |
| CRL | 2023-04-03 | 201.12 | 0.3669 | 0.5240 | no |
| CSX | 2023-04-03 | 28.33 | 0.3944 | 0.5009 | no |
| D | 2023-04-03 | 47.33 | 0.3998 | 0.5129 | no |
| DLTR | 2023-04-03 | 145.28 | 0.4348 | 0.6078 | no |
| DOW | 2023-04-03 | 45.23 | 0.6929 | 0.5276 | no |
| ECL | 2023-04-03 | 159.44 | 0.3941 | 0.5172 | no |
| ES | 2023-04-03 | 66.97 | 0.3374 | 0.5222 | no |
| FMC | 2023-04-03 | 108.10 | 0.4325 | 0.5168 | no |
| HAL | 2023-04-03 | 31.00 | 0.3623 | 0.5691 | no |
| HII | 2023-04-03 | 192.69 | 0.4281 | 0.5749 | no |
| IFF | 2023-04-03 | 84.53 | 0.5218 | 0.5144 | no |
| IQV | 2023-04-03 | 197.70 | 0.3558 | 0.4969 | no |
| IR | 2023-04-03 | 57.89 | 0.3817 | 0.5182 | no |
| IT | 2023-04-03 | 323.27 | 0.3495 | 0.5049 | no |
| KMI | 2023-04-03 | 14.87 | 0.3465 | 0.5415 | no |
| KR | 2023-04-03 | 45.84 | 0.4670 | 0.5842 | no |
| LW | 2023-04-03 | 96.71 | 0.3439 | 0.5011 | no |
| MCK | 2023-04-03 | 352.84 | 0.4839 | 0.4795 | no |
| MHK | 2023-04-03 | 99.91 | 0.4827 | 0.4496 | no |
| MKTX | 2023-04-03 | 368.56 | 0.4531 | 0.4996 | no |
| NTAP | 2023-04-03 | 59.30 | 0.4066 | 0.5014 | no |
| NUE | 2023-04-03 | 146.70 | 0.4008 | 0.6245 | no |
| NVR | 2023-04-03 | 5572.19 | 0.3479 | — | no |
| NWL | 2023-04-03 | 10.55 | 0.4128 | 0.4666 | no |
| NWS | 2023-04-03 | 16.93 | 0.4800 | — | no |
| NWSA | 2023-04-03 | 16.71 | 0.3387 | 0.4462 | no |
| O | 2023-04-03 | 52.15 | 0.4536 | 0.4554 | no |
| ORCL | 2023-04-03 | 88.49 | 0.3469 | 0.5124 | no |
| PFG | 2023-04-03 | 65.68 | 0.4019 | 0.5040 | no |
| ROST | 2023-04-03 | 102.29 | 0.3856 | 0.4418 | no |
| SPGI | 2023-04-03 | 314.76 | 0.4274 | 0.4920 | no |
| TGT | 2023-04-03 | 146.82 | 0.3397 | 0.5616 | no |
| TRMB | 2023-04-03 | 51.91 | 0.7080 | 0.5423 | no |
| TT | 2023-04-03 | 176.71 | 0.4501 | 0.4875 | no |
| UHS | 2023-04-03 | 125.22 | 0.3795 | 0.4931 | no |
| URI | 2023-04-03 | 381.18 | 0.6312 | 0.5195 | no |
| WDC | 2023-04-03 | 28.32 | 0.4780 | 0.5165 | no |
| WMB | 2023-04-03 | 26.36 | 0.3383 | 0.5078 | no |