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 | 7.17% | 7.33% | 2023-07-03 | -3.62% |
| buy & hold | participation factor overlay | 6 months | complete | 3.80% | 10.74% | 2023-07-19 | -8.39% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.20% | 9.20% | 2023-07-10 | -4.17% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.55% | 13.07% | 2023-07-19 | -10.66% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.04% | 4.96% | 2023-06-30 | -4.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.51% | 6.35% | 2023-07-31 | -12.14% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.95% | 4.70% | 2023-07-03 | -5.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.91% | 6.70% | 2023-07-31 | -12.13% |
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 |
|---|---|---|---|---|---|
| AKAM | 2023-04-10 | 78.38 | 0.4089 | 0.4835 | no |
| ALB | 2023-04-10 | 184.78 | 0.3715 | 0.5353 | no |
| AMP | 2023-04-10 | 282.09 | 0.4857 | 0.4586 | no |
| ANET | 2023-04-10 | 39.65 | 0.6983 | 0.4973 | no |
| AON | 2023-04-10 | 312.53 | 0.3160 | 0.5438 | no |
| APH | 2023-04-10 | 18.75 | 0.3140 | 0.4552 | no |
| BALL | 2023-04-10 | 49.70 | 0.4225 | 0.4973 | no |
| BBY | 2023-04-10 | 62.96 | 0.3132 | 0.6660 | no |
| BMY | 2023-04-10 | 60.90 | 0.4193 | 0.6508 | no |
| CE | 2023-04-10 | 101.54 | 0.2905 | 0.5020 | no |
| CI | 2023-04-10 | 247.14 | 0.3051 | 0.4869 | no |
| CMCSA | 2023-04-10 | 31.29 | 0.3382 | 0.4400 | no |
| CME | 2023-04-10 | 169.15 | 0.3870 | 0.5365 | no |
| CNC | 2023-04-10 | 65.81 | 0.5685 | 0.4770 | no |
| CVS | 2023-04-10 | 67.51 | 0.3296 | 0.5446 | no |
| CZR | 2023-04-10 | 44.83 | 0.4802 | 0.5195 | no |
| DLTR | 2023-04-10 | 148.17 | 0.3476 | 0.6065 | no |
| DOW | 2023-04-10 | 45.05 | 0.4915 | 0.5257 | no |
| DPZ | 2023-04-10 | 310.87 | 0.3568 | 0.4939 | no |
| DVA | 2023-04-10 | 82.09 | 0.4743 | 0.4922 | no |
| ECL | 2023-04-10 | 159.54 | 0.4319 | 0.5148 | no |
| ETSY | 2023-04-10 | 103.64 | 0.4047 | — | no |
| HAL | 2023-04-10 | 30.45 | 0.3698 | 0.5685 | no |
| HLT | 2023-04-10 | 138.59 | 0.3922 | 0.4625 | no |
| HSY | 2023-04-10 | 234.86 | 0.2901 | 0.4834 | no |
| IQV | 2023-04-10 | 194.98 | 0.4577 | 0.4893 | no |
| IR | 2023-04-10 | 54.08 | 0.3161 | 0.5103 | no |
| IVZ | 2023-04-10 | 13.47 | 0.4174 | 0.4621 | no |
| LNC | 2023-04-10 | 16.90 | 0.2959 | 0.4863 | no |
| LW | 2023-04-10 | 99.70 | 0.4786 | 0.4963 | no |
| MAS | 2023-04-10 | 44.03 | 0.3963 | 0.4662 | no |
| MCK | 2023-04-10 | 363.93 | 0.2894 | 0.4824 | no |
| MDLZ | 2023-04-10 | 64.50 | 0.3274 | 0.4805 | no |
| MDT | 2023-04-10 | 71.86 | 0.3944 | 0.4817 | no |
| MOH | 2023-04-10 | 284.54 | 0.3409 | 0.4701 | no |
| MPWR | 2023-04-10 | 456.38 | 0.3657 | 0.5086 | no |
| NEE | 2023-04-10 | 70.72 | 0.3085 | 0.5392 | no |
| NOW | 2023-04-10 | 93.23 | 0.2992 | 0.5071 | no |
| NWL | 2023-04-10 | 10.32 | 0.4176 | 0.4681 | no |
| NWS | 2023-04-10 | 16.93 | 0.3072 | — | no |
| NWSA | 2023-04-10 | 16.67 | 0.3144 | 0.4453 | no |
| O | 2023-04-10 | 51.57 | 0.3987 | 0.4435 | no |
| PTC | 2023-04-10 | 124.22 | 0.3369 | 0.5563 | no |
| RHI | 2023-04-10 | 62.43 | 0.4728 | 0.4730 | no |
| UHS | 2023-04-10 | 125.71 | 0.6166 | 0.4951 | no |
| URI | 2023-04-10 | 341.99 | 0.4234 | 0.5116 | no |
| VLO | 2023-04-10 | 120.40 | 0.3220 | 0.5418 | no |
| VRTX | 2023-04-10 | 320.48 | 0.3488 | 0.6226 | no |
| WDC | 2023-04-10 | 27.45 | 0.7636 | 0.5157 | no |
| WHR | 2023-04-10 | 105.51 | 0.3181 | 0.4747 | no |