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 | 4.66% | 4.73% | 2023-07-03 | -5.36% |
| buy & hold | participation factor overlay | 6 months | complete | 3.15% | 8.55% | 2023-08-01 | -7.42% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.93% | 7.93% | 2023-07-10 | -4.49% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.74% | 11.27% | 2023-07-19 | -9.10% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.40% | 4.39% | 2023-06-30 | -5.64% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.16% | 5.52% | 2023-07-31 | -11.28% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.72% | 3.29% | 2023-06-30 | -6.50% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.62% | 4.86% | 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 |
|---|---|---|---|---|---|
| ADM | 2023-04-10 | 70.51 | 0.2670 | 0.4867 | no |
| AKAM | 2023-04-10 | 78.38 | 0.3740 | 0.4835 | no |
| ALB | 2023-04-10 | 184.78 | 0.5928 | 0.5353 | no |
| AMP | 2023-04-10 | 282.09 | 0.2947 | 0.4586 | no |
| ANET | 2023-04-10 | 39.65 | 0.6428 | 0.4973 | no |
| AON | 2023-04-10 | 312.53 | 0.3182 | 0.5438 | no |
| APH | 2023-04-10 | 18.75 | 0.2697 | 0.4552 | no |
| ATO | 2023-04-10 | 105.31 | 0.4500 | 0.6046 | no |
| BBY | 2023-04-10 | 62.96 | 0.3583 | 0.6660 | no |
| BMY | 2023-04-10 | 60.90 | 0.4362 | 0.6508 | no |
| CE | 2023-04-10 | 101.54 | 0.3566 | 0.5020 | no |
| CLX | 2023-04-10 | 138.11 | 0.3208 | 0.4630 | no |
| CME | 2023-04-10 | 169.15 | 0.3164 | 0.5365 | no |
| CNC | 2023-04-10 | 65.81 | 0.6655 | 0.4770 | no |
| DOW | 2023-04-10 | 45.05 | 0.3587 | 0.5257 | no |
| DPZ | 2023-04-10 | 310.87 | 0.3266 | 0.4939 | no |
| DVN | 2023-04-10 | 46.98 | 0.2744 | 0.6935 | no |
| GILD | 2023-04-10 | 74.51 | 0.2726 | 0.6188 | no |
| HAL | 2023-04-10 | 30.45 | 0.3778 | 0.5685 | no |
| HLT | 2023-04-10 | 138.59 | 0.3320 | 0.4625 | no |
| HRL | 2023-04-10 | 35.07 | 0.2787 | 0.4887 | no |
| IQV | 2023-04-10 | 194.98 | 0.3666 | 0.4893 | no |
| KMB | 2023-04-10 | 117.67 | 0.3585 | 0.4771 | no |
| LDOS | 2023-04-10 | 87.72 | 0.3041 | 0.5817 | no |
| LIN | 2023-04-10 | 339.41 | 0.2743 | 0.5199 | no |
| MAS | 2023-04-10 | 44.03 | 0.3254 | 0.4662 | no |
| MCK | 2023-04-10 | 363.93 | 0.4059 | 0.4824 | no |
| MHK | 2023-04-10 | 92.05 | 0.3137 | 0.4463 | no |
| MOS | 2023-04-10 | 39.73 | 0.3287 | 0.5044 | no |
| MPWR | 2023-04-10 | 456.38 | 0.2905 | 0.5086 | no |
| MRNA | 2023-04-10 | 160.00 | 0.3321 | 0.5962 | no |
| NDAQ | 2023-04-10 | 51.84 | 0.3719 | 0.4887 | no |
| NEE | 2023-04-10 | 70.72 | 0.3297 | 0.5392 | no |
| NUE | 2023-04-10 | 138.98 | 0.2856 | 0.6228 | no |
| NWL | 2023-04-10 | 10.32 | 0.4927 | 0.4681 | no |
| NWS | 2023-04-10 | 16.93 | 0.3691 | — | no |
| O | 2023-04-10 | 51.57 | 0.3423 | 0.4435 | no |
| OXY | 2023-04-10 | 59.48 | 0.3656 | 0.5457 | no |
| PTC | 2023-04-10 | 124.22 | 0.3610 | 0.5563 | no |
| RHI | 2023-04-10 | 62.43 | 0.4730 | 0.4730 | no |
| ROST | 2023-04-10 | 102.06 | 0.2762 | 0.4418 | no |
| SNPS | 2023-04-10 | 372.97 | 0.2789 | 0.5731 | no |
| STE | 2023-04-10 | 185.80 | 0.3144 | 0.5042 | no |
| STLD | 2023-04-10 | 99.34 | 0.2952 | 0.5997 | no |
| SWK | 2023-04-10 | 64.36 | 0.3327 | 0.4811 | no |
| TXT | 2023-04-10 | 67.39 | 0.2710 | 0.5705 | no |
| UHS | 2023-04-10 | 125.71 | 0.6535 | 0.4951 | no |
| URI | 2023-04-10 | 341.99 | 0.3922 | 0.5116 | no |
| WAB | 2023-04-10 | 94.74 | 0.2742 | 0.5288 | no |
| WDC | 2023-04-10 | 27.45 | 0.4190 | 0.5157 | no |