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 | 5.15% | 5.54% | 2023-07-03 | -5.39% |
| buy & hold | participation factor overlay | 6 months | complete | 2.57% | 8.64% | 2023-07-25 | -8.17% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.03% | 8.03% | 2023-07-10 | -6.08% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.08% | 11.78% | 2023-07-19 | -9.25% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.63% | 4.03% | 2023-07-03 | -6.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.19% | 5.20% | 2023-07-25 | -11.19% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.57% | 2.95% | 2023-07-05 | -6.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.81% | 4.28% | 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 |
|---|---|---|---|---|---|
| ADM | 2023-04-10 | 70.51 | 0.3318 | 0.4867 | no |
| AKAM | 2023-04-10 | 78.38 | 0.3283 | 0.4835 | no |
| ALB | 2023-04-10 | 184.78 | 0.4752 | 0.5353 | no |
| AMP | 2023-04-10 | 282.09 | 0.3767 | 0.4586 | no |
| ANET | 2023-04-10 | 39.65 | 0.6705 | 0.4973 | no |
| ATO | 2023-04-10 | 105.31 | 0.3148 | 0.6046 | no |
| BALL | 2023-04-10 | 49.70 | 0.5036 | 0.4973 | no |
| BBY | 2023-04-10 | 62.96 | 0.3150 | 0.6660 | no |
| BMY | 2023-04-10 | 60.90 | 0.3631 | 0.6508 | no |
| CE | 2023-04-10 | 101.54 | 0.3934 | 0.5020 | no |
| CMCSA | 2023-04-10 | 31.29 | 0.3178 | 0.4400 | no |
| CME | 2023-04-10 | 169.15 | 0.4551 | 0.5365 | no |
| CNC | 2023-04-10 | 65.81 | 0.5354 | 0.4770 | no |
| CVS | 2023-04-10 | 67.51 | 0.3688 | 0.5446 | no |
| DOW | 2023-04-10 | 45.05 | 0.4228 | 0.5257 | no |
| DPZ | 2023-04-10 | 310.87 | 0.3767 | 0.4939 | no |
| DVA | 2023-04-10 | 82.09 | 0.3771 | 0.4922 | no |
| ELV | 2023-04-10 | 454.75 | 0.3297 | 0.4938 | no |
| ENPH | 2023-04-10 | 189.09 | 0.3628 | 0.5347 | no |
| EW | 2023-04-10 | 83.33 | 0.3052 | 0.4897 | no |
| FMC | 2023-04-10 | 103.19 | 0.3260 | 0.5129 | no |
| HII | 2023-04-10 | 191.60 | 0.3571 | 0.5727 | no |
| HRL | 2023-04-10 | 35.07 | 0.4236 | 0.4887 | no |
| IQV | 2023-04-10 | 194.98 | 0.4261 | 0.4893 | no |
| IR | 2023-04-10 | 54.08 | 0.3374 | 0.5103 | no |
| LNC | 2023-04-10 | 16.90 | 0.4422 | 0.4863 | no |
| LW | 2023-04-10 | 99.70 | 0.3520 | 0.4963 | no |
| MAS | 2023-04-10 | 44.03 | 0.3166 | 0.4662 | no |
| MCK | 2023-04-10 | 363.93 | 0.3107 | 0.4824 | no |
| MHK | 2023-04-10 | 92.05 | 0.5894 | 0.4463 | no |
| MOH | 2023-04-10 | 284.54 | 0.3766 | 0.4701 | no |
| MOS | 2023-04-10 | 39.73 | 0.3084 | 0.5044 | no |
| MPWR | 2023-04-10 | 456.38 | 0.3272 | 0.5086 | no |
| NDAQ | 2023-04-10 | 51.84 | 0.3368 | 0.4887 | no |
| NOW | 2023-04-10 | 93.23 | 0.3491 | 0.5071 | no |
| NWL | 2023-04-10 | 10.32 | 0.4978 | 0.4681 | no |
| NWS | 2023-04-10 | 16.93 | 0.3432 | — | no |
| O | 2023-04-10 | 51.57 | 0.3714 | 0.4435 | no |
| OXY | 2023-04-10 | 59.48 | 0.4213 | 0.5457 | no |
| PTC | 2023-04-10 | 124.22 | 0.4011 | 0.5563 | no |
| RHI | 2023-04-10 | 62.43 | 0.5310 | 0.4730 | no |
| ROST | 2023-04-10 | 102.06 | 0.3766 | 0.4418 | no |
| TXT | 2023-04-10 | 67.39 | 0.3908 | 0.5705 | no |
| UHS | 2023-04-10 | 125.71 | 0.6582 | 0.4951 | no |
| URI | 2023-04-10 | 341.99 | 0.4711 | 0.5116 | no |
| VLO | 2023-04-10 | 120.40 | 0.4241 | 0.5418 | no |
| VRSN | 2023-04-10 | 207.07 | 0.3199 | 0.4484 | no |
| VTRS | 2023-04-10 | 8.57 | 0.3033 | 0.5409 | no |
| WDC | 2023-04-10 | 27.45 | 0.7256 | 0.5157 | no |
| WY | 2023-04-10 | 26.95 | 0.4188 | 0.5168 | no |