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 | 4.94% | 5.38% | 2023-07-03 | -5.54% |
| buy & hold | participation factor overlay | 6 months | complete | 3.79% | 9.39% | 2023-08-01 | -7.44% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.78% | 7.88% | 2023-07-03 | -5.40% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.76% | 11.41% | 2023-07-31 | -8.83% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.19% | 4.04% | 2023-06-30 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | -4.26% | 4.89% | 2023-07-31 | -11.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.88% | 2.77% | 2023-04-28 | -6.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.92% | 3.96% | 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 |
|---|---|---|---|---|---|
| ABBV | 2023-04-10 | 142.88 | 0.2822 | 0.5899 | no |
| AKAM | 2023-04-10 | 78.38 | 0.3170 | 0.4835 | no |
| ALB | 2023-04-10 | 184.78 | 0.4021 | 0.5353 | no |
| AMP | 2023-04-10 | 282.09 | 0.3157 | 0.4586 | no |
| ANET | 2023-04-10 | 39.65 | 0.7471 | 0.4973 | no |
| AON | 2023-04-10 | 312.53 | 0.2959 | 0.5438 | no |
| BALL | 2023-04-10 | 49.70 | 0.4643 | 0.4973 | no |
| BMY | 2023-04-10 | 60.90 | 0.3092 | 0.6508 | no |
| CE | 2023-04-10 | 101.54 | 0.3938 | 0.5020 | no |
| CF | 2023-04-10 | 67.24 | 0.3328 | 0.4866 | no |
| CMCSA | 2023-04-10 | 31.29 | 0.3439 | 0.4400 | no |
| CME | 2023-04-10 | 169.15 | 0.4302 | 0.5365 | no |
| CNC | 2023-04-10 | 65.81 | 0.5780 | 0.4770 | no |
| CTVA | 2023-04-10 | 57.66 | 0.3313 | 0.5268 | no |
| CVX | 2023-04-10 | 145.78 | 0.3574 | 0.5618 | no |
| CZR | 2023-04-10 | 44.83 | 0.2842 | 0.5195 | no |
| DOW | 2023-04-10 | 45.05 | 0.5151 | 0.5257 | no |
| DVN | 2023-04-10 | 46.98 | 0.3585 | 0.6935 | no |
| ECL | 2023-04-10 | 159.54 | 0.4375 | 0.5148 | no |
| ELV | 2023-04-10 | 454.75 | 0.3079 | 0.4938 | no |
| ETN | 2023-04-10 | 148.53 | 0.2894 | 0.4828 | no |
| ETSY | 2023-04-10 | 103.64 | 0.3463 | — | no |
| IR | 2023-04-10 | 54.08 | 0.3251 | 0.5103 | no |
| IVZ | 2023-04-10 | 13.47 | 0.4497 | 0.4621 | no |
| KMB | 2023-04-10 | 117.67 | 0.3058 | 0.4771 | no |
| LDOS | 2023-04-10 | 87.72 | 0.4014 | 0.5817 | no |
| LIN | 2023-04-10 | 339.41 | 0.3294 | 0.5199 | no |
| MAR | 2023-04-10 | 156.85 | 0.2803 | 0.4495 | no |
| MAS | 2023-04-10 | 44.03 | 0.3985 | 0.4662 | no |
| MCK | 2023-04-10 | 363.93 | 0.3616 | 0.4824 | no |
| MHK | 2023-04-10 | 92.05 | 0.3960 | 0.4463 | no |
| MOS | 2023-04-10 | 39.73 | 0.3740 | 0.5044 | no |
| NDAQ | 2023-04-10 | 51.84 | 0.4887 | 0.4887 | no |
| NEE | 2023-04-10 | 70.72 | 0.3691 | 0.5392 | no |
| NOW | 2023-04-10 | 93.23 | 0.3467 | 0.5071 | no |
| NTAP | 2023-04-10 | 60.27 | 0.3089 | 0.5000 | no |
| NVR | 2023-04-10 | 5450.67 | 0.2916 | — | no |
| NWL | 2023-04-10 | 10.32 | 0.6208 | 0.4681 | no |
| NWS | 2023-04-10 | 16.93 | 0.5035 | — | no |
| NWSA | 2023-04-10 | 16.67 | 0.3616 | 0.4453 | no |
| O | 2023-04-10 | 51.57 | 0.2913 | 0.4435 | no |
| ORCL | 2023-04-10 | 91.08 | 0.2989 | 0.5124 | no |
| OXY | 2023-04-10 | 59.48 | 0.3022 | 0.5457 | no |
| PH | 2023-04-10 | 300.03 | 0.2801 | 0.4940 | no |
| RHI | 2023-04-10 | 62.43 | 0.4358 | 0.4730 | no |
| UHS | 2023-04-10 | 125.71 | 0.3563 | 0.4951 | no |
| UPS | 2023-04-10 | 154.96 | 0.3618 | 0.4984 | no |
| URI | 2023-04-10 | 341.99 | 0.4916 | 0.5116 | no |
| VLO | 2023-04-10 | 120.40 | 0.4650 | 0.5418 | no |
| WDC | 2023-04-10 | 27.45 | 0.6379 | 0.5157 | no |