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 | 6.39% | 6.67% | 2023-07-13 | -4.22% |
| buy & hold | participation factor overlay | 6 months | complete | 0.27% | 8.19% | 2023-07-25 | -9.40% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.20% | 10.84% | 2023-07-13 | -3.52% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.21% | 11.92% | 2023-07-19 | -11.45% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.40% | 3.97% | 2023-07-13 | -4.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.16% | 5.04% | 2023-07-31 | -12.14% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.00% | 4.71% | 2023-07-13 | -5.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.15% | 5.63% | 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 |
|---|---|---|---|---|---|
| A | 2023-04-17 | 136.21 | 0.5421 | 0.4430 | no |
| ABBV | 2023-04-17 | 144.38 | 0.4242 | 0.5903 | no |
| ABT | 2023-04-17 | 97.24 | 0.3357 | 0.4688 | no |
| AKAM | 2023-04-17 | 82.54 | 0.5187 | 0.4828 | no |
| ALB | 2023-04-17 | 194.80 | 0.5068 | 0.5303 | no |
| ANET | 2023-04-17 | 41.13 | 0.5336 | 0.4925 | no |
| AZO | 2023-04-17 | 2644.84 | 0.3490 | 0.5672 | no |
| BAX | 2023-04-17 | 40.28 | 0.6422 | 0.4802 | no |
| BEN | 2023-04-17 | 22.37 | 0.4042 | 0.4552 | no |
| CAT | 2023-04-17 | 213.50 | 0.3423 | 0.5065 | no |
| CEG | 2023-04-17 | 74.65 | 0.3155 | 0.5182 | no |
| CNC | 2023-04-17 | 68.01 | 0.5121 | 0.4850 | no |
| CSX | 2023-04-17 | 29.13 | 0.3499 | 0.4870 | no |
| CTVA | 2023-04-17 | 60.13 | 0.5398 | 0.5241 | no |
| CVS | 2023-04-17 | 65.14 | 0.5358 | 0.5469 | no |
| CZR | 2023-04-17 | 43.62 | 0.8358 | 0.5136 | no |
| DOW | 2023-04-17 | 46.42 | 0.3491 | 0.5232 | no |
| DTE | 2023-04-17 | 101.37 | 0.4480 | 0.5240 | no |
| DVN | 2023-04-17 | 49.18 | 0.5114 | 0.6914 | no |
| ECL | 2023-04-17 | 155.94 | 0.4233 | 0.5095 | no |
| FMC | 2023-04-17 | 108.86 | 0.4458 | 0.5103 | no |
| GNRC | 2023-04-17 | 102.04 | 0.4354 | 0.4950 | no |
| HII | 2023-04-17 | 195.52 | 0.3837 | 0.5717 | no |
| HON | 2023-04-17 | 181.24 | 0.3677 | 0.4818 | no |
| HSY | 2023-04-17 | 233.01 | 0.3094 | 0.4856 | no |
| IFF | 2023-04-17 | 87.55 | 0.3535 | 0.5094 | no |
| IQV | 2023-04-17 | 200.74 | 0.6589 | 0.4905 | no |
| IT | 2023-04-17 | 314.88 | 0.3778 | 0.4920 | no |
| JBHT | 2023-04-17 | 171.46 | 0.3925 | 0.4939 | no |
| LIN | 2023-04-17 | 343.89 | 0.4279 | 0.5099 | no |
| LW | 2023-04-17 | 101.01 | 0.3453 | 0.4952 | no |
| MAR | 2023-04-17 | 163.14 | 0.3733 | 0.4456 | no |
| MAS | 2023-04-17 | 45.77 | 0.3568 | 0.4605 | no |
| NDAQ | 2023-04-17 | 52.25 | 0.3638 | 0.4824 | no |
| NSC | 2023-04-17 | 193.08 | 0.4769 | 0.4969 | no |
| NUE | 2023-04-17 | 140.05 | 0.4317 | 0.6228 | no |
| NVR | 2023-04-17 | 5650.48 | 0.3450 | — | no |
| NWL | 2023-04-17 | 10.57 | 0.5893 | 0.4686 | no |
| NWS | 2023-04-17 | 17.09 | 0.4370 | — | no |
| OTIS | 2023-04-17 | 76.60 | 0.3507 | 0.4855 | no |
| PHM | 2023-04-17 | 58.35 | 0.3678 | 0.4933 | no |
| PRU | 2023-04-17 | 71.32 | 0.4712 | 0.4622 | no |
| RHI | 2023-04-17 | 63.61 | 0.3900 | 0.4558 | no |
| SYK | 2023-04-17 | 282.89 | 0.4751 | 0.5145 | no |
| TAP | 2023-04-17 | 49.76 | 0.4304 | 0.4511 | no |
| VICI | 2023-04-17 | 26.35 | 0.4455 | 0.4495 | no |
| VMC | 2023-04-17 | 164.59 | 0.3489 | 0.4816 | no |
| VTRS | 2023-04-17 | 8.50 | 0.4124 | 0.5400 | no |
| WDC | 2023-04-17 | 26.52 | 0.4145 | 0.5128 | no |
| WHR | 2023-04-17 | 112.65 | 0.3445 | 0.4680 | no |