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 | 4.50% | 4.57% | 2023-07-13 | -5.00% |
| buy & hold | participation factor overlay | 6 months | complete | -1.37% | 6.36% | 2023-07-25 | -9.65% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.32% | 10.42% | 2023-07-13 | -3.78% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.93% | 11.64% | 2023-07-19 | -11.71% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.51% | 3.30% | 2023-07-13 | -5.64% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.98% | 3.83% | 2023-07-31 | -11.28% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.36% | 3.05% | 2023-07-13 | -6.50% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.58% | 3.53% | 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 |
|---|---|---|---|---|---|
| A | 2023-04-17 | 136.21 | 0.3190 | 0.4430 | no |
| ABBV | 2023-04-17 | 144.38 | 0.4004 | 0.5903 | no |
| AJG | 2023-04-17 | 194.01 | 0.2872 | 0.5518 | no |
| AKAM | 2023-04-17 | 82.54 | 0.5204 | 0.4828 | no |
| ALB | 2023-04-17 | 194.80 | 0.5151 | 0.5303 | no |
| ANET | 2023-04-17 | 41.13 | 0.5970 | 0.4925 | no |
| AZO | 2023-04-17 | 2644.84 | 0.3278 | 0.5672 | no |
| BAC | 2023-04-17 | 27.26 | 0.3137 | 0.4371 | no |
| BAX | 2023-04-17 | 40.28 | 0.5554 | 0.4802 | no |
| BEN | 2023-04-17 | 22.37 | 0.4020 | 0.4552 | no |
| CNC | 2023-04-17 | 68.01 | 0.4553 | 0.4850 | no |
| CRL | 2023-04-17 | 204.60 | 0.3613 | 0.5193 | no |
| CSX | 2023-04-17 | 29.13 | 0.3001 | 0.4870 | no |
| CTVA | 2023-04-17 | 60.13 | 0.2951 | 0.5241 | no |
| CVS | 2023-04-17 | 65.14 | 0.4658 | 0.5469 | no |
| CZR | 2023-04-17 | 43.62 | 0.3774 | 0.5136 | no |
| DGX | 2023-04-17 | 133.62 | 0.3267 | 0.4876 | no |
| DTE | 2023-04-17 | 101.37 | 0.3497 | 0.5240 | no |
| DVN | 2023-04-17 | 49.18 | 0.3967 | 0.6914 | no |
| ECL | 2023-04-17 | 155.94 | 0.3570 | 0.5095 | no |
| ETN | 2023-04-17 | 155.22 | 0.3050 | 0.4771 | no |
| FMC | 2023-04-17 | 108.86 | 0.4259 | 0.5103 | no |
| FTNT | 2023-04-17 | 68.36 | 0.3864 | 0.5412 | no |
| IFF | 2023-04-17 | 87.55 | 0.3040 | 0.5094 | no |
| IQV | 2023-04-17 | 200.74 | 0.4514 | 0.4905 | no |
| IT | 2023-04-17 | 314.88 | 0.5585 | 0.4920 | no |
| JBHT | 2023-04-17 | 171.46 | 0.3312 | 0.4939 | no |
| KMB | 2023-04-17 | 119.57 | 0.3024 | 0.4752 | no |
| LIN | 2023-04-17 | 343.89 | 0.4212 | 0.5099 | no |
| MAR | 2023-04-17 | 163.14 | 0.5604 | 0.4456 | no |
| NDAQ | 2023-04-17 | 52.25 | 0.3007 | 0.4824 | no |
| NKE | 2023-04-17 | 116.77 | 0.3009 | 0.4638 | no |
| NSC | 2023-04-17 | 193.08 | 0.4081 | 0.4969 | no |
| NVR | 2023-04-17 | 5650.48 | 0.3159 | — | no |
| NWL | 2023-04-17 | 10.57 | 0.8152 | 0.4686 | no |
| NWS | 2023-04-17 | 17.09 | 0.4604 | — | no |
| OTIS | 2023-04-17 | 76.60 | 0.4659 | 0.4855 | no |
| PFG | 2023-04-17 | 66.74 | 0.5225 | 0.4633 | no |
| PHM | 2023-04-17 | 58.35 | 0.4641 | 0.4933 | no |
| PRU | 2023-04-17 | 71.32 | 0.5713 | 0.4622 | no |
| QRVO | 2023-04-17 | 92.75 | 0.4198 | — | no |
| RHI | 2023-04-17 | 63.61 | 0.4458 | 0.4558 | no |
| ROST | 2023-04-17 | 101.08 | 0.3290 | 0.4349 | no |
| SYK | 2023-04-17 | 282.89 | 0.3081 | 0.5145 | no |
| TAP | 2023-04-17 | 49.76 | 0.4060 | 0.4511 | no |
| TRMB | 2023-04-17 | 48.83 | 0.3245 | 0.5213 | no |
| UHS | 2023-04-17 | 133.44 | 0.3572 | 0.4985 | no |
| VICI | 2023-04-17 | 26.35 | 0.4555 | 0.4495 | no |
| VRSN | 2023-04-17 | 212.74 | 0.3553 | 0.4432 | no |
| VTRS | 2023-04-17 | 8.50 | 0.5823 | 0.5400 | no |