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 | 4.25% | 4.72% | 2023-07-13 | -5.45% |
| buy & hold | participation factor overlay | 6 months | complete | -1.43% | 6.46% | 2023-07-26 | -9.55% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.62% | 9.20% | 2023-07-13 | -4.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.91% | 10.07% | 2023-07-19 | -11.53% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.68% | 3.28% | 2023-07-13 | -6.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.66% | 3.37% | 2023-07-25 | -11.19% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.28% | 2.74% | 2023-07-13 | -6.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.91% | 3.10% | 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 |
|---|---|---|---|---|---|
| A | 2023-04-17 | 136.21 | 0.5033 | 0.4430 | no |
| ABBV | 2023-04-17 | 144.38 | 0.4431 | 0.5903 | no |
| ABT | 2023-04-17 | 97.24 | 0.4530 | 0.4688 | no |
| AKAM | 2023-04-17 | 82.54 | 0.5391 | 0.4828 | no |
| ALB | 2023-04-17 | 194.80 | 0.4733 | 0.5303 | no |
| AZO | 2023-04-17 | 2644.84 | 0.3557 | 0.5672 | no |
| BAX | 2023-04-17 | 40.28 | 0.6249 | 0.4802 | no |
| BEN | 2023-04-17 | 22.37 | 0.3532 | 0.4552 | no |
| CAT | 2023-04-17 | 213.50 | 0.3465 | 0.5065 | no |
| CNC | 2023-04-17 | 68.01 | 0.3189 | 0.4850 | no |
| CRL | 2023-04-17 | 204.60 | 0.4661 | 0.5193 | no |
| CSX | 2023-04-17 | 29.13 | 0.3643 | 0.4870 | no |
| CTVA | 2023-04-17 | 60.13 | 0.3473 | 0.5241 | no |
| CVS | 2023-04-17 | 65.14 | 0.4694 | 0.5469 | no |
| CZR | 2023-04-17 | 43.62 | 0.5969 | 0.5136 | no |
| DOW | 2023-04-17 | 46.42 | 0.3325 | 0.5232 | no |
| DTE | 2023-04-17 | 101.37 | 0.3065 | 0.5240 | no |
| DVN | 2023-04-17 | 49.18 | 0.6586 | 0.6914 | no |
| ECL | 2023-04-17 | 155.94 | 0.4474 | 0.5095 | no |
| FMC | 2023-04-17 | 108.86 | 0.3811 | 0.5103 | no |
| GD | 2023-04-17 | 212.68 | 0.3282 | 0.5680 | no |
| GNRC | 2023-04-17 | 102.04 | 0.5186 | 0.4950 | no |
| HLT | 2023-04-17 | 143.43 | 0.3200 | 0.4599 | no |
| HSY | 2023-04-17 | 233.01 | 0.3403 | 0.4856 | no |
| IFF | 2023-04-17 | 87.55 | 0.5544 | 0.5094 | no |
| IQV | 2023-04-17 | 200.74 | 0.3927 | 0.4905 | no |
| IT | 2023-04-17 | 314.88 | 0.3641 | 0.4920 | no |
| J | 2023-04-17 | 92.30 | 0.3172 | 0.5465 | no |
| JBHT | 2023-04-17 | 171.46 | 0.3505 | 0.4939 | no |
| LIN | 2023-04-17 | 343.89 | 0.6168 | 0.5099 | no |
| LNC | 2023-04-17 | 17.54 | 0.3250 | 0.4659 | no |
| LW | 2023-04-17 | 101.01 | 0.3904 | 0.4952 | no |
| NDAQ | 2023-04-17 | 52.25 | 0.4317 | 0.4824 | no |
| NKE | 2023-04-17 | 116.77 | 0.3645 | 0.4638 | no |
| NSC | 2023-04-17 | 193.08 | 0.4786 | 0.4969 | no |
| NUE | 2023-04-17 | 140.05 | 0.3936 | 0.6228 | no |
| NWL | 2023-04-17 | 10.57 | 0.3837 | 0.4686 | no |
| NWS | 2023-04-17 | 17.09 | 0.3922 | — | no |
| OTIS | 2023-04-17 | 76.60 | 0.4521 | 0.4855 | no |
| PHM | 2023-04-17 | 58.35 | 0.3274 | 0.4933 | no |
| PRU | 2023-04-17 | 71.32 | 0.3999 | 0.4622 | no |
| RHI | 2023-04-17 | 63.61 | 0.3993 | 0.4558 | no |
| ROST | 2023-04-17 | 101.08 | 0.3099 | 0.4349 | no |
| TAP | 2023-04-17 | 49.76 | 0.3208 | 0.4511 | no |
| VICI | 2023-04-17 | 26.35 | 0.5356 | 0.4495 | no |
| VRSN | 2023-04-17 | 212.74 | 0.3203 | 0.4432 | no |
| VTRS | 2023-04-17 | 8.50 | 0.5103 | 0.5400 | no |
| WDC | 2023-04-17 | 26.52 | 0.3813 | 0.5128 | no |
| WTW | 2023-04-17 | 227.37 | 0.3236 | 0.5053 | no |
| WY | 2023-04-17 | 27.92 | 0.4918 | 0.5142 | no |