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 | 5.04% | 5.29% | 2023-07-13 | -5.39% |
| buy & hold | participation factor overlay | 6 months | complete | -0.19% | 6.64% | 2023-07-25 | -9.01% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.33% | 8.23% | 2023-07-13 | -5.40% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.23% | 9.87% | 2023-07-26 | -11.39% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.83% | 2.63% | 2023-07-13 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.56% | 2.98% | 2023-07-31 | -11.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.53% | 2.20% | 2023-07-13 | -6.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -7.34% | 2.55% | 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 |
|---|---|---|---|---|---|
| A | 2023-04-17 | 136.21 | 0.6088 | 0.4430 | no |
| ABT | 2023-04-17 | 97.24 | 0.5144 | 0.4688 | no |
| AJG | 2023-04-17 | 194.01 | 0.3454 | 0.5518 | no |
| AKAM | 2023-04-17 | 82.54 | 0.5944 | 0.4828 | no |
| ALB | 2023-04-17 | 194.80 | 0.7726 | 0.5303 | no |
| ANET | 2023-04-17 | 41.13 | 0.4381 | 0.4925 | no |
| AZO | 2023-04-17 | 2644.84 | 0.3244 | 0.5672 | no |
| BAC | 2023-04-17 | 27.26 | 0.4464 | 0.4371 | no |
| BAX | 2023-04-17 | 40.28 | 0.5381 | 0.4802 | no |
| BEN | 2023-04-17 | 22.37 | 0.4692 | 0.4552 | no |
| CNC | 2023-04-17 | 68.01 | 0.5739 | 0.4850 | no |
| CTVA | 2023-04-17 | 60.13 | 0.3164 | 0.5241 | no |
| CVS | 2023-04-17 | 65.14 | 0.5555 | 0.5469 | no |
| CZR | 2023-04-17 | 43.62 | 0.9671 | 0.5136 | no |
| DOW | 2023-04-17 | 46.42 | 0.4158 | 0.5232 | no |
| DVN | 2023-04-17 | 49.18 | 0.4258 | 0.6914 | no |
| ECL | 2023-04-17 | 155.94 | 0.4648 | 0.5095 | no |
| EFX | 2023-04-17 | 189.88 | 0.3385 | 0.4471 | no |
| FMC | 2023-04-17 | 108.86 | 0.3728 | 0.5103 | no |
| HII | 2023-04-17 | 195.52 | 0.4041 | 0.5717 | no |
| HLT | 2023-04-17 | 143.43 | 0.3233 | 0.4599 | no |
| IFF | 2023-04-17 | 87.55 | 0.4583 | 0.5094 | no |
| IQV | 2023-04-17 | 200.74 | 0.5075 | 0.4905 | no |
| IR | 2023-04-17 | 55.78 | 0.3037 | 0.5031 | no |
| IT | 2023-04-17 | 314.88 | 0.3343 | 0.4920 | no |
| J | 2023-04-17 | 92.30 | 0.3605 | 0.5465 | no |
| JBHT | 2023-04-17 | 171.46 | 0.4313 | 0.4939 | no |
| LIN | 2023-04-17 | 343.89 | 0.3336 | 0.5099 | no |
| MAR | 2023-04-17 | 163.14 | 0.5001 | 0.4456 | no |
| MDT | 2023-04-17 | 72.79 | 0.3260 | 0.4810 | no |
| NDAQ | 2023-04-17 | 52.25 | 0.3868 | 0.4824 | no |
| NKE | 2023-04-17 | 116.77 | 0.4495 | 0.4638 | no |
| NSC | 2023-04-17 | 193.08 | 0.6882 | 0.4969 | no |
| NVR | 2023-04-17 | 5650.48 | 0.3223 | — | no |
| NWL | 2023-04-17 | 10.57 | 0.6231 | 0.4686 | no |
| NWS | 2023-04-17 | 17.09 | 0.4276 | — | no |
| NWSA | 2023-04-17 | 16.90 | 0.3222 | 0.4476 | no |
| OTIS | 2023-04-17 | 76.60 | 0.4245 | 0.4855 | no |
| PFG | 2023-04-17 | 66.74 | 0.4880 | 0.4633 | no |
| PHM | 2023-04-17 | 58.35 | 0.5555 | 0.4933 | no |
| PRU | 2023-04-17 | 71.32 | 0.4223 | 0.4622 | no |
| RHI | 2023-04-17 | 63.61 | 0.3939 | 0.4558 | no |
| SYK | 2023-04-17 | 282.89 | 0.3048 | 0.5145 | no |
| TAP | 2023-04-17 | 49.76 | 0.4385 | 0.4511 | no |
| TRMB | 2023-04-17 | 48.83 | 0.5063 | 0.5213 | no |
| UHS | 2023-04-17 | 133.44 | 0.3471 | 0.4985 | no |
| VICI | 2023-04-17 | 26.35 | 0.4894 | 0.4495 | no |
| VLO | 2023-04-17 | 118.20 | 0.4063 | 0.5413 | no |
| VTRS | 2023-04-17 | 8.50 | 0.5114 | 0.5400 | no |
| WHR | 2023-04-17 | 112.65 | 0.3120 | 0.4680 | no |