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 | 5.81% | 5.81% | 2023-07-24 | -4.56% |
| buy & hold | participation factor overlay | 6 months | complete | -3.79% | 5.94% | 2023-07-26 | -9.74% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.16% | 10.16% | 2023-07-24 | -4.06% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.21% | 10.16% | 2023-07-24 | -13.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.80% | 3.83% | 2023-07-21 | -4.18% |
| weekly rebalance | participation factor overlay | 6 months | complete | -9.97% | 4.65% | 2023-07-31 | -14.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.10% | 5.10% | 2023-07-24 | -4.74% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -8.38% | 5.54% | 2023-07-31 | -13.66% |
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 | 2023-04-24 | 135.41 | 0.4392 | 0.4412 | no |
| ACGL | 2023-04-24 | 68.45 | 0.3092 | 0.4977 | no |
| AKAM | 2023-04-24 | 80.91 | 0.5664 | 0.4780 | no |
| ALL | 2023-04-24 | 107.18 | 0.5046 | 0.4850 | no |
| APH | 2023-04-24 | 18.68 | 0.2846 | 0.4410 | no |
| BAX | 2023-04-24 | 42.43 | 0.3716 | 0.4796 | no |
| BBY | 2023-04-24 | 61.11 | 0.2748 | 0.6666 | no |
| BEN | 2023-04-24 | 22.59 | 0.3100 | 0.4466 | no |
| CARR | 2023-04-24 | 43.19 | 0.3331 | 0.4699 | no |
| CAT | 2023-04-24 | 210.39 | 0.3708 | 0.4995 | no |
| CLX | 2023-04-24 | 144.98 | 0.3395 | 0.4589 | no |
| CNC | 2023-04-24 | 66.22 | 0.3238 | 0.4805 | no |
| CPRT | 2023-04-24 | 39.10 | 0.2828 | 0.4749 | no |
| CRM | 2023-04-24 | 194.73 | 0.4333 | 0.4673 | no |
| CVS | 2023-04-24 | 64.75 | 0.5375 | 0.5434 | no |
| CZR | 2023-04-24 | 43.95 | 0.5648 | 0.5135 | no |
| DGX | 2023-04-24 | 136.59 | 0.3434 | 0.4819 | no |
| DUK | 2023-04-24 | 86.21 | 0.2715 | 0.5304 | no |
| DVN | 2023-04-24 | 47.36 | 0.3127 | 0.6887 | no |
| ECL | 2023-04-24 | 160.91 | 0.3072 | 0.5061 | no |
| GIS | 2023-04-24 | 75.63 | 0.4051 | 0.5142 | no |
| GNRC | 2023-04-24 | 102.31 | 0.6678 | 0.4807 | no |
| IFF | 2023-04-24 | 88.78 | 0.8923 | 0.4997 | no |
| JBHT | 2023-04-24 | 171.09 | 0.3241 | 0.5089 | no |
| LH | 2023-04-24 | 192.57 | 0.2902 | 0.4970 | no |
| MKTX | 2023-04-24 | 310.66 | 0.3064 | 0.4940 | no |
| MOS | 2023-04-24 | 39.57 | 0.3159 | 0.4911 | no |
| NDAQ | 2023-04-24 | 54.36 | 0.4095 | 0.5188 | no |
| NI | 2023-04-24 | 25.73 | 0.2842 | 0.5622 | no |
| NSC | 2023-04-24 | 195.87 | 0.2735 | 0.4952 | no |
| NWL | 2023-04-24 | 10.42 | 0.2794 | 0.4687 | no |
| NWS | 2023-04-24 | 16.97 | 0.3056 | — | no |
| NWSA | 2023-04-24 | 16.83 | 0.4917 | 0.4407 | no |
| ORCL | 2023-04-24 | 91.71 | 0.3328 | 0.5040 | no |
| OTIS | 2023-04-24 | 77.58 | 0.3443 | 0.4855 | no |
| PCG | 2023-04-24 | 16.58 | 0.3159 | 0.5682 | no |
| PFE | 2023-04-24 | 32.42 | 0.5416 | 0.6095 | no |
| PPL | 2023-04-24 | 25.56 | 0.3415 | 0.5299 | no |
| PRU | 2023-04-24 | 71.81 | 0.5460 | 0.4596 | no |
| RHI | 2023-04-24 | 61.91 | 0.3652 | 0.4496 | no |
| SNA | 2023-04-24 | 239.24 | 0.4090 | 0.4954 | no |
| STX | 2023-04-24 | 52.07 | 0.2710 | 0.5162 | no |
| SYY | 2023-04-24 | 68.96 | 0.3024 | 0.5740 | no |
| TT | 2023-04-24 | 172.22 | 0.2887 | 0.4768 | no |
| UHS | 2023-04-24 | 137.74 | 0.5112 | 0.4893 | no |
| VLO | 2023-04-24 | 107.33 | 0.3894 | 0.5367 | no |
| VRSN | 2023-04-24 | 213.80 | 0.2852 | 0.4370 | no |
| WDC | 2023-04-24 | 24.92 | 0.5325 | 0.5105 | no |
| WTW | 2023-04-24 | 231.81 | 0.3145 | 0.5036 | no |
| XYL | 2023-04-24 | 99.66 | 0.3477 | 0.4711 | no |