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 | 4.49% | 4.49% | 2023-07-24 | -5.49% |
| buy & hold | participation factor overlay | 6 months | complete | -5.88% | 4.75% | 2023-07-25 | -10.67% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.12% | 9.12% | 2023-07-24 | -5.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.33% | 9.12% | 2023-07-24 | -13.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.00% | 3.05% | 2023-07-13 | -5.28% |
| weekly rebalance | participation factor overlay | 6 months | complete | -9.71% | 3.58% | 2023-07-31 | -13.18% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.25% | 3.25% | 2023-07-24 | -5.95% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.98% | 3.58% | 2023-07-31 | -13.52% |
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 | 0.2762 | 0.4412 | no |
| ADM | 2023-04-24 | 72.28 | 0.2758 | 0.4843 | no |
| AEP | 2023-04-24 | 82.47 | 0.3885 | 0.5025 | no |
| AJG | 2023-04-24 | 201.26 | 0.2991 | 0.5510 | no |
| AKAM | 2023-04-24 | 80.91 | 0.7355 | 0.4780 | no |
| ALL | 2023-04-24 | 107.18 | 0.3114 | 0.4850 | no |
| BAX | 2023-04-24 | 42.43 | 0.4850 | 0.4796 | no |
| BMY | 2023-04-24 | 60.54 | 0.3695 | 0.6490 | no |
| CARR | 2023-04-24 | 43.19 | 0.3292 | 0.4699 | no |
| CE | 2023-04-24 | 100.61 | 0.4631 | 0.4940 | no |
| CLX | 2023-04-24 | 144.98 | 0.3177 | 0.4589 | no |
| CNC | 2023-04-24 | 66.22 | 0.5353 | 0.4805 | no |
| CRM | 2023-04-24 | 194.73 | 0.2768 | 0.4673 | no |
| CVS | 2023-04-24 | 64.75 | 0.4084 | 0.5434 | no |
| DGX | 2023-04-24 | 136.59 | 0.3666 | 0.4819 | no |
| DUK | 2023-04-24 | 86.21 | 0.2737 | 0.5304 | no |
| DVN | 2023-04-24 | 47.36 | 0.3411 | 0.6887 | no |
| GIS | 2023-04-24 | 75.63 | 0.5127 | 0.5142 | no |
| GNRC | 2023-04-24 | 102.31 | 0.4632 | 0.4807 | no |
| GRMN | 2023-04-24 | 91.77 | 0.2777 | 0.4642 | no |
| GS | 2023-04-24 | 314.83 | 0.3633 | 0.4369 | no |
| HON | 2023-04-24 | 181.26 | 0.2683 | 0.4819 | no |
| IFF | 2023-04-24 | 88.78 | 0.8976 | 0.4997 | no |
| KMI | 2023-04-24 | 14.53 | 0.2948 | 0.4851 | no |
| LIN | 2023-04-24 | 351.10 | 0.2909 | 0.4955 | no |
| MKTX | 2023-04-24 | 310.66 | 0.2871 | 0.4940 | no |
| MMM | 2023-04-24 | 78.50 | 0.2618 | 0.4911 | no |
| MOS | 2023-04-24 | 39.57 | 0.3861 | 0.4911 | no |
| NDAQ | 2023-04-24 | 54.36 | 0.4031 | 0.5188 | no |
| NSC | 2023-04-24 | 195.87 | 0.3654 | 0.4952 | no |
| NWL | 2023-04-24 | 10.42 | 0.4055 | 0.4687 | no |
| NWS | 2023-04-24 | 16.97 | 0.4004 | — | no |
| PCAR | 2023-04-24 | 65.32 | 0.2830 | 0.5159 | no |
| PCG | 2023-04-24 | 16.58 | 0.2803 | 0.5682 | no |
| PFE | 2023-04-24 | 32.42 | 0.4097 | 0.6095 | no |
| PFG | 2023-04-24 | 66.48 | 0.3968 | 0.4600 | no |
| PPL | 2023-04-24 | 25.56 | 0.3741 | 0.5299 | no |
| PRU | 2023-04-24 | 71.81 | 0.5007 | 0.4596 | no |
| PWR | 2023-04-24 | 166.10 | 0.3201 | 0.5279 | no |
| RHI | 2023-04-24 | 61.91 | 0.4156 | 0.4496 | no |
| SHW | 2023-04-24 | 227.25 | 0.2758 | 0.4968 | no |
| TAP | 2023-04-24 | 51.84 | 0.3032 | 0.4474 | no |
| TT | 2023-04-24 | 172.22 | 0.3251 | 0.4768 | no |
| UHS | 2023-04-24 | 137.74 | 0.6984 | 0.4893 | no |
| VICI | 2023-04-24 | 27.18 | 0.3284 | 0.4428 | no |
| VLO | 2023-04-24 | 107.33 | 0.2683 | 0.5367 | no |
| WDC | 2023-04-24 | 24.92 | 0.5727 | 0.5105 | no |
| WEC | 2023-04-24 | 85.73 | 0.2804 | 0.5021 | no |
| WTW | 2023-04-24 | 231.81 | 0.3039 | 0.5036 | no |
| XYL | 2023-04-24 | 99.66 | 0.3379 | 0.4711 | no |