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 | 5.57% | 5.57% | 2023-07-24 | -4.42% |
| buy & hold | participation factor overlay | 6 months | complete | -3.51% | 6.20% | 2023-07-25 | -9.55% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.19% | 10.19% | 2023-07-24 | -3.89% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.64% | 10.38% | 2023-07-31 | -12.14% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.94% | 3.18% | 2023-07-13 | -5.64% |
| weekly rebalance | participation factor overlay | 6 months | complete | -10.06% | 3.28% | 2023-07-25 | -13.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.84% | 3.08% | 2023-07-19 | -5.98% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -10.58% | 3.24% | 2023-07-31 | -13.97% |
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 | 0.2905 | 0.4412 | no |
| ADM | 2023-04-24 | 72.28 | 0.3170 | 0.4843 | no |
| AKAM | 2023-04-24 | 80.91 | 0.8291 | 0.4780 | no |
| ALL | 2023-04-24 | 107.18 | 0.4558 | 0.4850 | no |
| BAX | 2023-04-24 | 42.43 | 0.5998 | 0.4796 | no |
| BEN | 2023-04-24 | 22.59 | 0.2786 | 0.4466 | no |
| BMY | 2023-04-24 | 60.54 | 0.4197 | 0.6490 | no |
| CARR | 2023-04-24 | 43.19 | 0.3221 | 0.4699 | no |
| CNC | 2023-04-24 | 66.22 | 0.4061 | 0.4805 | no |
| CRM | 2023-04-24 | 194.73 | 0.3347 | 0.4673 | no |
| CVS | 2023-04-24 | 64.75 | 0.3680 | 0.5434 | no |
| CZR | 2023-04-24 | 43.95 | 0.3289 | 0.5135 | no |
| DGX | 2023-04-24 | 136.59 | 0.2850 | 0.4819 | no |
| ECL | 2023-04-24 | 160.91 | 0.3105 | 0.5061 | no |
| EXPD | 2023-04-24 | 106.38 | 0.3482 | — | no |
| FFIV | 2023-04-24 | 133.97 | 0.2986 | 0.4706 | no |
| GIS | 2023-04-24 | 75.63 | 0.4123 | 0.5142 | no |
| GNRC | 2023-04-24 | 102.31 | 0.8033 | 0.4807 | no |
| GRMN | 2023-04-24 | 91.77 | 0.2849 | 0.4642 | no |
| HUM | 2023-04-24 | 473.27 | 0.3618 | 0.4680 | no |
| IFF | 2023-04-24 | 88.78 | 1.0000 | 0.4997 | no |
| LHX | 2023-04-24 | 188.36 | 0.2845 | 0.5709 | no |
| LIN | 2023-04-24 | 351.10 | 0.4248 | 0.4955 | no |
| MCK | 2023-04-24 | 354.17 | 0.2845 | 0.4737 | no |
| MKTX | 2023-04-24 | 310.66 | 0.3078 | 0.4940 | no |
| MOS | 2023-04-24 | 39.57 | 0.3966 | 0.4911 | no |
| MRK | 2023-04-24 | 104.12 | 0.2929 | 0.6072 | no |
| MSI | 2023-04-24 | 281.96 | 0.2788 | 0.5063 | no |
| NDAQ | 2023-04-24 | 54.36 | 0.4350 | 0.5188 | no |
| NWL | 2023-04-24 | 10.42 | 0.2740 | 0.4687 | no |
| NWS | 2023-04-24 | 16.97 | 0.4892 | — | no |
| NWSA | 2023-04-24 | 16.83 | 0.3714 | 0.4407 | no |
| NXPI | 2023-04-24 | 159.38 | 0.3344 | 0.5038 | no |
| PEG | 2023-04-24 | 56.93 | 0.2922 | 0.5293 | no |
| PFE | 2023-04-24 | 32.42 | 0.4100 | 0.6095 | no |
| PFG | 2023-04-24 | 66.48 | 0.5155 | 0.4600 | no |
| PKG | 2023-04-24 | 130.74 | 0.3266 | 0.4971 | no |
| POOL | 2023-04-24 | 321.92 | 0.2771 | 0.4374 | no |
| PPL | 2023-04-24 | 25.56 | 0.3540 | 0.5299 | no |
| PRU | 2023-04-24 | 71.81 | 0.5800 | 0.4596 | no |
| RHI | 2023-04-24 | 61.91 | 0.3496 | 0.4496 | no |
| SHW | 2023-04-24 | 227.25 | 0.3157 | 0.4968 | no |
| STX | 2023-04-24 | 52.07 | 0.2836 | 0.5162 | no |
| STZ | 2023-04-24 | 210.91 | 0.3650 | 0.4760 | no |
| TT | 2023-04-24 | 172.22 | 0.3201 | 0.4768 | no |
| UHS | 2023-04-24 | 137.74 | 0.4890 | 0.4893 | no |
| VICI | 2023-04-24 | 27.18 | 0.3942 | 0.4428 | no |
| WDC | 2023-04-24 | 24.92 | 0.5646 | 0.5105 | no |
| WY | 2023-04-24 | 27.75 | 0.2801 | 0.5090 | no |
| XYL | 2023-04-24 | 99.66 | 0.2755 | 0.4711 | no |