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 | 7.65% | 7.65% | 2023-07-24 | -3.09% |
| buy & hold | participation factor overlay | 6 months | complete | -1.41% | 8.02% | 2023-07-25 | -9.37% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.05% | 11.05% | 2023-07-24 | -4.43% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -2.19% | 11.05% | 2023-07-24 | -12.70% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.15% | 2.30% | 2023-07-13 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | -9.99% | 2.65% | 2023-07-31 | -12.95% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.09% | 2.45% | 2023-07-19 | -6.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -10.87% | 2.45% | 2023-07-19 | -13.82% |
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 |
|---|---|---|---|---|---|
| AEP | 2023-04-24 | 82.47 | 0.3094 | 0.5025 | no |
| AKAM | 2023-04-24 | 80.91 | 0.6921 | 0.4780 | no |
| ALL | 2023-04-24 | 107.18 | 0.5205 | 0.4850 | no |
| ALLE | 2023-04-24 | 98.76 | 0.3657 | 0.4664 | no |
| ANET | 2023-04-24 | 38.97 | 0.3204 | 0.4882 | no |
| BAX | 2023-04-24 | 42.43 | 0.5787 | 0.4796 | no |
| CAH | 2023-04-24 | 75.96 | 0.2762 | 0.4694 | no |
| CARR | 2023-04-24 | 43.19 | 0.2825 | 0.4699 | no |
| CNC | 2023-04-24 | 66.22 | 0.4034 | 0.4805 | no |
| CPRT | 2023-04-24 | 39.10 | 0.3255 | 0.4749 | no |
| CRM | 2023-04-24 | 194.73 | 0.2835 | 0.4673 | no |
| CZR | 2023-04-24 | 43.95 | 0.4826 | 0.5135 | no |
| DUK | 2023-04-24 | 86.21 | 0.2802 | 0.5304 | no |
| EXPD | 2023-04-24 | 106.38 | 0.3285 | — | no |
| FDX | 2023-04-24 | 173.44 | 0.2945 | 0.4798 | no |
| GIS | 2023-04-24 | 75.63 | 0.5075 | 0.5142 | no |
| GNRC | 2023-04-24 | 102.31 | 0.6046 | 0.4807 | no |
| GS | 2023-04-24 | 314.83 | 0.3178 | 0.4369 | no |
| HII | 2023-04-24 | 193.88 | 0.3316 | 0.5702 | no |
| HPE | 2023-04-24 | 13.21 | 0.3523 | 0.4789 | no |
| IFF | 2023-04-24 | 88.78 | 0.9126 | 0.4997 | no |
| INCY | 2023-04-24 | 74.56 | 0.3778 | 0.5631 | no |
| LH | 2023-04-24 | 192.57 | 0.3595 | 0.4970 | no |
| LIN | 2023-04-24 | 351.10 | 0.2965 | 0.4955 | no |
| MAR | 2023-04-24 | 168.99 | 0.2927 | 0.4426 | no |
| MCD | 2023-04-24 | 269.49 | 0.2947 | 0.4919 | no |
| MKTX | 2023-04-24 | 310.66 | 0.4124 | 0.4940 | no |
| MMM | 2023-04-24 | 78.50 | 0.3182 | 0.4911 | no |
| MOS | 2023-04-24 | 39.57 | 0.4136 | 0.4911 | no |
| NDAQ | 2023-04-24 | 54.36 | 0.4391 | 0.5188 | no |
| NI | 2023-04-24 | 25.73 | 0.3688 | 0.5622 | no |
| NSC | 2023-04-24 | 195.87 | 0.2958 | 0.4952 | no |
| NWS | 2023-04-24 | 16.97 | 0.3152 | — | no |
| NWSA | 2023-04-24 | 16.83 | 0.5304 | 0.4407 | no |
| OTIS | 2023-04-24 | 77.58 | 0.3471 | 0.4855 | no |
| PCG | 2023-04-24 | 16.58 | 0.3684 | 0.5682 | no |
| PFE | 2023-04-24 | 32.42 | 0.3839 | 0.6095 | no |
| PFG | 2023-04-24 | 66.48 | 0.4290 | 0.4600 | no |
| PRU | 2023-04-24 | 71.81 | 0.3592 | 0.4596 | no |
| SHW | 2023-04-24 | 227.25 | 0.3263 | 0.4968 | no |
| SNA | 2023-04-24 | 239.24 | 0.3667 | 0.4954 | no |
| SNPS | 2023-04-24 | 375.68 | 0.2777 | 0.5533 | no |
| STX | 2023-04-24 | 52.07 | 0.3298 | 0.5162 | no |
| STZ | 2023-04-24 | 210.91 | 0.2714 | 0.4760 | no |
| SYY | 2023-04-24 | 68.96 | 0.3069 | 0.5740 | no |
| TAP | 2023-04-24 | 51.84 | 0.3269 | 0.4474 | no |
| TT | 2023-04-24 | 172.22 | 0.3057 | 0.4768 | no |
| UHS | 2023-04-24 | 137.74 | 0.8213 | 0.4893 | no |
| WDC | 2023-04-24 | 24.92 | 0.5405 | 0.5105 | no |
| XYL | 2023-04-24 | 99.66 | 0.3094 | 0.4711 | no |