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 | 4.83% | 5.65% | 2023-07-25 | -4.17% |
| buy & hold | participation factor overlay | 6 months | complete | -4.88% | 5.65% | 2023-07-25 | -11.00% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.34% | 7.55% | 2023-07-24 | -4.23% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.57% | 7.55% | 2023-07-24 | -13.43% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.69% | 4.55% | 2023-07-31 | -4.18% |
| weekly rebalance | participation factor overlay | 6 months | complete | -10.52% | 4.55% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.94% | 4.96% | 2023-07-31 | -4.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -9.20% | 4.96% | 2023-07-31 | -14.79% |
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 | 2023-05-01 | 132.70 | 0.3266 | 0.4296 | no |
| AKAM | 2023-05-01 | 81.80 | 0.3679 | 0.4704 | no |
| ALL | 2023-05-01 | 106.90 | 0.2840 | 0.4779 | no |
| AVGO | 2023-05-01 | 60.11 | 0.2360 | 0.5197 | no |
| BAX | 2023-05-01 | 44.38 | 0.3634 | 0.4847 | no |
| BBY | 2023-05-01 | 62.93 | 0.2276 | 0.6620 | no |
| CDW | 2023-05-01 | 161.23 | 0.2873 | 0.4860 | no |
| CLX | 2023-05-01 | 146.73 | 0.2430 | 0.4595 | no |
| CNP | 2023-05-01 | 27.77 | 0.2347 | 0.4673 | no |
| COO | 2023-05-01 | 95.06 | 0.2704 | 0.5098 | no |
| CSX | 2023-05-01 | 29.18 | 0.2478 | 0.5140 | no |
| CVS | 2023-05-01 | 65.09 | 0.3491 | 0.5406 | no |
| D | 2023-05-01 | 48.14 | 0.3960 | 0.5151 | no |
| ELV | 2023-05-01 | 442.99 | 0.2673 | 0.4900 | no |
| EMR | 2023-05-01 | 78.25 | 0.2738 | 0.4805 | no |
| EXC | 2023-05-01 | 37.25 | 0.2294 | 0.5132 | no |
| FOX | 2023-05-01 | 29.07 | 0.2299 | — | no |
| GILD | 2023-05-01 | 73.59 | 0.2508 | 0.5615 | no |
| GS | 2023-05-01 | 316.73 | 0.3619 | 0.4369 | no |
| HAL | 2023-05-01 | 29.82 | 0.3927 | 0.5278 | no |
| HPQ | 2023-05-01 | 25.93 | 0.2519 | 0.5090 | no |
| IEX | 2023-05-01 | 196.75 | 0.3262 | 0.4853 | no |
| IFF | 2023-05-01 | 88.98 | 0.5496 | 0.4909 | no |
| INTC | 2023-05-01 | 30.36 | 0.2892 | 0.5243 | no |
| KMI | 2023-05-01 | 14.50 | 0.2447 | 0.4802 | no |
| KO | 2023-05-01 | 57.94 | 0.2610 | 0.4783 | no |
| KR | 2023-05-01 | 45.20 | 0.3942 | 0.5839 | no |
| LIN | 2023-05-01 | 354.38 | 0.3974 | 0.4857 | no |
| LW | 2023-05-01 | 103.63 | 0.3072 | 0.4847 | no |
| MCHP | 2023-05-01 | 67.37 | 0.2453 | 0.5226 | no |
| MRK | 2023-05-01 | 104.26 | 0.2328 | 0.5227 | no |
| MSFT | 2023-05-01 | 298.66 | 0.2289 | 0.4606 | no |
| NKE | 2023-05-01 | 117.60 | 0.3109 | 0.4597 | no |
| NSC | 2023-05-01 | 188.30 | 0.3415 | 0.4964 | no |
| NTAP | 2023-05-01 | 58.89 | 0.2447 | 0.4947 | no |
| OGN | 2023-05-01 | 21.43 | 0.3249 | 0.5343 | no |
| ON | 2023-05-01 | 74.89 | 0.3566 | 0.4824 | no |
| OTIS | 2023-05-01 | 80.45 | 0.3441 | 0.4777 | no |
| PFE | 2023-05-01 | 31.46 | 0.3896 | 0.6043 | no |
| PRU | 2023-05-01 | 72.58 | 0.3329 | 0.4566 | no |
| PWR | 2023-05-01 | 169.08 | 0.2433 | 0.5169 | no |
| RHI | 2023-05-01 | 61.59 | 0.3514 | 0.4766 | no |
| SBAC | 2023-05-01 | 240.84 | 0.2366 | 0.4472 | no |
| TRMB | 2023-05-01 | 47.17 | 0.3584 | 0.5094 | no |
| TT | 2023-05-01 | 179.65 | 0.3597 | 0.4729 | no |
| TXN | 2023-05-01 | 152.12 | 0.2688 | 0.4807 | no |
| UHS | 2023-05-01 | 148.03 | 0.5775 | 0.5141 | no |
| WEC | 2023-05-01 | 84.85 | 0.3111 | 0.5018 | no |
| WM | 2023-05-01 | 156.99 | 0.2890 | 0.5023 | no |
| WY | 2023-05-01 | 27.07 | 0.4508 | 0.5093 | no |