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 | 5.14% | 5.34% | 2023-07-31 | -4.79% |
| buy & hold | participation factor overlay | 6 months | complete | -4.75% | 5.34% | 2023-07-31 | -10.65% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.60% | 7.90% | 2023-07-19 | -3.67% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.06% | 7.90% | 2023-07-19 | -13.70% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.00% | 3.87% | 2023-07-31 | -5.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | -9.13% | 3.87% | 2023-07-31 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.31% | 3.41% | 2023-07-31 | -5.77% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -10.12% | 3.41% | 2023-07-31 | -15.21% |
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 | 0.2881 | 0.4296 | no |
| AES | 2023-05-01 | 20.21 | 0.2628 | — | no |
| AJG | 2023-05-01 | 200.88 | 0.2146 | 0.5289 | no |
| AKAM | 2023-05-01 | 81.80 | 0.4220 | 0.4704 | no |
| AMGN | 2023-05-01 | 215.60 | 0.2322 | 0.6294 | no |
| BBWI | 2023-05-01 | 31.93 | 0.2734 | 0.4494 | no |
| BRK.B | 2023-05-01 | 329.16 | 0.2046 | — | no |
| CAH | 2023-05-01 | 78.04 | 0.2697 | 0.4640 | no |
| CEG | 2023-05-01 | 75.57 | 0.2687 | 0.5081 | no |
| CME | 2023-05-01 | 161.64 | 0.2363 | 0.4653 | no |
| CVS | 2023-05-01 | 65.09 | 0.4064 | 0.5406 | no |
| D | 2023-05-01 | 48.14 | 0.3555 | 0.5151 | no |
| EMR | 2023-05-01 | 78.25 | 0.2514 | 0.4805 | no |
| EVRG | 2023-05-01 | 53.64 | 0.2475 | 0.5195 | no |
| EXC | 2023-05-01 | 37.25 | 0.2103 | 0.5132 | no |
| FSLR | 2023-05-01 | 182.58 | 0.2787 | 0.4946 | no |
| GILD | 2023-05-01 | 73.59 | 0.2812 | 0.5615 | no |
| GS | 2023-05-01 | 316.73 | 0.5005 | 0.4369 | no |
| IEX | 2023-05-01 | 196.75 | 0.2187 | 0.4853 | no |
| IFF | 2023-05-01 | 88.98 | 0.7155 | 0.4909 | no |
| JBHT | 2023-05-01 | 169.51 | 0.2206 | 0.5088 | no |
| KMB | 2023-05-01 | 125.95 | 0.1967 | 0.4941 | no |
| KMI | 2023-05-01 | 14.50 | 0.2240 | 0.4802 | no |
| KO | 2023-05-01 | 57.94 | 0.2790 | 0.4783 | no |
| LIN | 2023-05-01 | 354.38 | 0.4319 | 0.4857 | no |
| LNC | 2023-05-01 | 18.05 | 0.2480 | 0.4641 | no |
| LW | 2023-05-01 | 103.63 | 0.3893 | 0.4847 | no |
| MCHP | 2023-05-01 | 67.37 | 0.2492 | 0.5226 | no |
| NDSN | 2023-05-01 | 206.95 | 0.3544 | 0.4701 | no |
| NKE | 2023-05-01 | 117.60 | 0.3223 | 0.4597 | no |
| NSC | 2023-05-01 | 188.30 | 0.4317 | 0.4964 | no |
| NTAP | 2023-05-01 | 58.89 | 0.2488 | 0.4947 | no |
| NWS | 2023-05-01 | 17.22 | 0.4458 | — | no |
| OGN | 2023-05-01 | 21.43 | 0.2466 | 0.5343 | no |
| ON | 2023-05-01 | 74.89 | 0.2366 | 0.4824 | no |
| PFE | 2023-05-01 | 31.46 | 0.3611 | 0.6043 | no |
| PRU | 2023-05-01 | 72.58 | 0.2209 | 0.4566 | no |
| PWR | 2023-05-01 | 169.08 | 0.2280 | 0.5169 | no |
| RHI | 2023-05-01 | 61.59 | 0.2709 | 0.4766 | no |
| SBAC | 2023-05-01 | 240.84 | 0.2556 | 0.4472 | no |
| SBUX | 2023-05-01 | 104.86 | 0.2139 | 0.4931 | no |
| SWK | 2023-05-01 | 75.17 | 0.4938 | 0.4655 | no |
| TGT | 2023-05-01 | 139.13 | 0.1953 | 0.5526 | no |
| TRMB | 2023-05-01 | 47.17 | 0.2660 | 0.5094 | no |
| TT | 2023-05-01 | 179.65 | 0.4284 | 0.4729 | no |
| TXN | 2023-05-01 | 152.12 | 0.3307 | 0.4807 | no |
| TXT | 2023-05-01 | 66.65 | 0.2332 | 0.5602 | no |
| UHS | 2023-05-01 | 148.03 | 0.6444 | 0.5141 | no |
| WEC | 2023-05-01 | 84.85 | 0.3174 | 0.5018 | no |
| WY | 2023-05-01 | 27.07 | 0.4048 | 0.5093 | no |