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 | 7.31% | 7.65% | 2023-07-31 | -3.68% |
| buy & hold | participation factor overlay | 6 months | complete | -4.34% | 7.65% | 2023-07-31 | -12.17% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.80% | 9.35% | 2023-07-31 | -3.86% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.68% | 9.35% | 2023-07-31 | -14.78% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.30% | 3.27% | 2023-07-25 | -5.64% |
| weekly rebalance | participation factor overlay | 6 months | complete | -10.80% | 3.27% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.02% | 2.66% | 2023-07-31 | -5.86% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -12.30% | 2.66% | 2023-07-31 | -15.41% |
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 |
|---|---|---|---|---|---|
| AES | 2023-05-01 | 20.21 | 0.4569 | — | no |
| AKAM | 2023-05-01 | 81.80 | 0.5560 | 0.4704 | no |
| AMAT | 2023-05-01 | 110.15 | 0.2586 | 0.5528 | no |
| APH | 2023-05-01 | 18.37 | 0.3489 | 0.4605 | no |
| BAX | 2023-05-01 | 44.38 | 0.3071 | 0.4847 | no |
| BRO | 2023-05-01 | 62.62 | 0.3018 | 0.5399 | no |
| CAH | 2023-05-01 | 78.04 | 0.2848 | 0.4640 | no |
| CDW | 2023-05-01 | 161.23 | 0.2739 | 0.4860 | no |
| CVS | 2023-05-01 | 65.09 | 0.3838 | 0.5406 | no |
| D | 2023-05-01 | 48.14 | 0.3105 | 0.5151 | no |
| EMR | 2023-05-01 | 78.25 | 0.4077 | 0.4805 | no |
| ETR | 2023-05-01 | 47.68 | 0.2493 | 0.5455 | no |
| EVRG | 2023-05-01 | 53.64 | 0.2454 | 0.5195 | no |
| FSLR | 2023-05-01 | 182.58 | 0.2569 | 0.4946 | no |
| GILD | 2023-05-01 | 73.59 | 0.2588 | 0.5615 | no |
| GS | 2023-05-01 | 316.73 | 0.4439 | 0.4369 | no |
| HON | 2023-05-01 | 183.83 | 0.2481 | 0.4799 | no |
| HPQ | 2023-05-01 | 25.93 | 0.2631 | 0.5090 | no |
| IEX | 2023-05-01 | 196.75 | 0.3027 | 0.4853 | no |
| IFF | 2023-05-01 | 88.98 | 0.6912 | 0.4909 | no |
| KMB | 2023-05-01 | 125.95 | 0.3099 | 0.4941 | no |
| KMI | 2023-05-01 | 14.50 | 0.3665 | 0.4802 | no |
| LIN | 2023-05-01 | 354.38 | 0.4566 | 0.4857 | no |
| LW | 2023-05-01 | 103.63 | 0.2947 | 0.4847 | no |
| MCHP | 2023-05-01 | 67.37 | 0.3600 | 0.5226 | no |
| MRK | 2023-05-01 | 104.26 | 0.3693 | 0.5227 | no |
| NDAQ | 2023-05-01 | 52.60 | 0.2415 | 0.5179 | no |
| NDSN | 2023-05-01 | 206.95 | 0.2374 | 0.4701 | no |
| NKE | 2023-05-01 | 117.60 | 0.2770 | 0.4597 | no |
| NSC | 2023-05-01 | 188.30 | 0.2654 | 0.4964 | no |
| NVDA | 2023-05-01 | 27.75 | 0.2892 | 0.4998 | no |
| NWS | 2023-05-01 | 17.22 | 0.2666 | — | no |
| NXPI | 2023-05-01 | 154.13 | 0.2866 | 0.5050 | no |
| OGN | 2023-05-01 | 21.43 | 0.4844 | 0.5343 | no |
| ON | 2023-05-01 | 74.89 | 0.3347 | 0.4824 | no |
| OTIS | 2023-05-01 | 80.45 | 0.3469 | 0.4777 | no |
| PFE | 2023-05-01 | 31.46 | 0.4274 | 0.6043 | no |
| PRU | 2023-05-01 | 72.58 | 0.4663 | 0.4566 | no |
| QRVO | 2023-05-01 | 91.90 | 0.2346 | — | no |
| SBUX | 2023-05-01 | 104.86 | 0.2421 | 0.4931 | no |
| SHW | 2023-05-01 | 229.82 | 0.3244 | 0.4884 | no |
| SWK | 2023-05-01 | 75.17 | 0.4653 | 0.4655 | no |
| TER | 2023-05-01 | 90.51 | 0.2992 | 0.5017 | no |
| TRMB | 2023-05-01 | 47.17 | 0.3374 | 0.5094 | no |
| TT | 2023-05-01 | 179.65 | 0.5534 | 0.4729 | no |
| TXT | 2023-05-01 | 66.65 | 0.3111 | 0.5602 | no |
| UHS | 2023-05-01 | 148.03 | 0.6655 | 0.5141 | no |
| ULTA | 2023-05-01 | 551.72 | 0.2912 | 0.4890 | no |
| WMB | 2023-05-01 | 26.09 | 0.2380 | 0.4922 | no |
| WY | 2023-05-01 | 27.07 | 0.2938 | 0.5093 | no |