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 | 6.00% | 6.33% | 2023-07-31 | -3.28% |
| buy & hold | participation factor overlay | 6 months | complete | -5.55% | 6.33% | 2023-07-31 | -12.39% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.37% | 8.18% | 2023-07-25 | -3.41% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.78% | 8.18% | 2023-07-25 | -14.23% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.71% | 2.24% | 2023-07-31 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | -9.34% | 2.24% | 2023-07-31 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.56% | 1.30% | 2023-07-19 | -6.10% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -11.75% | 1.30% | 2023-07-19 | -14.67% |
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 | 0.2539 | 0.4296 | no |
| AES | 2023-05-01 | 20.21 | 0.4145 | — | no |
| AKAM | 2023-05-01 | 81.80 | 0.3459 | 0.4704 | no |
| AMAT | 2023-05-01 | 110.15 | 0.2485 | 0.5528 | no |
| AMD | 2023-05-01 | 91.03 | 0.2970 | 0.4919 | no |
| BRO | 2023-05-01 | 62.62 | 0.2782 | 0.5399 | no |
| CAH | 2023-05-01 | 78.04 | 0.3233 | 0.4640 | no |
| CLX | 2023-05-01 | 146.73 | 0.2379 | 0.4595 | no |
| COO | 2023-05-01 | 95.06 | 0.2615 | 0.5098 | no |
| CVS | 2023-05-01 | 65.09 | 0.2366 | 0.5406 | no |
| DTE | 2023-05-01 | 100.22 | 0.2291 | 0.5301 | no |
| ELV | 2023-05-01 | 442.99 | 0.2463 | 0.4900 | no |
| EVRG | 2023-05-01 | 53.64 | 0.2538 | 0.5195 | no |
| EXC | 2023-05-01 | 37.25 | 0.2407 | 0.5132 | no |
| FSLR | 2023-05-01 | 182.58 | 0.2660 | 0.4946 | no |
| GILD | 2023-05-01 | 73.59 | 0.3530 | 0.5615 | no |
| GS | 2023-05-01 | 316.73 | 0.2365 | 0.4369 | no |
| HLT | 2023-05-01 | 142.12 | 0.2738 | 0.4298 | no |
| IFF | 2023-05-01 | 88.98 | 0.5890 | 0.4909 | no |
| IQV | 2023-05-01 | 188.75 | 0.2397 | 0.4930 | no |
| JBHT | 2023-05-01 | 169.51 | 0.3418 | 0.5088 | no |
| KMB | 2023-05-01 | 125.95 | 0.2422 | 0.4941 | no |
| KO | 2023-05-01 | 57.94 | 0.2895 | 0.4783 | no |
| LIN | 2023-05-01 | 354.38 | 0.3970 | 0.4857 | no |
| LW | 2023-05-01 | 103.63 | 0.2598 | 0.4847 | no |
| MCHP | 2023-05-01 | 67.37 | 0.2851 | 0.5226 | no |
| MRK | 2023-05-01 | 104.26 | 0.2717 | 0.5227 | no |
| NI | 2023-05-01 | 25.67 | 0.2937 | 0.5611 | no |
| NKE | 2023-05-01 | 117.60 | 0.3654 | 0.4597 | no |
| NWS | 2023-05-01 | 17.22 | 0.2289 | — | no |
| NXPI | 2023-05-01 | 154.13 | 0.2673 | 0.5050 | no |
| OGN | 2023-05-01 | 21.43 | 0.4205 | 0.5343 | no |
| ON | 2023-05-01 | 74.89 | 0.3672 | 0.4824 | no |
| PCG | 2023-05-01 | 16.91 | 0.2585 | 0.5654 | no |
| PFE | 2023-05-01 | 31.46 | 0.3909 | 0.6043 | no |
| PPG | 2023-05-01 | 129.47 | 0.2543 | 0.4812 | no |
| PRU | 2023-05-01 | 72.58 | 0.4153 | 0.4566 | no |
| PWR | 2023-05-01 | 169.08 | 0.2717 | 0.5169 | no |
| QRVO | 2023-05-01 | 91.90 | 0.2850 | — | no |
| ROK | 2023-05-01 | 268.14 | 0.2692 | 0.4750 | no |
| SBAC | 2023-05-01 | 240.84 | 0.5510 | 0.4472 | no |
| SNPS | 2023-05-01 | 370.76 | 0.2768 | 0.5461 | no |
| SWK | 2023-05-01 | 75.17 | 0.3708 | 0.4655 | no |
| TRMB | 2023-05-01 | 47.17 | 0.3130 | 0.5094 | no |
| TT | 2023-05-01 | 179.65 | 0.4508 | 0.4729 | no |
| TXN | 2023-05-01 | 152.12 | 0.3232 | 0.4807 | no |
| TXT | 2023-05-01 | 66.65 | 0.2512 | 0.5602 | no |
| UHS | 2023-05-01 | 148.03 | 0.7081 | 0.5141 | no |
| WEC | 2023-05-01 | 84.85 | 0.3869 | 0.5018 | no |
| WY | 2023-05-01 | 27.07 | 0.4645 | 0.5093 | no |