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% | 8.20% | 2023-07-25 | -3.11% |
| buy & hold | participation factor overlay | 6 months | complete | -0.22% | 8.20% | 2023-07-25 | -12.52% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.67% | 10.31% | 2023-07-31 | -3.30% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.22% | 10.31% | 2023-07-31 | -14.86% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.16% | 5.37% | 2023-07-31 | -3.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | -7.17% | 5.37% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.76% | 6.05% | 2023-07-31 | -3.74% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -5.44% | 6.05% | 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 |
|---|---|---|---|---|---|
| AEP | 2023-05-08 | 81.03 | 0.2248 | 0.5373 | no |
| AMD | 2023-05-08 | 89.99 | 0.5618 | 0.5064 | no |
| ANET | 2023-05-08 | 34.53 | 0.3661 | 0.4474 | no |
| BAX | 2023-05-08 | 43.36 | 0.3181 | 0.4848 | no |
| CAH | 2023-05-08 | 79.19 | 0.2996 | 0.4461 | no |
| CL | 2023-05-08 | 74.55 | 0.3232 | 0.4729 | no |
| CNP | 2023-05-08 | 27.88 | 0.3403 | 0.4677 | no |
| COO | 2023-05-08 | 96.10 | 0.3129 | 0.5093 | no |
| CRL | 2023-05-08 | 191.96 | 0.3096 | 0.4978 | no |
| CZR | 2023-05-08 | 44.88 | 0.4239 | 0.4875 | no |
| D | 2023-05-08 | 47.78 | 0.2629 | 0.4799 | no |
| ES | 2023-05-08 | 66.61 | 0.2874 | 0.5167 | no |
| FOX | 2023-05-08 | 28.15 | 0.3083 | — | no |
| GOOG | 2023-05-08 | 104.80 | 0.2366 | — | no |
| GOOGL | 2023-05-08 | 104.19 | 0.2239 | 0.4448 | no |
| GWW | 2023-05-08 | 656.54 | 0.2560 | 0.4872 | no |
| HAL | 2023-05-08 | 28.31 | 0.3730 | 0.5191 | no |
| IEX | 2023-05-08 | 202.19 | 0.4380 | 0.4787 | no |
| IFF | 2023-05-08 | 88.75 | 0.4421 | 0.4901 | no |
| INTC | 2023-05-08 | 30.09 | 0.2742 | 0.5139 | no |
| JCI | 2023-05-08 | 59.70 | 0.2565 | 0.4740 | no |
| KLAC | 2023-05-08 | 37.49 | 0.2784 | 0.5208 | no |
| KMI | 2023-05-08 | 14.55 | 0.2317 | 0.4736 | no |
| KR | 2023-05-08 | 45.48 | 0.3934 | 0.5817 | no |
| LHX | 2023-05-08 | 175.74 | 0.3633 | 0.5509 | no |
| LIN | 2023-05-08 | 351.70 | 0.3377 | 0.4849 | no |
| LNC | 2023-05-08 | 17.41 | 0.2729 | 0.4593 | no |
| LW | 2023-05-08 | 103.54 | 0.2850 | 0.4821 | no |
| MCHP | 2023-05-08 | 69.02 | 0.3206 | 0.5013 | no |
| MCO | 2023-05-08 | 296.95 | 0.3392 | 0.4715 | no |
| MKTX | 2023-05-08 | 284.70 | 0.2966 | 0.4782 | no |
| MMM | 2023-05-08 | 77.39 | 0.3021 | 0.4826 | no |
| MOS | 2023-05-08 | 35.84 | 0.3648 | 0.4861 | no |
| MS | 2023-05-08 | 77.26 | 0.2363 | 0.4298 | no |
| PNC | 2023-05-08 | 104.34 | 0.3153 | 0.4330 | no |
| PNW | 2023-05-08 | 69.93 | 0.3107 | 0.5635 | no |
| ROK | 2023-05-08 | 268.96 | 0.2339 | 0.4740 | no |
| SNPS | 2023-05-08 | 371.39 | 0.2418 | 0.5397 | no |
| SRE | 2023-05-08 | 69.84 | 0.2324 | 0.4861 | no |
| SWK | 2023-05-08 | 74.33 | 0.2367 | 0.4606 | no |
| SYK | 2023-05-08 | 274.35 | 0.3304 | 0.5042 | no |
| T | 2023-05-08 | 14.27 | 0.2897 | 0.4478 | no |
| TER | 2023-05-08 | 91.48 | 0.3644 | 0.4943 | no |
| TXN | 2023-05-08 | 151.12 | 0.2375 | 0.4731 | no |
| TXT | 2023-05-08 | 66.43 | 0.3809 | 0.5575 | no |
| UHS | 2023-05-08 | 140.07 | 0.7123 | 0.4857 | no |
| UNH | 2023-05-08 | 458.39 | 0.2528 | 0.4907 | no |
| WY | 2023-05-08 | 26.78 | 0.2448 | 0.5064 | no |
| XEL | 2023-05-08 | 61.60 | 0.2598 | 0.5223 | no |
| ZBH | 2023-05-08 | 133.22 | 0.2575 | 0.4928 | no |