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 | 5.20% | 8.06% | 2023-08-01 | -2.64% |
| buy & hold | participation factor overlay | 6 months | complete | 0.89% | 8.06% | 2023-08-01 | -11.96% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.47% | 11.29% | 2023-07-31 | -2.81% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.41% | 11.29% | 2023-07-31 | -13.50% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.01% | 4.92% | 2023-07-31 | -4.05% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.84% | 4.92% | 2023-07-31 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.41% | 4.86% | 2023-07-31 | -4.45% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -6.19% | 4.86% | 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 |
|---|---|---|---|---|---|
| ADBE | 2023-05-08 | 348.00 | 0.4026 | 0.4805 | no |
| ALL | 2023-05-08 | 107.25 | 0.2598 | 0.4863 | no |
| AMD | 2023-05-08 | 89.99 | 0.5185 | 0.5064 | no |
| ANET | 2023-05-08 | 34.53 | 0.3015 | 0.4474 | no |
| CHD | 2023-05-08 | 93.13 | 0.2355 | 0.4672 | no |
| CL | 2023-05-08 | 74.55 | 0.2983 | 0.4729 | no |
| CZR | 2023-05-08 | 44.88 | 0.3707 | 0.4875 | no |
| DHI | 2023-05-08 | 103.84 | 0.2298 | 0.4481 | no |
| FAST | 2023-05-08 | 25.21 | 0.4121 | 0.4673 | no |
| GOOG | 2023-05-08 | 104.80 | 0.2399 | — | no |
| IEX | 2023-05-08 | 202.19 | 0.2927 | 0.4787 | no |
| IFF | 2023-05-08 | 88.75 | 0.3235 | 0.4901 | no |
| INTC | 2023-05-08 | 30.09 | 0.4444 | 0.5139 | no |
| KHC | 2023-05-08 | 34.12 | 0.2508 | — | no |
| KLAC | 2023-05-08 | 37.49 | 0.3343 | 0.5208 | no |
| KMI | 2023-05-08 | 14.55 | 0.2684 | 0.4736 | no |
| KR | 2023-05-08 | 45.48 | 0.2712 | 0.5817 | no |
| LHX | 2023-05-08 | 175.74 | 0.2544 | 0.5509 | no |
| LIN | 2023-05-08 | 351.70 | 0.2725 | 0.4849 | no |
| LMT | 2023-05-08 | 415.82 | 0.2252 | 0.5487 | no |
| LNC | 2023-05-08 | 17.41 | 0.3820 | 0.4593 | no |
| LW | 2023-05-08 | 103.54 | 0.3436 | 0.4821 | no |
| MCD | 2023-05-08 | 273.42 | 0.2291 | 0.4804 | no |
| MCHP | 2023-05-08 | 69.02 | 0.2768 | 0.5013 | no |
| MCO | 2023-05-08 | 296.95 | 0.2469 | 0.4715 | no |
| MHK | 2023-05-08 | 100.38 | 0.2133 | 0.4371 | no |
| MKC | 2023-05-08 | 81.47 | 0.2195 | 0.4726 | no |
| MKTX | 2023-05-08 | 284.70 | 0.2260 | 0.4782 | no |
| MOS | 2023-05-08 | 35.84 | 0.3646 | 0.4861 | no |
| MPWR | 2023-05-08 | 396.30 | 0.2229 | 0.4828 | no |
| MS | 2023-05-08 | 77.26 | 0.4146 | 0.4298 | no |
| MSI | 2023-05-08 | 273.31 | 0.2166 | 0.4583 | no |
| MTD | 2023-05-08 | 1426.11 | 0.2753 | 0.4555 | no |
| NTAP | 2023-05-08 | 59.85 | 0.2242 | 0.4885 | no |
| PCG | 2023-05-08 | 16.93 | 0.3634 | 0.5131 | no |
| PNC | 2023-05-08 | 104.34 | 0.2802 | 0.4330 | no |
| PNW | 2023-05-08 | 69.93 | 0.3123 | 0.5635 | no |
| SJM | 2023-05-08 | 138.42 | 0.2315 | 0.4619 | no |
| SNPS | 2023-05-08 | 371.39 | 0.2124 | 0.5397 | no |
| SRE | 2023-05-08 | 69.84 | 0.2832 | 0.4861 | no |
| T | 2023-05-08 | 14.27 | 0.2678 | 0.4478 | no |
| TEL | 2023-05-08 | 117.61 | 0.3550 | — | no |
| TER | 2023-05-08 | 91.48 | 0.2842 | 0.4943 | no |
| TXT | 2023-05-08 | 66.43 | 0.3033 | 0.5575 | no |
| UHS | 2023-05-08 | 140.07 | 0.6481 | 0.4857 | no |
| ULTA | 2023-05-08 | 522.00 | 0.2820 | 0.4743 | no |
| UNH | 2023-05-08 | 458.39 | 0.2320 | 0.4907 | no |
| WY | 2023-05-08 | 26.78 | 0.2430 | 0.5064 | no |
| XEL | 2023-05-08 | 61.60 | 0.3568 | 0.5223 | no |
| XRAY | 2023-05-08 | 37.79 | 0.2195 | 0.5077 | no |