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 | 2.30% | 6.10% | 2023-07-25 | -3.58% |
| buy & hold | participation factor overlay | 6 months | complete | -3.94% | 6.10% | 2023-07-25 | -13.91% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.43% | 6.81% | 2023-07-24 | -4.10% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.98% | 6.81% | 2023-07-24 | -16.39% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.23% | 3.94% | 2023-07-25 | -4.90% |
| weekly rebalance | participation factor overlay | 6 months | complete | -8.18% | 3.94% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.23% | 3.83% | 2023-07-31 | -4.92% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -8.61% | 3.83% | 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 | 2023-05-08 | 19.71 | 0.3454 | — | no |
| AMD | 2023-05-08 | 89.99 | 0.4987 | 0.5064 | no |
| ANET | 2023-05-08 | 34.53 | 0.2901 | 0.4474 | no |
| CAH | 2023-05-08 | 79.19 | 0.3359 | 0.4461 | no |
| CHD | 2023-05-08 | 93.13 | 0.2174 | 0.4672 | no |
| CL | 2023-05-08 | 74.55 | 0.2533 | 0.4729 | no |
| CLX | 2023-05-08 | 149.32 | 0.3105 | 0.4561 | no |
| CME | 2023-05-08 | 160.73 | 0.2181 | 0.4652 | no |
| CNC | 2023-05-08 | 68.19 | 0.2248 | 0.5036 | no |
| COO | 2023-05-08 | 96.10 | 0.2421 | 0.5093 | no |
| DRI | 2023-05-08 | 137.50 | 0.2462 | 0.4474 | no |
| EIX | 2023-05-08 | 62.49 | 0.2630 | 0.5496 | no |
| EL | 2023-05-08 | 194.43 | 0.2497 | 0.4835 | no |
| ENPH | 2023-05-08 | 161.70 | 0.3006 | 0.4558 | no |
| FAST | 2023-05-08 | 25.21 | 0.2669 | 0.4673 | no |
| FE | 2023-05-08 | 34.59 | 0.2493 | 0.5272 | no |
| HCA | 2023-05-08 | 269.57 | 0.2307 | 0.4838 | no |
| HON | 2023-05-08 | 183.60 | 0.2603 | 0.4791 | no |
| HRL | 2023-05-08 | 35.87 | 0.2234 | 0.4786 | no |
| IEX | 2023-05-08 | 202.19 | 0.3239 | 0.4787 | no |
| IFF | 2023-05-08 | 88.75 | 0.3719 | 0.4901 | no |
| INTC | 2023-05-08 | 30.09 | 0.6226 | 0.5139 | no |
| JCI | 2023-05-08 | 59.70 | 0.2585 | 0.4740 | no |
| KLAC | 2023-05-08 | 37.49 | 0.2382 | 0.5208 | no |
| KR | 2023-05-08 | 45.48 | 0.3532 | 0.5817 | no |
| LHX | 2023-05-08 | 175.74 | 0.3703 | 0.5509 | no |
| LIN | 2023-05-08 | 351.70 | 0.2525 | 0.4849 | no |
| LNC | 2023-05-08 | 17.41 | 0.4372 | 0.4593 | no |
| LW | 2023-05-08 | 103.54 | 0.4856 | 0.4821 | no |
| MCHP | 2023-05-08 | 69.02 | 0.3376 | 0.5013 | no |
| MMM | 2023-05-08 | 77.39 | 0.3297 | 0.4826 | no |
| MOS | 2023-05-08 | 35.84 | 0.4746 | 0.4861 | no |
| MPWR | 2023-05-08 | 396.30 | 0.2220 | 0.4828 | no |
| MS | 2023-05-08 | 77.26 | 0.2385 | 0.4298 | no |
| MSI | 2023-05-08 | 273.31 | 0.2430 | 0.4583 | no |
| MTD | 2023-05-08 | 1426.11 | 0.3057 | 0.4555 | no |
| NTAP | 2023-05-08 | 59.85 | 0.2277 | 0.4885 | no |
| PCG | 2023-05-08 | 16.93 | 0.2693 | 0.5131 | no |
| PNC | 2023-05-08 | 104.34 | 0.2762 | 0.4330 | no |
| ROK | 2023-05-08 | 268.96 | 0.3153 | 0.4740 | no |
| SRE | 2023-05-08 | 69.84 | 0.2301 | 0.4861 | no |
| SYK | 2023-05-08 | 274.35 | 0.3033 | 0.5042 | no |
| SYY | 2023-05-08 | 70.41 | 0.2586 | 0.5053 | no |
| T | 2023-05-08 | 14.27 | 0.3783 | 0.4478 | no |
| TEL | 2023-05-08 | 117.61 | 0.2279 | — | no |
| TRMB | 2023-05-08 | 48.06 | 0.2140 | 0.5020 | no |
| UHS | 2023-05-08 | 140.07 | 0.6911 | 0.4857 | no |
| WY | 2023-05-08 | 26.78 | 0.2370 | 0.5064 | no |
| XEL | 2023-05-08 | 61.60 | 0.2643 | 0.5223 | no |
| ZBH | 2023-05-08 | 133.22 | 0.3034 | 0.4928 | no |