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 | 3.84% | 6.51% | 2023-07-25 | -2.76% |
| buy & hold | participation factor overlay | 6 months | complete | 1.30% | 6.51% | 2023-07-25 | -10.00% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.62% | 7.82% | 2023-07-21 | -2.97% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.39% | 7.82% | 2023-07-21 | -11.55% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.63% | 2.96% | 2023-07-31 | -4.45% |
| weekly rebalance | participation factor overlay | 6 months | complete | -6.65% | 2.96% | 2023-07-31 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.52% | 2.46% | 2023-07-19 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -8.35% | 2.46% | 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 |
|---|---|---|---|---|---|
| ADBE | 2023-05-08 | 348.00 | 0.3692 | 0.4805 | no |
| AES | 2023-05-08 | 19.71 | 0.2846 | — | no |
| ALL | 2023-05-08 | 107.25 | 0.2083 | 0.4863 | no |
| AMD | 2023-05-08 | 89.99 | 0.7459 | 0.5064 | no |
| AMGN | 2023-05-08 | 211.39 | 0.2265 | 0.6251 | no |
| ANET | 2023-05-08 | 34.53 | 0.2801 | 0.4474 | no |
| BMY | 2023-05-08 | 58.60 | 0.2488 | 0.6191 | no |
| CAH | 2023-05-08 | 79.19 | 0.2977 | 0.4461 | no |
| CI | 2023-05-08 | 242.20 | 0.2113 | 0.4774 | no |
| CME | 2023-05-08 | 160.73 | 0.3042 | 0.4652 | no |
| COO | 2023-05-08 | 96.10 | 0.2177 | 0.5093 | no |
| DRI | 2023-05-08 | 137.50 | 0.2883 | 0.4474 | no |
| DTE | 2023-05-08 | 100.87 | 0.2166 | 0.5307 | no |
| ES | 2023-05-08 | 66.61 | 0.2405 | 0.5167 | no |
| FAST | 2023-05-08 | 25.21 | 0.3145 | 0.4673 | no |
| FOX | 2023-05-08 | 28.15 | 0.2772 | — | no |
| IFF | 2023-05-08 | 88.75 | 0.3773 | 0.4901 | no |
| INTC | 2023-05-08 | 30.09 | 0.5052 | 0.5139 | no |
| KEYS | 2023-05-08 | 144.35 | 0.2640 | 0.4340 | no |
| KHC | 2023-05-08 | 34.12 | 0.2141 | — | no |
| KMI | 2023-05-08 | 14.55 | 0.2243 | 0.4736 | no |
| KR | 2023-05-08 | 45.48 | 0.2588 | 0.5817 | no |
| LHX | 2023-05-08 | 175.74 | 0.4034 | 0.5509 | no |
| LIN | 2023-05-08 | 351.70 | 0.2183 | 0.4849 | no |
| LNC | 2023-05-08 | 17.41 | 0.2168 | 0.4593 | no |
| LW | 2023-05-08 | 103.54 | 0.3459 | 0.4821 | no |
| MKTX | 2023-05-08 | 284.70 | 0.2513 | 0.4782 | no |
| MMM | 2023-05-08 | 77.39 | 0.3264 | 0.4826 | no |
| MOS | 2023-05-08 | 35.84 | 0.2123 | 0.4861 | no |
| MS | 2023-05-08 | 77.26 | 0.5326 | 0.4298 | no |
| MSI | 2023-05-08 | 273.31 | 0.2605 | 0.4583 | no |
| MTD | 2023-05-08 | 1426.11 | 0.2529 | 0.4555 | no |
| NTAP | 2023-05-08 | 59.85 | 0.4068 | 0.4885 | no |
| ORLY | 2023-05-08 | 62.65 | 0.2619 | 0.5681 | no |
| PCG | 2023-05-08 | 16.93 | 0.2277 | 0.5131 | no |
| SNPS | 2023-05-08 | 371.39 | 0.4090 | 0.5397 | no |
| SPGI | 2023-05-08 | 325.75 | 0.2232 | 0.4676 | no |
| SRE | 2023-05-08 | 69.84 | 0.3051 | 0.4861 | no |
| SWK | 2023-05-08 | 74.33 | 0.4891 | 0.4606 | no |
| SYK | 2023-05-08 | 274.35 | 0.5374 | 0.5042 | no |
| T | 2023-05-08 | 14.27 | 0.2834 | 0.4478 | no |
| TEL | 2023-05-08 | 117.61 | 0.2651 | — | no |
| TER | 2023-05-08 | 91.48 | 0.2485 | 0.4943 | no |
| TXT | 2023-05-08 | 66.43 | 0.2693 | 0.5575 | no |
| UHS | 2023-05-08 | 140.07 | 0.6453 | 0.4857 | no |
| ULTA | 2023-05-08 | 522.00 | 0.2430 | 0.4743 | no |
| WMB | 2023-05-08 | 26.47 | 0.2280 | 0.4407 | no |
| WRB | 2023-05-08 | 36.28 | 0.2504 | 0.4762 | no |
| WY | 2023-05-08 | 26.78 | 0.2100 | 0.5064 | no |
| XEL | 2023-05-08 | 61.60 | 0.3098 | 0.5223 | no |