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 | 4.35% | 10.11% | 2023-07-31 | -5.23% |
| buy & hold | participation factor overlay | 6 months | complete | 2.31% | 10.11% | 2023-07-31 | -14.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.87% | 11.01% | 2023-07-31 | -5.53% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.83% | 11.01% | 2023-07-31 | -15.11% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.38% | 6.85% | 2023-07-31 | -4.18% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.70% | 6.85% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.49% | 8.15% | 2023-07-31 | -4.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.44% | 8.15% | 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 |
|---|---|---|---|---|---|
| ADBE | 2023-05-15 | 337.35 | 0.2211 | 0.4784 | no |
| ADI | 2023-05-15 | 170.79 | 0.4067 | 0.5073 | no |
| ALGN | 2023-05-15 | 293.00 | 0.3182 | 0.5265 | no |
| APH | 2023-05-15 | 18.32 | 0.3259 | 0.4570 | no |
| CHD | 2023-05-15 | 93.54 | 0.2164 | 0.4666 | no |
| CL | 2023-05-15 | 75.85 | 0.2942 | 0.4732 | no |
| CNP | 2023-05-15 | 27.55 | 0.2272 | 0.4677 | no |
| CTAS | 2023-05-15 | 115.19 | 0.2420 | 0.4681 | no |
| CVS | 2023-05-15 | 60.66 | 0.2963 | 0.5293 | no |
| D | 2023-05-15 | 46.83 | 0.2086 | 0.4799 | no |
| DRI | 2023-05-15 | 134.34 | 0.3585 | 0.4478 | no |
| EL | 2023-05-15 | 187.90 | 0.2557 | 0.4836 | no |
| ENPH | 2023-05-15 | 167.71 | 0.4486 | 0.4490 | no |
| GEHC | 2023-05-15 | 74.66 | 0.2696 | 0.4908 | no |
| GLW | 2023-05-15 | 28.60 | 0.3415 | 0.4416 | no |
| HON | 2023-05-15 | 178.79 | 0.3488 | 0.4791 | no |
| HPQ | 2023-05-15 | 25.07 | 0.2319 | 0.5051 | no |
| IEX | 2023-05-15 | 198.63 | 0.3609 | 0.4743 | no |
| IFF | 2023-05-15 | 76.33 | 0.3713 | 0.4646 | no |
| INTC | 2023-05-15 | 28.32 | 0.6740 | 0.5139 | no |
| JBHT | 2023-05-15 | 170.81 | 0.2400 | 0.5056 | no |
| KLAC | 2023-05-15 | 37.88 | 0.4414 | 0.5207 | no |
| LHX | 2023-05-15 | 174.28 | 0.5645 | 0.5454 | no |
| LIN | 2023-05-15 | 354.66 | 0.2622 | 0.4849 | no |
| LNC | 2023-05-15 | 15.79 | 0.6838 | 0.4710 | no |
| LRCX | 2023-05-15 | 51.45 | 0.3294 | 0.5257 | no |
| MCHP | 2023-05-15 | 67.62 | 0.2457 | 0.5013 | no |
| MGM | 2023-05-15 | 42.10 | 0.2233 | 0.4541 | no |
| MKC | 2023-05-15 | 83.12 | 0.2279 | 0.4722 | no |
| MMM | 2023-05-15 | 74.78 | 0.2542 | 0.4817 | no |
| MSCI | 2023-05-15 | 449.99 | 0.3498 | 0.4628 | no |
| NDAQ | 2023-05-15 | 52.66 | 0.2070 | 0.5192 | no |
| NEE | 2023-05-15 | 70.83 | 0.2100 | 0.4780 | no |
| NI | 2023-05-15 | 25.76 | 0.2111 | 0.5288 | no |
| NVR | 2023-05-15 | 5813.61 | 0.3630 | — | no |
| NWL | 2023-05-15 | 7.88 | 0.2770 | 0.4521 | no |
| NWS | 2023-05-15 | 17.89 | 0.2075 | — | no |
| NXPI | 2023-05-15 | 154.43 | 0.2182 | 0.5134 | no |
| PCG | 2023-05-15 | 17.23 | 0.2544 | 0.5131 | no |
| PNC | 2023-05-15 | 98.95 | 0.3034 | 0.4330 | no |
| PNW | 2023-05-15 | 70.79 | 0.3668 | 0.5635 | no |
| SNPS | 2023-05-15 | 368.12 | 0.2324 | 0.5380 | no |
| SRE | 2023-05-15 | 69.37 | 0.3970 | 0.4861 | no |
| SYK | 2023-05-15 | 276.69 | 0.2620 | 0.5044 | no |
| T | 2023-05-15 | 14.26 | 0.4215 | 0.4475 | no |
| TAP | 2023-05-15 | 57.21 | 0.2083 | 0.4478 | no |
| TRMB | 2023-05-15 | 46.82 | 0.3524 | 0.5005 | no |
| TSN | 2023-05-15 | 43.76 | 0.3575 | 0.5000 | no |
| UHS | 2023-05-15 | 137.13 | 0.6001 | 0.4903 | no |
| VICI | 2023-05-15 | 26.14 | 0.2627 | 0.4362 | no |