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 | 3.02% | 8.41% | 2023-07-31 | -4.97% |
| buy & hold | participation factor overlay | 6 months | complete | -0.77% | 8.41% | 2023-07-31 | -15.32% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.62% | 8.10% | 2023-07-26 | -5.07% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.62% | 8.10% | 2023-07-26 | -15.20% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.34% | 6.07% | 2023-07-31 | -4.46% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.05% | 6.07% | 2023-07-31 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.22% | 6.78% | 2023-07-31 | -5.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.95% | 6.78% | 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 |
|---|---|---|---|---|---|
| ABBV | 2023-05-15 | 131.68 | 0.3082 | 0.5772 | no |
| ADI | 2023-05-15 | 170.79 | 0.3892 | 0.5073 | no |
| ALB | 2023-05-15 | 190.66 | 0.2091 | 0.5035 | no |
| ALGN | 2023-05-15 | 293.00 | 0.3143 | 0.5265 | no |
| APH | 2023-05-15 | 18.32 | 0.2848 | 0.4570 | no |
| CHD | 2023-05-15 | 93.54 | 0.2199 | 0.4666 | no |
| CI | 2023-05-15 | 239.74 | 0.2100 | 0.4802 | no |
| CL | 2023-05-15 | 75.85 | 0.2631 | 0.4732 | no |
| CNP | 2023-05-15 | 27.55 | 0.2171 | 0.4677 | no |
| CTAS | 2023-05-15 | 115.19 | 0.2352 | 0.4681 | no |
| CZR | 2023-05-15 | 42.74 | 0.3167 | 0.4842 | no |
| DRI | 2023-05-15 | 134.34 | 0.2093 | 0.4478 | no |
| ENPH | 2023-05-15 | 167.71 | 0.3698 | 0.4490 | no |
| FE | 2023-05-15 | 34.55 | 0.2418 | 0.5272 | no |
| GILD | 2023-05-15 | 69.67 | 0.2629 | 0.5605 | no |
| GLW | 2023-05-15 | 28.60 | 0.4010 | 0.4416 | no |
| HON | 2023-05-15 | 178.79 | 0.2713 | 0.4791 | no |
| HPQ | 2023-05-15 | 25.07 | 0.2491 | 0.5051 | no |
| IEX | 2023-05-15 | 198.63 | 0.2501 | 0.4743 | no |
| INTC | 2023-05-15 | 28.32 | 0.7275 | 0.5139 | no |
| IVZ | 2023-05-15 | 13.30 | 0.3151 | 0.4263 | no |
| KLAC | 2023-05-15 | 37.88 | 0.5366 | 0.5207 | no |
| KO | 2023-05-15 | 58.00 | 0.2190 | 0.4797 | no |
| LHX | 2023-05-15 | 174.28 | 0.5216 | 0.5454 | no |
| LIN | 2023-05-15 | 354.66 | 0.2981 | 0.4849 | no |
| LNC | 2023-05-15 | 15.79 | 0.8755 | 0.4710 | no |
| LW | 2023-05-15 | 106.35 | 0.2516 | 0.4818 | no |
| MGM | 2023-05-15 | 42.10 | 0.2672 | 0.4541 | no |
| MKC | 2023-05-15 | 83.12 | 0.3565 | 0.4722 | no |
| MMM | 2023-05-15 | 74.78 | 0.2098 | 0.4817 | no |
| NVR | 2023-05-15 | 5813.61 | 0.3319 | — | no |
| NWL | 2023-05-15 | 7.88 | 0.2339 | 0.4521 | no |
| NXPI | 2023-05-15 | 154.43 | 0.2419 | 0.5134 | no |
| PKG | 2023-05-15 | 120.43 | 0.2157 | 0.4895 | no |
| PNC | 2023-05-15 | 98.95 | 0.2877 | 0.4330 | no |
| PNW | 2023-05-15 | 70.79 | 0.3353 | 0.5635 | no |
| RTX | 2023-05-15 | 89.22 | 0.2141 | 0.5798 | no |
| SHW | 2023-05-15 | 221.11 | 0.2816 | 0.4865 | no |
| SNPS | 2023-05-15 | 368.12 | 0.2356 | 0.5380 | no |
| T | 2023-05-15 | 14.26 | 0.2442 | 0.4475 | no |
| TECH | 2023-05-15 | 79.96 | 0.2502 | 0.4484 | no |
| TEL | 2023-05-15 | 114.17 | 0.3005 | — | no |
| TFX | 2023-05-15 | 243.05 | 0.2790 | 0.5156 | no |
| TGT | 2023-05-15 | 139.39 | 0.2151 | 0.5414 | no |
| TRV | 2023-05-15 | 171.63 | 0.2388 | 0.4919 | no |
| TSN | 2023-05-15 | 43.76 | 0.3846 | 0.5000 | no |
| UHS | 2023-05-15 | 137.13 | 0.6490 | 0.4903 | no |
| VICI | 2023-05-15 | 26.14 | 0.2050 | 0.4362 | no |
| WEC | 2023-05-15 | 83.63 | 0.2505 | 0.4974 | no |
| ZBH | 2023-05-15 | 132.79 | 0.2462 | 0.4929 | no |