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 | 4.55% | 9.79% | 2023-07-25 | -4.77% |
| buy & hold | participation factor overlay | 6 months | complete | 2.64% | 9.79% | 2023-07-25 | -15.08% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.84% | 11.70% | 2023-07-26 | -5.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.81% | 11.70% | 2023-07-26 | -16.23% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.48% | 5.34% | 2023-07-25 | -4.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.80% | 5.34% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.34% | 5.43% | 2023-07-31 | -4.92% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.73% | 5.43% | 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 |
|---|---|---|---|---|---|
| ADI | 2023-05-15 | 170.79 | 0.3510 | 0.5073 | no |
| ALGN | 2023-05-15 | 293.00 | 0.4170 | 0.5265 | no |
| AMGN | 2023-05-15 | 209.53 | 0.2900 | 0.6277 | no |
| ANET | 2023-05-15 | 34.63 | 0.2376 | 0.4477 | no |
| APH | 2023-05-15 | 18.32 | 0.3790 | 0.4570 | no |
| BEN | 2023-05-15 | 20.65 | 0.2169 | 0.4348 | no |
| CFG | 2023-05-15 | 21.70 | 0.3365 | 0.4293 | no |
| CHD | 2023-05-15 | 93.54 | 0.2220 | 0.4666 | no |
| CNC | 2023-05-15 | 67.42 | 0.3534 | 0.5036 | no |
| CNP | 2023-05-15 | 27.55 | 0.2438 | 0.4677 | no |
| COO | 2023-05-15 | 97.66 | 0.2409 | 0.5093 | no |
| CZR | 2023-05-15 | 42.74 | 0.4802 | 0.4842 | no |
| DPZ | 2023-05-15 | 290.62 | 0.2133 | 0.4734 | no |
| DRI | 2023-05-15 | 134.34 | 0.2676 | 0.4478 | no |
| ED | 2023-05-15 | 88.60 | 0.2104 | — | no |
| EL | 2023-05-15 | 187.90 | 0.3012 | 0.4836 | no |
| ENPH | 2023-05-15 | 167.71 | 0.3484 | 0.4490 | no |
| GEHC | 2023-05-15 | 74.66 | 0.2790 | 0.4908 | no |
| GLW | 2023-05-15 | 28.60 | 0.3140 | 0.4416 | no |
| HON | 2023-05-15 | 178.79 | 0.4201 | 0.4791 | no |
| HPQ | 2023-05-15 | 25.07 | 0.2917 | 0.5051 | no |
| IEX | 2023-05-15 | 198.63 | 0.5341 | 0.4743 | no |
| IFF | 2023-05-15 | 76.33 | 0.4380 | 0.4646 | no |
| INTC | 2023-05-15 | 28.32 | 0.5835 | 0.5139 | no |
| INTU | 2023-05-15 | 402.66 | 0.3218 | 0.4263 | no |
| IVZ | 2023-05-15 | 13.30 | 0.2808 | 0.4263 | no |
| KLAC | 2023-05-15 | 37.88 | 0.5605 | 0.5207 | no |
| KR | 2023-05-15 | 45.95 | 0.2151 | 0.5810 | no |
| LHX | 2023-05-15 | 174.28 | 0.5223 | 0.5454 | no |
| LIN | 2023-05-15 | 354.66 | 0.2907 | 0.4849 | no |
| LNC | 2023-05-15 | 15.79 | 0.7384 | 0.4710 | no |
| MCHP | 2023-05-15 | 67.62 | 0.3093 | 0.5013 | no |
| MKC | 2023-05-15 | 83.12 | 0.2379 | 0.4722 | no |
| MMM | 2023-05-15 | 74.78 | 0.3292 | 0.4817 | no |
| NDAQ | 2023-05-15 | 52.66 | 0.2074 | 0.5192 | no |
| NVR | 2023-05-15 | 5813.61 | 0.2597 | — | no |
| NWL | 2023-05-15 | 7.88 | 0.4837 | 0.4521 | no |
| PCG | 2023-05-15 | 17.23 | 0.3673 | 0.5131 | no |
| PNC | 2023-05-15 | 98.95 | 0.2164 | 0.4330 | no |
| SHW | 2023-05-15 | 221.11 | 0.2212 | 0.4865 | no |
| SNPS | 2023-05-15 | 368.12 | 0.2416 | 0.5380 | no |
| T | 2023-05-15 | 14.26 | 0.3124 | 0.4475 | no |
| TFX | 2023-05-15 | 243.05 | 0.3225 | 0.5156 | no |
| TRV | 2023-05-15 | 171.63 | 0.2084 | 0.4919 | no |
| TSN | 2023-05-15 | 43.76 | 0.3457 | 0.5000 | no |
| TXN | 2023-05-15 | 147.08 | 0.2147 | 0.4731 | no |
| UHS | 2023-05-15 | 137.13 | 0.6013 | 0.4903 | no |
| WM | 2023-05-15 | 160.09 | 0.3270 | 0.4962 | no |
| WY | 2023-05-15 | 26.92 | 0.2692 | 0.5051 | no |
| ZBH | 2023-05-15 | 132.79 | 0.2688 | 0.4929 | no |