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 | 4.26% | 9.38% | 2023-07-31 | -4.68% |
| buy & hold | participation factor overlay | 6 months | complete | 1.05% | 9.38% | 2023-07-31 | -15.38% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.60% | 8.55% | 2023-07-19 | -4.55% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.05% | 8.55% | 2023-07-19 | -15.08% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.38% | 4.38% | 2023-07-31 | -4.35% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.19% | 4.38% | 2023-07-31 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.17% | 3.92% | 2023-07-19 | -4.90% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.32% | 3.92% | 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 |
|---|---|---|---|---|---|
| ABBV | 2023-05-15 | 131.68 | 0.2179 | 0.5772 | no |
| ADI | 2023-05-15 | 170.79 | 0.3357 | 0.5073 | no |
| ALGN | 2023-05-15 | 293.00 | 0.5546 | 0.5265 | no |
| AMZN | 2023-05-15 | 111.15 | 0.2021 | 0.4590 | no |
| APH | 2023-05-15 | 18.32 | 0.3065 | 0.4570 | no |
| BEN | 2023-05-15 | 20.65 | 0.3306 | 0.4348 | no |
| CHD | 2023-05-15 | 93.54 | 0.3300 | 0.4666 | no |
| CL | 2023-05-15 | 75.85 | 0.1853 | 0.4732 | no |
| COO | 2023-05-15 | 97.66 | 0.2210 | 0.5093 | no |
| CVS | 2023-05-15 | 60.66 | 0.3063 | 0.5293 | no |
| CZR | 2023-05-15 | 42.74 | 0.2633 | 0.4842 | no |
| DPZ | 2023-05-15 | 290.62 | 0.2930 | 0.4734 | no |
| DRI | 2023-05-15 | 134.34 | 0.2186 | 0.4478 | no |
| EL | 2023-05-15 | 187.90 | 0.2567 | 0.4836 | no |
| ENPH | 2023-05-15 | 167.71 | 0.3859 | 0.4490 | no |
| GEHC | 2023-05-15 | 74.66 | 0.2906 | 0.4908 | no |
| GIS | 2023-05-15 | 78.45 | 0.2136 | 0.5161 | no |
| HON | 2023-05-15 | 178.79 | 0.2097 | 0.4791 | no |
| HPQ | 2023-05-15 | 25.07 | 0.2099 | 0.5051 | no |
| IEX | 2023-05-15 | 198.63 | 0.3519 | 0.4743 | no |
| IFF | 2023-05-15 | 76.33 | 0.2545 | 0.4646 | no |
| INTC | 2023-05-15 | 28.32 | 0.6514 | 0.5139 | no |
| IVZ | 2023-05-15 | 13.30 | 0.5676 | 0.4263 | no |
| KEYS | 2023-05-15 | 146.00 | 0.2387 | 0.4341 | no |
| KLAC | 2023-05-15 | 37.88 | 0.5262 | 0.5207 | no |
| LHX | 2023-05-15 | 174.28 | 0.3385 | 0.5454 | no |
| LIN | 2023-05-15 | 354.66 | 0.2186 | 0.4849 | no |
| LNC | 2023-05-15 | 15.79 | 0.8696 | 0.4710 | no |
| LRCX | 2023-05-15 | 51.45 | 0.3087 | 0.5257 | no |
| MGM | 2023-05-15 | 42.10 | 0.1953 | 0.4541 | no |
| MOS | 2023-05-15 | 32.17 | 0.2655 | 0.4749 | no |
| NDAQ | 2023-05-15 | 52.66 | 0.2251 | 0.5192 | no |
| NTAP | 2023-05-15 | 59.49 | 0.3193 | 0.4879 | no |
| NVR | 2023-05-15 | 5813.61 | 0.3423 | — | no |
| NWL | 2023-05-15 | 7.88 | 0.1997 | 0.4521 | no |
| PCG | 2023-05-15 | 17.23 | 0.2395 | 0.5131 | no |
| PPL | 2023-05-15 | 25.30 | 0.3766 | 0.5320 | no |
| RTX | 2023-05-15 | 89.22 | 0.2100 | 0.5798 | no |
| SHW | 2023-05-15 | 221.11 | 0.2437 | 0.4865 | no |
| SNPS | 2023-05-15 | 368.12 | 0.2095 | 0.5380 | no |
| SRE | 2023-05-15 | 69.37 | 0.2407 | 0.4861 | no |
| T | 2023-05-15 | 14.26 | 0.3383 | 0.4475 | no |
| TEL | 2023-05-15 | 114.17 | 0.2944 | — | no |
| TFX | 2023-05-15 | 243.05 | 0.1885 | 0.5156 | no |
| TRMB | 2023-05-15 | 46.82 | 0.3704 | 0.5005 | no |
| TSN | 2023-05-15 | 43.76 | 0.2773 | 0.5000 | no |
| UHS | 2023-05-15 | 137.13 | 0.4430 | 0.4903 | no |
| WEC | 2023-05-15 | 83.63 | 0.2330 | 0.4974 | no |
| WY | 2023-05-15 | 26.92 | 0.2354 | 0.5051 | no |
| XEL | 2023-05-15 | 61.40 | 0.2307 | 0.5223 | no |