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 | 3.28% | 9.61% | 2023-07-31 | -5.86% |
| buy & hold | participation factor overlay | 6 months | complete | 3.90% | 9.61% | 2023-07-31 | -13.96% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.39% | 9.51% | 2023-07-31 | -5.59% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.51% | 9.51% | 2023-07-31 | -14.03% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.04% | 6.11% | 2023-07-31 | -5.89% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.54% | 6.11% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.95% | 7.26% | 2023-07-31 | -6.07% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.51% | 7.26% | 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 |
|---|---|---|---|---|---|
| ADI | 2023-05-22 | 179.51 | 0.2836 | 0.5073 | no |
| AEP | 2023-05-22 | 77.42 | 0.3024 | 0.5373 | no |
| AES | 2023-05-22 | 17.89 | 0.2243 | — | no |
| AMAT | 2023-05-22 | 123.69 | 0.2169 | 0.5398 | no |
| ANET | 2023-05-22 | 36.31 | 0.2714 | 0.4478 | no |
| APD | 2023-05-22 | 257.06 | 0.2572 | 0.4886 | no |
| BBY | 2023-05-22 | 59.23 | 0.2782 | 0.6476 | no |
| BIIB | 2023-05-22 | 309.93 | 0.2272 | 0.6092 | no |
| BIO | 2023-05-22 | 382.15 | 0.2337 | 0.4660 | no |
| CCI | 2023-05-22 | 93.76 | 0.2900 | 0.4536 | no |
| CDW | 2023-05-22 | 164.39 | 0.4267 | 0.4802 | no |
| CTAS | 2023-05-22 | 114.89 | 0.2241 | 0.4681 | no |
| CZR | 2023-05-22 | 44.02 | 0.2340 | 0.4845 | no |
| EL | 2023-05-22 | 186.92 | 0.3623 | 0.4828 | no |
| ELV | 2023-05-22 | 433.42 | 0.2462 | 0.4910 | no |
| ES | 2023-05-22 | 63.94 | 0.3192 | 0.5167 | no |
| FE | 2023-05-22 | 33.04 | 0.3034 | 0.5272 | no |
| GLW | 2023-05-22 | 28.93 | 0.3274 | 0.4416 | no |
| HPE | 2023-05-22 | 13.17 | 0.3997 | 0.4683 | no |
| IEX | 2023-05-22 | 195.97 | 0.3904 | 0.4742 | no |
| IFF | 2023-05-22 | 77.14 | 0.3828 | 0.4634 | no |
| INTC | 2023-05-22 | 29.25 | 0.6789 | 0.5139 | no |
| IVZ | 2023-05-22 | 13.22 | 0.2729 | 0.4263 | no |
| JBHT | 2023-05-22 | 164.51 | 0.2298 | 0.5071 | no |
| JNJ | 2023-05-22 | 144.04 | 0.2926 | 0.5094 | no |
| KLAC | 2023-05-22 | 40.88 | 0.2417 | 0.5207 | no |
| KMI | 2023-05-22 | 14.02 | 0.2182 | 0.4730 | no |
| LNC | 2023-05-22 | 17.52 | 0.3237 | 0.4710 | no |
| LYB | 2023-05-22 | 72.68 | 0.2249 | 0.4804 | no |
| MCHP | 2023-05-22 | 71.37 | 0.5429 | 0.5013 | no |
| MGM | 2023-05-22 | 42.53 | 0.3905 | 0.4550 | no |
| MMM | 2023-05-22 | 75.01 | 0.3894 | 0.4813 | no |
| MOH | 2023-05-22 | 286.67 | 0.4285 | 0.4473 | no |
| MSI | 2023-05-22 | 285.27 | 0.3462 | 0.4549 | no |
| NVR | 2023-05-22 | 5845.00 | 0.3556 | — | no |
| PNR | 2023-05-22 | 57.00 | 0.2635 | 0.4788 | no |
| QCOM | 2023-05-22 | 95.94 | 0.2155 | 0.4754 | no |
| RHI | 2023-05-22 | 57.65 | 0.3073 | 0.4655 | no |
| SBUX | 2023-05-22 | 97.33 | 0.2550 | 0.4986 | no |
| SHW | 2023-05-22 | 226.53 | 0.2719 | 0.4856 | no |
| SJM | 2023-05-22 | 134.29 | 0.2313 | 0.4610 | no |
| SYK | 2023-05-22 | 277.61 | 0.2981 | 0.5060 | no |
| TER | 2023-05-22 | 95.45 | 0.5255 | 0.4950 | no |
| TFX | 2023-05-22 | 236.74 | 0.2610 | 0.5149 | no |
| TROW | 2023-05-22 | 90.12 | 0.3142 | 0.4223 | no |
| TXT | 2023-05-22 | 64.16 | 0.3130 | 0.5580 | no |
| VLO | 2023-05-22 | 101.15 | 0.3086 | 0.4606 | no |
| VMC | 2023-05-22 | 192.29 | 0.3392 | 0.4873 | no |
| WEC | 2023-05-22 | 80.02 | 0.2448 | 0.4974 | no |
| WY | 2023-05-22 | 26.57 | 0.4032 | 0.5054 | no |