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 | 2.04% | 8.13% | 2023-07-31 | -5.64% |
| buy & hold | participation factor overlay | 6 months | complete | 2.01% | 8.13% | 2023-07-31 | -13.61% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.59% | 9.83% | 2023-07-31 | -6.60% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.73% | 9.83% | 2023-07-31 | -15.06% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.85% | 5.60% | 2023-07-31 | -6.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.50% | 5.60% | 2023-07-31 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.90% | 6.66% | 2023-07-31 | -7.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.12% | 6.66% | 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 | 2023-05-22 | 129.72 | 0.2257 | 0.5772 | no |
| AEP | 2023-05-22 | 77.42 | 0.3331 | 0.5373 | no |
| ALGN | 2023-05-22 | 291.04 | 0.2975 | 0.5265 | no |
| APD | 2023-05-22 | 257.06 | 0.2791 | 0.4886 | no |
| AZO | 2023-05-22 | 2671.25 | 0.3961 | 0.5488 | no |
| CAH | 2023-05-22 | 81.66 | 0.2878 | 0.4477 | no |
| CDW | 2023-05-22 | 164.39 | 0.3325 | 0.4802 | no |
| CI | 2023-05-22 | 239.86 | 0.2400 | 0.4802 | no |
| CZR | 2023-05-22 | 44.02 | 0.3773 | 0.4845 | no |
| D | 2023-05-22 | 44.18 | 0.2233 | 0.4799 | no |
| DIS | 2023-05-22 | 88.55 | 0.2322 | 0.4501 | no |
| EL | 2023-05-22 | 186.92 | 0.4387 | 0.4828 | no |
| ELV | 2023-05-22 | 433.42 | 0.2253 | 0.4910 | no |
| ENPH | 2023-05-22 | 162.80 | 0.2855 | 0.4479 | no |
| FE | 2023-05-22 | 33.04 | 0.3495 | 0.5272 | no |
| FICO | 2023-05-22 | 766.70 | 0.2790 | 0.4550 | no |
| GLW | 2023-05-22 | 28.93 | 0.3019 | 0.4416 | no |
| HPE | 2023-05-22 | 13.17 | 0.3618 | 0.4683 | no |
| HRL | 2023-05-22 | 34.48 | 0.2979 | 0.4791 | no |
| HUM | 2023-05-22 | 495.59 | 0.2258 | 0.4797 | no |
| IEX | 2023-05-22 | 195.97 | 0.4633 | 0.4742 | no |
| IFF | 2023-05-22 | 77.14 | 0.4432 | 0.4634 | no |
| INTC | 2023-05-22 | 29.25 | 0.5307 | 0.5139 | no |
| IVZ | 2023-05-22 | 13.22 | 0.2334 | 0.4263 | no |
| JNJ | 2023-05-22 | 144.04 | 0.2237 | 0.5094 | no |
| KDP | 2023-05-22 | 29.11 | 0.2239 | 0.4871 | no |
| LDOS | 2023-05-22 | 75.05 | 0.3442 | 0.5520 | no |
| LMT | 2023-05-22 | 413.55 | 0.2401 | 0.5443 | no |
| LNC | 2023-05-22 | 17.52 | 0.4029 | 0.4710 | no |
| MCHP | 2023-05-22 | 71.37 | 0.3155 | 0.5013 | no |
| MGM | 2023-05-22 | 42.53 | 0.3033 | 0.4550 | no |
| MMM | 2023-05-22 | 75.01 | 0.4854 | 0.4813 | no |
| MOH | 2023-05-22 | 286.67 | 0.6780 | 0.4473 | no |
| NVR | 2023-05-22 | 5845.00 | 0.2649 | — | no |
| PCG | 2023-05-22 | 16.45 | 0.2811 | 0.5131 | no |
| PG | 2023-05-22 | 140.04 | 0.2276 | 0.4770 | no |
| PNC | 2023-05-22 | 105.61 | 0.2315 | 0.4330 | no |
| PNR | 2023-05-22 | 57.00 | 0.3867 | 0.4788 | no |
| SBUX | 2023-05-22 | 97.33 | 0.2927 | 0.4986 | no |
| SJM | 2023-05-22 | 134.29 | 0.2531 | 0.4610 | no |
| SYK | 2023-05-22 | 277.61 | 0.2264 | 0.5060 | no |
| TER | 2023-05-22 | 95.45 | 0.5811 | 0.4950 | no |
| TFX | 2023-05-22 | 236.74 | 0.3126 | 0.5149 | no |
| TROW | 2023-05-22 | 90.12 | 0.2298 | 0.4223 | no |
| TSN | 2023-05-22 | 44.24 | 0.2373 | 0.4991 | no |
| TXT | 2023-05-22 | 64.16 | 0.2773 | 0.5580 | no |
| VMC | 2023-05-22 | 192.29 | 0.2386 | 0.4873 | no |
| WY | 2023-05-22 | 26.57 | 0.3599 | 0.5054 | no |
| XEL | 2023-05-22 | 58.89 | 0.2375 | 0.5223 | no |
| YUM | 2023-05-22 | 129.63 | 0.2345 | 0.4624 | no |