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 | 2.16% | 7.58% | 2023-07-31 | -5.03% |
| buy & hold | participation factor overlay | 6 months | complete | 2.61% | 7.58% | 2023-07-31 | -11.99% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.49% | 7.90% | 2023-07-31 | -5.02% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.55% | 7.90% | 2023-07-31 | -12.57% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.07% | 4.31% | 2023-07-25 | -6.12% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.75% | 4.31% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.24% | 4.10% | 2023-07-31 | -6.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -4.35% | 4.10% | 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 | 2023-05-22 | 179.51 | 0.2646 | 0.5073 | no |
| AEP | 2023-05-22 | 77.42 | 0.3130 | 0.5373 | no |
| AES | 2023-05-22 | 17.89 | 0.3010 | — | no |
| ALGN | 2023-05-22 | 291.04 | 0.2531 | 0.5265 | no |
| APD | 2023-05-22 | 257.06 | 0.2484 | 0.4886 | no |
| ATO | 2023-05-22 | 107.75 | 0.2892 | 0.5271 | no |
| CB | 2023-05-22 | 192.09 | 0.2933 | 0.4940 | no |
| CDW | 2023-05-22 | 164.39 | 0.3541 | 0.4802 | no |
| CI | 2023-05-22 | 239.86 | 0.3770 | 0.4802 | no |
| CL | 2023-05-22 | 73.71 | 0.2478 | 0.4729 | no |
| CRL | 2023-05-22 | 198.81 | 0.3283 | 0.4692 | no |
| CZR | 2023-05-22 | 44.02 | 0.3065 | 0.4845 | no |
| DIS | 2023-05-22 | 88.55 | 0.2413 | 0.4501 | no |
| EL | 2023-05-22 | 186.92 | 0.3671 | 0.4828 | no |
| FE | 2023-05-22 | 33.04 | 0.2757 | 0.5272 | no |
| GLW | 2023-05-22 | 28.93 | 0.2432 | 0.4416 | no |
| HPE | 2023-05-22 | 13.17 | 0.5196 | 0.4683 | no |
| HRL | 2023-05-22 | 34.48 | 0.3131 | 0.4791 | no |
| IEX | 2023-05-22 | 195.97 | 0.2844 | 0.4742 | no |
| IFF | 2023-05-22 | 77.14 | 0.4414 | 0.4634 | no |
| INTC | 2023-05-22 | 29.25 | 0.4723 | 0.5139 | no |
| IVZ | 2023-05-22 | 13.22 | 0.3111 | 0.4263 | no |
| JBHT | 2023-05-22 | 164.51 | 0.3429 | 0.5071 | no |
| JNJ | 2023-05-22 | 144.04 | 0.2477 | 0.5094 | no |
| KMB | 2023-05-22 | 125.28 | 0.2501 | 0.4910 | no |
| LNC | 2023-05-22 | 17.52 | 0.4270 | 0.4710 | no |
| MCHP | 2023-05-22 | 71.37 | 0.4570 | 0.5013 | no |
| MGM | 2023-05-22 | 42.53 | 0.3595 | 0.4550 | no |
| MLM | 2023-05-22 | 400.85 | 0.2963 | 0.4796 | no |
| MMM | 2023-05-22 | 75.01 | 0.6384 | 0.4813 | no |
| MOH | 2023-05-22 | 286.67 | 0.4522 | 0.4473 | no |
| MRK | 2023-05-22 | 103.98 | 0.2495 | 0.5070 | no |
| MSI | 2023-05-22 | 285.27 | 0.4826 | 0.4549 | no |
| NVR | 2023-05-22 | 5845.00 | 0.2536 | — | no |
| NWS | 2023-05-22 | 18.31 | 0.2556 | — | no |
| OXY | 2023-05-22 | 55.62 | 0.2729 | 0.5792 | no |
| PGR | 2023-05-22 | 123.95 | 0.2466 | 0.4680 | no |
| RHI | 2023-05-22 | 57.65 | 0.3035 | 0.4655 | no |
| SYK | 2023-05-22 | 277.61 | 0.3473 | 0.5060 | no |
| TER | 2023-05-22 | 95.45 | 0.7146 | 0.4950 | no |
| TFX | 2023-05-22 | 236.74 | 0.4260 | 0.5149 | no |
| TRV | 2023-05-22 | 172.00 | 0.2396 | 0.4919 | no |
| TSN | 2023-05-22 | 44.24 | 0.2423 | 0.4991 | no |
| TXT | 2023-05-22 | 64.16 | 0.3983 | 0.5580 | no |
| VLO | 2023-05-22 | 101.15 | 0.2785 | 0.4606 | no |
| VMC | 2023-05-22 | 192.29 | 0.2479 | 0.4873 | no |
| VZ | 2023-05-22 | 29.12 | 0.2615 | 0.4226 | no |
| WY | 2023-05-22 | 26.57 | 0.4426 | 0.5054 | no |
| XEL | 2023-05-22 | 58.89 | 0.2777 | 0.5223 | no |
| XOM | 2023-05-22 | 95.13 | 0.3251 | 0.5319 | no |