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 | 2.56% | 8.66% | 2023-07-31 | -5.74% |
| buy & hold | participation factor overlay | 6 months | complete | 3.09% | 8.66% | 2023-07-31 | -12.93% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.24% | 8.31% | 2023-07-31 | -5.69% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.56% | 8.31% | 2023-07-31 | -13.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.15% | 3.57% | 2023-07-31 | -5.60% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.02% | 3.57% | 2023-07-31 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.99% | 3.55% | 2023-07-19 | -6.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.71% | 3.55% | 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 |
|---|---|---|---|---|---|
| AEP | 2023-05-22 | 77.42 | 0.3036 | 0.5373 | no |
| AES | 2023-05-22 | 17.89 | 0.2425 | — | no |
| ALGN | 2023-05-22 | 291.04 | 0.3664 | 0.5265 | no |
| AMAT | 2023-05-22 | 123.69 | 0.3206 | 0.5398 | no |
| APA | 2023-05-22 | 29.51 | 0.2403 | 0.6294 | no |
| APD | 2023-05-22 | 257.06 | 0.2916 | 0.4886 | no |
| ATO | 2023-05-22 | 107.75 | 0.3131 | 0.5271 | no |
| CAH | 2023-05-22 | 81.66 | 0.2594 | 0.4477 | no |
| CCI | 2023-05-22 | 93.76 | 0.4506 | 0.4536 | no |
| CDW | 2023-05-22 | 164.39 | 0.4337 | 0.4802 | no |
| CI | 2023-05-22 | 239.86 | 0.2753 | 0.4802 | no |
| CZR | 2023-05-22 | 44.02 | 0.2512 | 0.4845 | no |
| DIS | 2023-05-22 | 88.55 | 0.2620 | 0.4501 | no |
| DTE | 2023-05-22 | 97.39 | 0.3289 | 0.5307 | no |
| EL | 2023-05-22 | 186.92 | 0.4750 | 0.4828 | no |
| FANG | 2023-05-22 | 116.22 | 0.2303 | 0.5626 | no |
| GLW | 2023-05-22 | 28.93 | 0.2701 | 0.4416 | no |
| HPE | 2023-05-22 | 13.17 | 0.4565 | 0.4683 | no |
| IDXX | 2023-05-22 | 490.00 | 0.3106 | 0.4658 | no |
| IEX | 2023-05-22 | 195.97 | 0.2325 | 0.4742 | no |
| IFF | 2023-05-22 | 77.14 | 0.3784 | 0.4634 | no |
| INTC | 2023-05-22 | 29.25 | 0.6171 | 0.5139 | no |
| IVZ | 2023-05-22 | 13.22 | 0.2376 | 0.4263 | no |
| JBHT | 2023-05-22 | 164.51 | 0.3028 | 0.5071 | no |
| JNJ | 2023-05-22 | 144.04 | 0.3587 | 0.5094 | no |
| LW | 2023-05-22 | 106.19 | 0.2524 | 0.4805 | no |
| LYB | 2023-05-22 | 72.68 | 0.2356 | 0.4804 | no |
| MCHP | 2023-05-22 | 71.37 | 0.3702 | 0.5013 | no |
| MGM | 2023-05-22 | 42.53 | 0.3774 | 0.4550 | no |
| MMM | 2023-05-22 | 75.01 | 0.4156 | 0.4813 | no |
| MOH | 2023-05-22 | 286.67 | 0.4112 | 0.4473 | no |
| MSI | 2023-05-22 | 285.27 | 0.3203 | 0.4549 | no |
| NVR | 2023-05-22 | 5845.00 | 0.4061 | — | no |
| PFE | 2023-05-22 | 30.06 | 0.3289 | 0.5825 | no |
| PFG | 2023-05-22 | 61.46 | 0.3489 | 0.4500 | no |
| PNR | 2023-05-22 | 57.00 | 0.2748 | 0.4788 | no |
| SBUX | 2023-05-22 | 97.33 | 0.2321 | 0.4986 | no |
| SNPS | 2023-05-22 | 405.76 | 0.3311 | 0.5502 | no |
| SYK | 2023-05-22 | 277.61 | 0.2603 | 0.5060 | no |
| SYY | 2023-05-22 | 66.83 | 0.2499 | 0.4996 | no |
| TER | 2023-05-22 | 95.45 | 0.6519 | 0.4950 | no |
| TFX | 2023-05-22 | 236.74 | 0.2568 | 0.5149 | no |
| TRV | 2023-05-22 | 172.00 | 0.2456 | 0.4919 | no |
| TXT | 2023-05-22 | 64.16 | 0.3973 | 0.5580 | no |
| UHS | 2023-05-22 | 132.69 | 0.3563 | 0.4892 | no |
| VMC | 2023-05-22 | 192.29 | 0.2686 | 0.4873 | no |
| WMB | 2023-05-22 | 25.39 | 0.2413 | 0.4427 | no |
| WY | 2023-05-22 | 26.57 | 0.4405 | 0.5054 | no |
| XEL | 2023-05-22 | 58.89 | 0.2671 | 0.5223 | no |
| YUM | 2023-05-22 | 129.63 | 0.2360 | 0.4624 | no |