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 | 2.72% | 7.24% | 2023-07-26 | -5.70% |
| buy & hold | participation factor overlay | 6 months | complete | 1.84% | 7.24% | 2023-07-26 | -12.95% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.60% | 7.59% | 2023-07-24 | -5.77% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.85% | 7.59% | 2023-07-24 | -13.26% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.72% | 5.60% | 2023-07-31 | -6.47% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.64% | 5.60% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.15% | 7.02% | 2023-07-31 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.02% | 7.02% | 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 |
|---|---|---|---|---|---|
| APH | 2023-06-05 | 18.89 | 0.2712 | 0.4557 | no |
| AVY | 2023-06-05 | 155.90 | 0.2820 | 0.4822 | no |
| BAX | 2023-06-05 | 38.90 | 0.1978 | 0.4849 | no |
| BBY | 2023-06-05 | 61.65 | 0.3381 | 0.5277 | no |
| BIO | 2023-06-05 | 372.63 | 0.2519 | 0.4650 | no |
| BMY | 2023-06-05 | 56.72 | 0.2059 | 0.6239 | no |
| CAH | 2023-06-05 | 80.40 | 0.2930 | 0.4475 | no |
| CAT | 2023-06-05 | 216.55 | 0.2554 | 0.4869 | no |
| CB | 2023-06-05 | 185.34 | 0.2365 | 0.4938 | no |
| CDW | 2023-06-05 | 165.50 | 0.4841 | 0.4770 | no |
| CNP | 2023-06-05 | 26.35 | 0.4216 | 0.4683 | no |
| CTAS | 2023-06-05 | 117.23 | 0.1961 | 0.4671 | no |
| CTVA | 2023-06-05 | 53.98 | 0.1945 | 0.4812 | no |
| D | 2023-06-05 | 43.19 | 0.2921 | 0.4799 | no |
| DTE | 2023-06-05 | 97.60 | 0.2918 | 0.5307 | no |
| DVN | 2023-06-05 | 43.88 | 0.3447 | 0.6100 | no |
| EL | 2023-06-05 | 173.41 | 0.2111 | 0.4821 | no |
| EOG | 2023-06-05 | 101.97 | 0.2896 | 0.6267 | no |
| FE | 2023-06-05 | 32.99 | 0.3155 | 0.5274 | no |
| FOX | 2023-06-05 | 28.48 | 0.3639 | — | no |
| GLW | 2023-06-05 | 29.28 | 0.2914 | 0.4409 | no |
| GRMN | 2023-06-05 | 99.52 | 0.3923 | 0.4596 | no |
| HAS | 2023-06-05 | 52.56 | 0.1978 | 0.4603 | no |
| HCA | 2023-06-05 | 266.05 | 0.3232 | 0.4884 | no |
| IDXX | 2023-06-05 | 468.95 | 0.2030 | 0.4656 | no |
| IFF | 2023-06-05 | 73.57 | 0.3767 | 0.4631 | no |
| LEN | 2023-06-05 | 102.94 | 0.2427 | 0.4409 | no |
| LHX | 2023-06-05 | 171.81 | 0.2935 | 0.5469 | no |
| MNST | 2023-06-05 | 29.74 | 0.3270 | 0.4496 | no |
| NDSN | 2023-06-05 | 218.34 | 0.1935 | 0.4649 | no |
| NI | 2023-06-05 | 24.25 | 0.2201 | 0.5293 | no |
| NTRS | 2023-06-05 | 67.63 | 0.1879 | 0.4441 | no |
| NVR | 2023-06-05 | 5806.32 | 0.2025 | — | no |
| OGN | 2023-06-05 | 17.41 | 0.3843 | 0.4820 | no |
| PEG | 2023-06-05 | 54.15 | 0.4216 | 0.5211 | no |
| QCOM | 2023-06-05 | 107.56 | 0.2383 | 0.4747 | no |
| RHI | 2023-06-05 | 59.00 | 0.2412 | 0.4640 | no |
| RL | 2023-06-05 | 106.87 | 0.6748 | 0.4642 | no |
| RTX | 2023-06-05 | 90.37 | 0.3032 | 0.5819 | no |
| SBAC | 2023-06-05 | 211.55 | 0.2995 | 0.4478 | no |
| SLB | 2023-06-05 | 43.65 | 0.2091 | 0.5708 | no |
| SYK | 2023-06-05 | 271.32 | 0.1936 | 0.5052 | no |
| TER | 2023-06-05 | 101.64 | 0.3849 | 0.4951 | no |
| TFX | 2023-06-05 | 229.72 | 0.4002 | 0.5151 | no |
| TXT | 2023-06-05 | 63.80 | 0.2691 | 0.5591 | no |
| UHS | 2023-06-05 | 133.47 | 0.2766 | 0.4892 | no |
| VICI | 2023-06-05 | 25.75 | 0.2772 | 0.4362 | no |
| VLO | 2023-06-05 | 100.97 | 0.3057 | 0.4606 | no |
| WM | 2023-06-05 | 157.01 | 0.2312 | 0.4962 | no |
| XOM | 2023-06-05 | 96.34 | 0.2400 | 0.5287 | no |