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 | 2.92% | 7.22% | 2023-07-24 | -4.92% |
| buy & hold | participation factor overlay | 6 months | complete | 4.19% | 7.22% | 2023-07-24 | -11.30% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.86% | 7.00% | 2023-07-24 | -4.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.62% | 7.00% | 2023-07-24 | -11.70% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.60% | 6.14% | 2023-07-31 | -6.78% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.06% | 6.14% | 2023-07-31 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.15% | 6.45% | 2023-07-31 | -7.50% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.39% | 6.45% | 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 |
|---|---|---|---|---|---|
| AJG | 2023-06-05 | 199.52 | 0.2276 | 0.5179 | no |
| APH | 2023-06-05 | 18.89 | 0.2487 | 0.4557 | no |
| ATO | 2023-06-05 | 106.01 | 0.2315 | 0.5294 | no |
| AVY | 2023-06-05 | 155.90 | 0.2352 | 0.4822 | no |
| BBY | 2023-06-05 | 61.65 | 0.2089 | 0.5277 | no |
| BMY | 2023-06-05 | 56.72 | 0.3322 | 0.6239 | no |
| CB | 2023-06-05 | 185.34 | 0.2375 | 0.4938 | no |
| CDW | 2023-06-05 | 165.50 | 0.3538 | 0.4770 | no |
| CE | 2023-06-05 | 110.16 | 0.2344 | 0.4805 | no |
| CHD | 2023-06-05 | 90.22 | 0.2593 | 0.4660 | no |
| CMS | 2023-06-05 | 52.67 | 0.2662 | 0.5246 | no |
| CNP | 2023-06-05 | 26.35 | 0.2630 | 0.4683 | no |
| CSX | 2023-06-05 | 30.54 | 0.2721 | 0.5111 | no |
| D | 2023-06-05 | 43.19 | 0.2971 | 0.4799 | no |
| DOV | 2023-06-05 | 134.57 | 0.2967 | 0.4653 | no |
| DTE | 2023-06-05 | 97.60 | 0.2976 | 0.5307 | no |
| DVN | 2023-06-05 | 43.88 | 0.2115 | 0.6100 | no |
| EQT | 2023-06-05 | 35.63 | 0.3213 | 0.5308 | no |
| EVRG | 2023-06-05 | 50.66 | 0.2464 | 0.4953 | no |
| FOX | 2023-06-05 | 28.48 | 0.3473 | — | no |
| GLW | 2023-06-05 | 29.28 | 0.2605 | 0.4409 | no |
| GRMN | 2023-06-05 | 99.52 | 0.3010 | 0.4596 | no |
| HCA | 2023-06-05 | 266.05 | 0.2174 | 0.4884 | no |
| HLT | 2023-06-05 | 141.18 | 0.2304 | 0.4309 | no |
| ICE | 2023-06-05 | 103.70 | 0.2082 | 0.5764 | no |
| IDXX | 2023-06-05 | 468.95 | 0.3035 | 0.4656 | no |
| IVZ | 2023-06-05 | 13.30 | 0.3064 | 0.4263 | no |
| KMI | 2023-06-05 | 14.38 | 0.2897 | 0.4730 | no |
| LDOS | 2023-06-05 | 78.49 | 0.2169 | 0.5522 | no |
| LEN | 2023-06-05 | 102.94 | 0.2209 | 0.4409 | no |
| LHX | 2023-06-05 | 171.81 | 0.3316 | 0.5469 | no |
| MNST | 2023-06-05 | 29.74 | 0.5515 | 0.4496 | no |
| NI | 2023-06-05 | 24.25 | 0.2236 | 0.5293 | no |
| OGN | 2023-06-05 | 17.41 | 0.4050 | 0.4820 | no |
| PEG | 2023-06-05 | 54.15 | 0.4910 | 0.5211 | no |
| QCOM | 2023-06-05 | 107.56 | 0.2076 | 0.4747 | no |
| RHI | 2023-06-05 | 59.00 | 0.3941 | 0.4640 | no |
| RL | 2023-06-05 | 106.87 | 0.5097 | 0.4642 | no |
| RTX | 2023-06-05 | 90.37 | 0.2359 | 0.5819 | no |
| SBAC | 2023-06-05 | 211.55 | 0.2213 | 0.4478 | no |
| SLB | 2023-06-05 | 43.65 | 0.2162 | 0.5708 | no |
| SWKS | 2023-06-05 | 94.73 | 0.2114 | 0.5282 | no |
| SYK | 2023-06-05 | 271.32 | 0.3360 | 0.5052 | no |
| TER | 2023-06-05 | 101.64 | 0.3796 | 0.4951 | no |
| TFX | 2023-06-05 | 229.72 | 0.2141 | 0.5151 | no |
| TXT | 2023-06-05 | 63.80 | 0.2891 | 0.5591 | no |
| UHS | 2023-06-05 | 133.47 | 0.4572 | 0.4892 | no |
| VICI | 2023-06-05 | 25.75 | 0.3207 | 0.4362 | no |
| VLO | 2023-06-05 | 100.97 | 0.3355 | 0.4606 | no |
| WM | 2023-06-05 | 157.01 | 0.3326 | 0.4962 | no |