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 | 2.24% | 6.89% | 2023-07-25 | -5.55% |
| buy & hold | participation factor overlay | 6 months | complete | 2.04% | 6.89% | 2023-07-25 | -12.12% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.68% | 7.64% | 2023-07-25 | -5.45% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.62% | 7.64% | 2023-07-25 | -13.00% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.63% | 6.26% | 2023-07-25 | -6.60% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.53% | 6.26% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.39% | 6.21% | 2023-07-31 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.88% | 6.21% | 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 |
|---|---|---|---|---|---|
| APH | 2023-06-05 | 18.89 | 0.5094 | 0.4557 | no |
| AZO | 2023-06-05 | 2376.39 | 0.2000 | 0.5294 | no |
| BAX | 2023-06-05 | 38.90 | 0.2177 | 0.4849 | no |
| BBY | 2023-06-05 | 61.65 | 0.2054 | 0.5277 | no |
| BIO | 2023-06-05 | 372.63 | 0.2250 | 0.4650 | no |
| BMY | 2023-06-05 | 56.72 | 0.1867 | 0.6239 | no |
| CAH | 2023-06-05 | 80.40 | 0.2031 | 0.4475 | no |
| CDW | 2023-06-05 | 165.50 | 0.3026 | 0.4770 | no |
| CNP | 2023-06-05 | 26.35 | 0.2484 | 0.4683 | no |
| CSX | 2023-06-05 | 30.54 | 0.2272 | 0.5111 | no |
| D | 2023-06-05 | 43.19 | 0.2950 | 0.4799 | no |
| DIS | 2023-06-05 | 88.42 | 0.2465 | 0.4495 | no |
| DTE | 2023-06-05 | 97.60 | 0.2110 | 0.5307 | no |
| DVN | 2023-06-05 | 43.88 | 0.2535 | 0.6100 | no |
| ED | 2023-06-05 | 82.16 | 0.2423 | — | no |
| EQT | 2023-06-05 | 35.63 | 0.2682 | 0.5308 | no |
| FOX | 2023-06-05 | 28.48 | 0.2362 | — | no |
| GLW | 2023-06-05 | 29.28 | 0.3043 | 0.4409 | no |
| GRMN | 2023-06-05 | 99.52 | 0.2569 | 0.4596 | no |
| HCA | 2023-06-05 | 266.05 | 0.1943 | 0.4884 | no |
| HLT | 2023-06-05 | 141.18 | 0.2544 | 0.4309 | no |
| IDXX | 2023-06-05 | 468.95 | 0.2839 | 0.4656 | no |
| IFF | 2023-06-05 | 73.57 | 0.2847 | 0.4631 | no |
| KLAC | 2023-06-05 | 44.44 | 0.1901 | 0.5210 | no |
| KMI | 2023-06-05 | 14.38 | 0.2278 | 0.4730 | no |
| LHX | 2023-06-05 | 171.81 | 0.2678 | 0.5469 | no |
| LOW | 2023-06-05 | 195.25 | 0.3188 | 0.5343 | no |
| MCHP | 2023-06-05 | 71.49 | 0.3726 | 0.5015 | no |
| MNST | 2023-06-05 | 29.74 | 0.4527 | 0.4496 | no |
| MS | 2023-06-05 | 76.28 | 0.2136 | 0.4294 | no |
| MTD | 2023-06-05 | 1330.00 | 0.1947 | 0.4516 | no |
| NI | 2023-06-05 | 24.25 | 0.2069 | 0.5293 | no |
| NWS | 2023-06-05 | 18.54 | 0.2673 | — | no |
| OGN | 2023-06-05 | 17.41 | 0.2553 | 0.4820 | no |
| PEG | 2023-06-05 | 54.15 | 0.2004 | 0.5211 | no |
| PG | 2023-06-05 | 134.11 | 0.1963 | 0.4768 | no |
| RHI | 2023-06-05 | 59.00 | 0.3872 | 0.4640 | no |
| RL | 2023-06-05 | 106.87 | 0.5818 | 0.4642 | no |
| RTX | 2023-06-05 | 90.37 | 0.2368 | 0.5819 | no |
| SBAC | 2023-06-05 | 211.55 | 0.1897 | 0.4478 | no |
| SLB | 2023-06-05 | 43.65 | 0.2129 | 0.5708 | no |
| SYK | 2023-06-05 | 271.32 | 0.2382 | 0.5052 | no |
| TER | 2023-06-05 | 101.64 | 0.3611 | 0.4951 | no |
| TFX | 2023-06-05 | 229.72 | 0.3231 | 0.5151 | no |
| TXT | 2023-06-05 | 63.80 | 0.4144 | 0.5591 | no |
| UHS | 2023-06-05 | 133.47 | 0.3906 | 0.4892 | no |
| VICI | 2023-06-05 | 25.75 | 0.3195 | 0.4362 | no |
| VLO | 2023-06-05 | 100.97 | 0.3252 | 0.4606 | no |
| WM | 2023-06-05 | 157.01 | 0.2208 | 0.4962 | no |
| XOM | 2023-06-05 | 96.34 | 0.2844 | 0.5287 | no |