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 | 1.21% | 7.05% | 2023-07-25 | -6.03% |
| buy & hold | participation factor overlay | 6 months | complete | 2.76% | 7.05% | 2023-07-25 | -11.71% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.39% | 6.94% | 2023-07-25 | -5.76% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.08% | 6.94% | 2023-07-25 | -12.46% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.32% | 4.83% | 2023-07-31 | -6.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.03% | 4.83% | 2023-07-31 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.24% | 5.00% | 2023-07-19 | -6.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.35% | 5.00% | 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 |
|---|---|---|---|---|---|
| AES | 2023-06-05 | 17.36 | 0.3790 | — | no |
| AMGN | 2023-06-05 | 199.17 | 0.2596 | 0.6289 | no |
| APH | 2023-06-05 | 18.89 | 0.3870 | 0.4557 | no |
| BBY | 2023-06-05 | 61.65 | 0.4055 | 0.5277 | no |
| BF.B | 2023-06-05 | 58.63 | 0.2740 | — | no |
| CB | 2023-06-05 | 185.34 | 0.2941 | 0.4938 | no |
| CMS | 2023-06-05 | 52.67 | 0.2016 | 0.5246 | no |
| CNP | 2023-06-05 | 26.35 | 0.2920 | 0.4683 | no |
| CSX | 2023-06-05 | 30.54 | 0.2107 | 0.5111 | no |
| CTAS | 2023-06-05 | 117.23 | 0.3060 | 0.4671 | no |
| CTVA | 2023-06-05 | 53.98 | 0.2267 | 0.4812 | no |
| D | 2023-06-05 | 43.19 | 0.3093 | 0.4799 | no |
| DG | 2023-06-05 | 153.13 | 0.2425 | 0.5679 | no |
| DOV | 2023-06-05 | 134.57 | 0.1835 | 0.4653 | no |
| DVN | 2023-06-05 | 43.88 | 0.3331 | 0.6100 | no |
| ECL | 2023-06-05 | 166.62 | 0.2106 | 0.4877 | no |
| ED | 2023-06-05 | 82.16 | 0.2793 | — | no |
| EQT | 2023-06-05 | 35.63 | 0.3681 | 0.5308 | no |
| FOX | 2023-06-05 | 28.48 | 0.3477 | — | no |
| GLW | 2023-06-05 | 29.28 | 0.2910 | 0.4409 | no |
| GRMN | 2023-06-05 | 99.52 | 0.3825 | 0.4596 | no |
| HLT | 2023-06-05 | 141.18 | 0.4264 | 0.4309 | no |
| HSY | 2023-06-05 | 237.25 | 0.2657 | 0.4842 | no |
| IDXX | 2023-06-05 | 468.95 | 0.3480 | 0.4656 | no |
| IFF | 2023-06-05 | 73.57 | 0.3915 | 0.4631 | no |
| LEN | 2023-06-05 | 102.94 | 0.1999 | 0.4409 | no |
| LHX | 2023-06-05 | 171.81 | 0.2336 | 0.5469 | no |
| MCHP | 2023-06-05 | 71.49 | 0.3024 | 0.5015 | no |
| MDT | 2023-06-05 | 75.37 | 0.2219 | 0.4851 | no |
| MNST | 2023-06-05 | 29.74 | 0.4932 | 0.4496 | no |
| MSFT | 2023-06-05 | 326.86 | 0.2766 | 0.4534 | no |
| NI | 2023-06-05 | 24.25 | 0.2056 | 0.5293 | no |
| OGN | 2023-06-05 | 17.41 | 0.4474 | 0.4820 | no |
| PEG | 2023-06-05 | 54.15 | 0.4433 | 0.5211 | no |
| RHI | 2023-06-05 | 59.00 | 0.4203 | 0.4640 | no |
| RL | 2023-06-05 | 106.87 | 0.6174 | 0.4642 | no |
| ROP | 2023-06-05 | 448.42 | 0.2703 | 0.4491 | no |
| RSG | 2023-06-05 | 139.17 | 0.1828 | 0.5086 | no |
| SBAC | 2023-06-05 | 211.55 | 0.2543 | 0.4478 | no |
| SLB | 2023-06-05 | 43.65 | 0.2313 | 0.5708 | no |
| SYK | 2023-06-05 | 271.32 | 0.2862 | 0.5052 | no |
| TER | 2023-06-05 | 101.64 | 0.3146 | 0.4951 | no |
| TFX | 2023-06-05 | 229.72 | 0.2495 | 0.5151 | no |
| TXT | 2023-06-05 | 63.80 | 0.3539 | 0.5591 | no |
| UHS | 2023-06-05 | 133.47 | 0.2170 | 0.4892 | no |
| VICI | 2023-06-05 | 25.75 | 0.3812 | 0.4362 | no |
| VLO | 2023-06-05 | 100.97 | 0.2464 | 0.4606 | no |
| VRTX | 2023-06-05 | 334.00 | 0.1989 | 0.5753 | no |
| WM | 2023-06-05 | 157.01 | 0.2691 | 0.4962 | no |
| XOM | 2023-06-05 | 96.34 | 0.2832 | 0.5287 | no |