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 | -0.79% | 6.25% | 2023-07-26 | -6.77% |
| buy & hold | participation factor overlay | 6 months | complete | 1.67% | 6.25% | 2023-07-26 | -13.12% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.39% | 6.02% | 2023-07-26 | -7.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.50% | 6.02% | 2023-07-26 | -14.13% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.77% | 4.78% | 2023-07-31 | -6.47% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.74% | 4.78% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.50% | 5.37% | 2023-07-31 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.21% | 5.37% | 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 |
|---|---|---|---|---|---|
| AMT | 2023-06-12 | 167.41 | 0.2953 | 0.4363 | no |
| APA | 2023-06-12 | 28.99 | 0.4889 | 0.6294 | no |
| APH | 2023-06-12 | 19.09 | 0.3032 | 0.4555 | no |
| BAX | 2023-06-12 | 39.57 | 0.3056 | 0.4849 | no |
| BBY | 2023-06-12 | 64.03 | 0.3195 | 0.5277 | no |
| BSX | 2023-06-12 | 51.22 | 0.2587 | 0.4884 | no |
| CAG | 2023-06-12 | 28.36 | 0.4102 | 0.4851 | no |
| CDW | 2023-06-12 | 162.63 | 0.3197 | 0.4770 | no |
| CL | 2023-06-12 | 70.57 | 0.3016 | 0.4729 | no |
| CMS | 2023-06-12 | 54.93 | 0.2816 | 0.5246 | no |
| CNP | 2023-06-12 | 27.06 | 0.3839 | 0.4683 | no |
| CTAS | 2023-06-12 | 116.67 | 0.2456 | 0.4671 | no |
| CVS | 2023-06-12 | 63.32 | 0.2974 | 0.5293 | no |
| D | 2023-06-12 | 45.49 | 0.3655 | 0.4799 | no |
| DLTR | 2023-06-12 | 131.57 | 0.3911 | 0.6040 | no |
| DTE | 2023-06-12 | 100.04 | 0.3145 | 0.5307 | no |
| DVN | 2023-06-12 | 43.43 | 0.3219 | 0.6100 | no |
| ELV | 2023-06-12 | 445.70 | 0.2384 | 0.4910 | no |
| ENPH | 2023-06-12 | 172.83 | 0.3112 | 0.4500 | no |
| ETR | 2023-06-12 | 45.60 | 0.2439 | 0.5467 | no |
| EXPD | 2023-06-12 | 111.53 | 0.2513 | — | no |
| FOX | 2023-06-12 | 29.99 | 0.2410 | — | no |
| HLT | 2023-06-12 | 141.53 | 0.2562 | 0.4309 | no |
| HSY | 2023-06-12 | 233.05 | 0.2572 | 0.4796 | no |
| IFF | 2023-06-12 | 72.11 | 0.3359 | 0.4628 | no |
| ITW | 2023-06-12 | 220.77 | 0.3250 | 0.4744 | no |
| KMB | 2023-06-12 | 118.13 | 0.3211 | 0.4904 | no |
| KR | 2023-06-12 | 43.00 | 0.2404 | 0.5784 | no |
| LHX | 2023-06-12 | 176.89 | 0.3245 | 0.5464 | no |
| MCK | 2023-06-12 | 387.99 | 0.4378 | 0.4699 | no |
| MDLZ | 2023-06-12 | 66.55 | 0.2934 | 0.4897 | no |
| MDT | 2023-06-12 | 75.37 | 0.2639 | 0.4851 | no |
| MOS | 2023-06-12 | 31.49 | 0.3961 | 0.4746 | no |
| OGN | 2023-06-12 | 17.53 | 0.3789 | 0.4820 | no |
| OKE | 2023-06-12 | 50.29 | 0.2665 | 0.4646 | no |
| QCOM | 2023-06-12 | 112.79 | 0.2805 | 0.4747 | no |
| RTX | 2023-06-12 | 92.97 | 0.5528 | 0.5811 | no |
| SJM | 2023-06-12 | 135.32 | 0.2601 | 0.4634 | no |
| SRE | 2023-06-12 | 66.80 | 0.3296 | 0.4866 | no |
| STE | 2023-06-12 | 200.02 | 0.2934 | 0.4961 | no |
| SYK | 2023-06-12 | 271.24 | 0.3400 | 0.5052 | no |
| SYY | 2023-06-12 | 66.54 | 0.3719 | 0.5057 | no |
| TER | 2023-06-12 | 105.16 | 0.2639 | 0.4975 | no |
| TFX | 2023-06-12 | 230.50 | 0.3373 | 0.5151 | no |
| TXT | 2023-06-12 | 65.14 | 0.4096 | 0.5588 | no |
| ULTA | 2023-06-12 | 423.84 | 0.2364 | 0.5061 | no |
| URI | 2023-06-12 | 376.79 | 0.3843 | 0.5005 | no |
| WAB | 2023-06-12 | 97.51 | 0.2467 | 0.5102 | no |
| WY | 2023-06-12 | 26.79 | 0.3059 | 0.5055 | no |
| ZTS | 2023-06-12 | 156.91 | 0.2382 | 0.5063 | no |