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 | -0.32% | 5.97% | 2023-07-26 | -5.94% |
| buy & hold | participation factor overlay | 6 months | complete | 3.00% | 5.97% | 2023-07-26 | -12.43% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.64% | 5.45% | 2023-07-26 | -5.89% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.70% | 5.45% | 2023-07-26 | -12.89% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.82% | 4.95% | 2023-07-31 | -6.78% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.26% | 4.95% | 2023-07-31 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.65% | 4.60% | 2023-07-31 | -7.50% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.77% | 4.60% | 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 |
|---|---|---|---|---|---|
| ABBV | 2023-06-12 | 124.46 | 0.2686 | 0.5772 | no |
| ACGL | 2023-06-12 | 67.78 | 0.2559 | 0.4934 | no |
| AJG | 2023-06-12 | 200.40 | 0.2732 | 0.5179 | no |
| AMT | 2023-06-12 | 167.41 | 0.4217 | 0.4363 | no |
| APA | 2023-06-12 | 28.99 | 0.4169 | 0.6294 | no |
| APH | 2023-06-12 | 19.09 | 0.3010 | 0.4555 | no |
| AZO | 2023-06-12 | 2390.33 | 0.2927 | 0.5294 | no |
| BAX | 2023-06-12 | 39.57 | 0.2515 | 0.4849 | no |
| BBY | 2023-06-12 | 64.03 | 0.3774 | 0.5277 | no |
| BSX | 2023-06-12 | 51.22 | 0.2587 | 0.4884 | no |
| CAG | 2023-06-12 | 28.36 | 0.2894 | 0.4851 | no |
| CDW | 2023-06-12 | 162.63 | 0.4275 | 0.4770 | no |
| CMS | 2023-06-12 | 54.93 | 0.3850 | 0.5246 | no |
| CNP | 2023-06-12 | 27.06 | 0.3849 | 0.4683 | no |
| COST | 2023-06-12 | 496.18 | 0.2575 | 0.6034 | no |
| D | 2023-06-12 | 45.49 | 0.4229 | 0.4799 | no |
| DLTR | 2023-06-12 | 131.57 | 0.2842 | 0.6040 | no |
| DOV | 2023-06-12 | 136.01 | 0.2803 | 0.4652 | no |
| DUK | 2023-06-12 | 81.03 | 0.3445 | 0.5311 | no |
| ES | 2023-06-12 | 61.50 | 0.2925 | 0.5167 | no |
| ETR | 2023-06-12 | 45.60 | 0.2479 | 0.5467 | no |
| GILD | 2023-06-12 | 69.78 | 0.2636 | 0.5605 | no |
| GLW | 2023-06-12 | 30.60 | 0.2937 | 0.4409 | no |
| HSY | 2023-06-12 | 233.05 | 0.2886 | 0.4796 | no |
| IFF | 2023-06-12 | 72.11 | 0.4059 | 0.4628 | no |
| ITW | 2023-06-12 | 220.77 | 0.4244 | 0.4744 | no |
| KMB | 2023-06-12 | 118.13 | 0.3213 | 0.4904 | no |
| LEN | 2023-06-12 | 105.69 | 0.3457 | 0.4409 | no |
| LHX | 2023-06-12 | 176.89 | 0.3364 | 0.5464 | no |
| MCK | 2023-06-12 | 387.99 | 0.3384 | 0.4699 | no |
| MDLZ | 2023-06-12 | 66.55 | 0.4219 | 0.4897 | no |
| MDT | 2023-06-12 | 75.37 | 0.3459 | 0.4851 | no |
| MOS | 2023-06-12 | 31.49 | 0.6798 | 0.4746 | no |
| MS | 2023-06-12 | 77.91 | 0.4342 | 0.4294 | no |
| NTRS | 2023-06-12 | 68.09 | 0.2799 | 0.4441 | no |
| OGN | 2023-06-12 | 17.53 | 0.2675 | 0.4820 | no |
| QCOM | 2023-06-12 | 112.79 | 0.3933 | 0.4747 | no |
| RTX | 2023-06-12 | 92.97 | 0.3886 | 0.5811 | no |
| SBAC | 2023-06-12 | 210.12 | 0.3402 | 0.4478 | no |
| STE | 2023-06-12 | 200.02 | 0.3536 | 0.4961 | no |
| SYK | 2023-06-12 | 271.24 | 0.3081 | 0.5052 | no |
| SYY | 2023-06-12 | 66.54 | 0.3520 | 0.5057 | no |
| TAP | 2023-06-12 | 59.58 | 0.2642 | 0.4492 | no |
| TER | 2023-06-12 | 105.16 | 0.3646 | 0.4975 | no |
| TFX | 2023-06-12 | 230.50 | 0.4640 | 0.5151 | no |
| TXT | 2023-06-12 | 65.14 | 0.4148 | 0.5588 | no |
| URI | 2023-06-12 | 376.79 | 0.4035 | 0.5005 | no |
| VICI | 2023-06-12 | 26.37 | 0.2424 | 0.4362 | no |
| WAB | 2023-06-12 | 97.51 | 0.2816 | 0.5102 | no |
| YUM | 2023-06-12 | 125.42 | 0.2689 | 0.4628 | no |