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 | -0.73% | 5.86% | 2023-07-24 | -6.26% |
| buy & hold | participation factor overlay | 6 months | complete | 0.82% | 5.86% | 2023-07-24 | -13.27% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.20% | 5.63% | 2023-07-26 | -5.80% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.70% | 5.63% | 2023-07-26 | -13.23% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.44% | 5.29% | 2023-07-25 | -6.60% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.44% | 5.29% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.99% | 4.71% | 2023-07-31 | -6.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.48% | 4.71% | 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 |
|---|---|---|---|---|---|
| AES | 2023-06-12 | 17.29 | 0.2410 | — | no |
| AMGN | 2023-06-12 | 198.79 | 0.2474 | 0.6293 | no |
| AMT | 2023-06-12 | 167.41 | 0.2369 | 0.4363 | no |
| APA | 2023-06-12 | 28.99 | 0.4337 | 0.6294 | no |
| APH | 2023-06-12 | 19.09 | 0.2504 | 0.4555 | no |
| BBY | 2023-06-12 | 64.03 | 0.4185 | 0.5277 | no |
| CAG | 2023-06-12 | 28.36 | 0.2353 | 0.4851 | no |
| CDW | 2023-06-12 | 162.63 | 0.3976 | 0.4770 | no |
| CMS | 2023-06-12 | 54.93 | 0.3161 | 0.5246 | no |
| CNP | 2023-06-12 | 27.06 | 0.3507 | 0.4683 | no |
| D | 2023-06-12 | 45.49 | 0.4134 | 0.4799 | no |
| DE | 2023-06-12 | 362.25 | 0.2468 | 0.4706 | no |
| DIS | 2023-06-12 | 89.44 | 0.2870 | 0.4495 | no |
| DLTR | 2023-06-12 | 131.57 | 0.2488 | 0.6040 | no |
| DOV | 2023-06-12 | 136.01 | 0.2632 | 0.4652 | no |
| DTE | 2023-06-12 | 100.04 | 0.2527 | 0.5307 | no |
| DVN | 2023-06-12 | 43.43 | 0.5363 | 0.6100 | no |
| ES | 2023-06-12 | 61.50 | 0.2932 | 0.5167 | no |
| EW | 2023-06-12 | 83.79 | 0.4198 | 0.4648 | no |
| FOX | 2023-06-12 | 29.99 | 0.2838 | — | no |
| FTNT | 2023-06-12 | 68.20 | 0.2331 | 0.4974 | no |
| GLW | 2023-06-12 | 30.60 | 0.3759 | 0.4409 | no |
| HLT | 2023-06-12 | 141.53 | 0.2504 | 0.4309 | no |
| HSY | 2023-06-12 | 233.05 | 0.2942 | 0.4796 | no |
| ITW | 2023-06-12 | 220.77 | 0.2478 | 0.4744 | no |
| LEN | 2023-06-12 | 105.69 | 0.2506 | 0.4409 | no |
| LHX | 2023-06-12 | 176.89 | 0.2435 | 0.5464 | no |
| MCK | 2023-06-12 | 387.99 | 0.4246 | 0.4699 | no |
| MDLZ | 2023-06-12 | 66.55 | 0.3102 | 0.4897 | no |
| MDT | 2023-06-12 | 75.37 | 0.2926 | 0.4851 | no |
| MNST | 2023-06-12 | 28.69 | 0.2454 | 0.4510 | no |
| MOS | 2023-06-12 | 31.49 | 0.5236 | 0.4746 | no |
| MS | 2023-06-12 | 77.91 | 0.3435 | 0.4294 | no |
| NWS | 2023-06-12 | 18.94 | 0.2846 | — | no |
| OGN | 2023-06-12 | 17.53 | 0.5407 | 0.4820 | no |
| OKE | 2023-06-12 | 50.29 | 0.2333 | 0.4646 | no |
| PEP | 2023-06-12 | 162.62 | 0.2467 | 0.4686 | no |
| RL | 2023-06-12 | 111.77 | 0.2812 | 0.4566 | no |
| RTX | 2023-06-12 | 92.97 | 0.4882 | 0.5811 | no |
| SBAC | 2023-06-12 | 210.12 | 0.2691 | 0.4478 | no |
| SJM | 2023-06-12 | 135.32 | 0.3026 | 0.4634 | no |
| SRE | 2023-06-12 | 66.80 | 0.4056 | 0.4866 | no |
| STE | 2023-06-12 | 200.02 | 0.3169 | 0.4961 | no |
| SYK | 2023-06-12 | 271.24 | 0.2533 | 0.5052 | no |
| SYY | 2023-06-12 | 66.54 | 0.3775 | 0.5057 | no |
| TER | 2023-06-12 | 105.16 | 0.3148 | 0.4975 | no |
| TFX | 2023-06-12 | 230.50 | 0.6055 | 0.5151 | no |
| TXT | 2023-06-12 | 65.14 | 0.3912 | 0.5588 | no |
| URI | 2023-06-12 | 376.79 | 0.5995 | 0.5005 | no |
| WEC | 2023-06-12 | 80.35 | 0.3006 | 0.4978 | no |