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 | -0.09% | 6.79% | 2023-07-25 | -6.44% |
| buy & hold | participation factor overlay | 6 months | complete | 1.09% | 6.79% | 2023-07-25 | -13.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.05% | 6.14% | 2023-07-26 | -6.80% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.00% | 6.14% | 2023-07-26 | -14.62% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.95% | 4.08% | 2023-07-31 | -6.07% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.05% | 4.08% | 2023-07-31 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.47% | 3.85% | 2023-07-19 | -6.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.12% | 3.85% | 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 |
|---|---|---|---|---|---|
| AMGN | 2023-06-12 | 198.79 | 0.2341 | 0.6293 | no |
| AMT | 2023-06-12 | 167.41 | 0.3187 | 0.4363 | no |
| APA | 2023-06-12 | 28.99 | 0.5043 | 0.6294 | no |
| APH | 2023-06-12 | 19.09 | 0.3241 | 0.4555 | no |
| BBY | 2023-06-12 | 64.03 | 0.3805 | 0.5277 | no |
| BF.B | 2023-06-12 | 59.36 | 0.2425 | — | no |
| BIO | 2023-06-12 | 361.61 | 0.3399 | 0.4650 | no |
| BSX | 2023-06-12 | 51.22 | 0.3178 | 0.4884 | no |
| CDW | 2023-06-12 | 162.63 | 0.4489 | 0.4770 | no |
| CMS | 2023-06-12 | 54.93 | 0.2331 | 0.5246 | no |
| CNP | 2023-06-12 | 27.06 | 0.2927 | 0.4683 | no |
| COO | 2023-06-12 | 87.07 | 0.2340 | 0.4664 | no |
| CVS | 2023-06-12 | 63.32 | 0.3018 | 0.5293 | no |
| D | 2023-06-12 | 45.49 | 0.4924 | 0.4799 | no |
| DLTR | 2023-06-12 | 131.57 | 0.3333 | 0.6040 | no |
| DOV | 2023-06-12 | 136.01 | 0.2560 | 0.4652 | no |
| DUK | 2023-06-12 | 81.03 | 0.2546 | 0.5311 | no |
| DVN | 2023-06-12 | 43.43 | 0.2275 | 0.6100 | no |
| ELV | 2023-06-12 | 445.70 | 0.2377 | 0.4910 | no |
| ENPH | 2023-06-12 | 172.83 | 0.4136 | 0.4500 | no |
| ES | 2023-06-12 | 61.50 | 0.2736 | 0.5167 | no |
| EW | 2023-06-12 | 83.79 | 0.2676 | 0.4648 | no |
| EXPD | 2023-06-12 | 111.53 | 0.2583 | — | no |
| GLW | 2023-06-12 | 30.60 | 0.2463 | 0.4409 | no |
| HSY | 2023-06-12 | 233.05 | 0.2712 | 0.4796 | no |
| IDXX | 2023-06-12 | 452.21 | 0.2988 | 0.4656 | no |
| IFF | 2023-06-12 | 72.11 | 0.4943 | 0.4628 | no |
| ITW | 2023-06-12 | 220.77 | 0.2591 | 0.4744 | no |
| KMB | 2023-06-12 | 118.13 | 0.2773 | 0.4904 | no |
| LHX | 2023-06-12 | 176.89 | 0.2804 | 0.5464 | no |
| MCK | 2023-06-12 | 387.99 | 0.4959 | 0.4699 | no |
| MDLZ | 2023-06-12 | 66.55 | 0.2486 | 0.4897 | no |
| MDT | 2023-06-12 | 75.37 | 0.3103 | 0.4851 | no |
| MOS | 2023-06-12 | 31.49 | 0.5200 | 0.4746 | no |
| MS | 2023-06-12 | 77.91 | 0.3624 | 0.4294 | no |
| NTRS | 2023-06-12 | 68.09 | 0.3072 | 0.4441 | no |
| NWS | 2023-06-12 | 18.94 | 0.3161 | — | no |
| OGN | 2023-06-12 | 17.53 | 0.3483 | 0.4820 | no |
| ORLY | 2023-06-12 | 60.33 | 0.2658 | 0.5660 | no |
| PEG | 2023-06-12 | 55.87 | 0.2554 | 0.5211 | no |
| RHI | 2023-06-12 | 61.71 | 0.2858 | 0.4642 | no |
| RTX | 2023-06-12 | 92.97 | 0.3330 | 0.5811 | no |
| SLB | 2023-06-12 | 42.85 | 0.2320 | 0.5708 | no |
| SRE | 2023-06-12 | 66.80 | 0.2728 | 0.4866 | no |
| SYK | 2023-06-12 | 271.24 | 0.3086 | 0.5052 | no |
| SYY | 2023-06-12 | 66.54 | 0.2543 | 0.5057 | no |
| TER | 2023-06-12 | 105.16 | 0.3397 | 0.4975 | no |
| TFX | 2023-06-12 | 230.50 | 0.2838 | 0.5151 | no |
| TXT | 2023-06-12 | 65.14 | 0.3860 | 0.5588 | no |
| URI | 2023-06-12 | 376.79 | 0.4052 | 0.5005 | no |