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 | -7.75% | 1.62% | 2023-07-25 | -9.22% |
| buy & hold | participation factor overlay | 6 months | complete | 1.69% | 2.12% | 2024-01-02 | -10.31% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -8.39% | 1.71% | 2023-07-25 | -9.93% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.76% | 1.71% | 2023-07-25 | -12.14% |
| weekly rebalance | participation factor overlay | 3 months | complete | -10.11% | 1.21% | 2023-07-31 | -11.19% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.27% | 3.04% | 2023-12-27 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -10.77% | 1.69% | 2023-07-19 | -12.25% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.06% | 3.68% | 2023-12-28 | -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 |
|---|---|---|---|---|---|
| AAP | 2023-07-03 | 65.88 | 0.2979 | 0.5477 | no |
| ABT | 2023-07-03 | 101.21 | 0.3144 | 0.4566 | no |
| ALB | 2023-07-03 | 213.46 | 0.3062 | 0.5018 | no |
| AMGN | 2023-07-03 | 200.57 | 0.2618 | 0.6210 | no |
| AMT | 2023-07-03 | 174.09 | 0.3678 | 0.4220 | no |
| AON | 2023-07-03 | 334.06 | 0.3193 | 0.4835 | no |
| BAX | 2023-07-03 | 42.56 | 0.2903 | 0.4805 | no |
| BRO | 2023-07-03 | 66.82 | 0.2925 | 0.5092 | no |
| CAH | 2023-07-03 | 89.58 | 0.2622 | 0.4458 | no |
| CEG | 2023-07-03 | 89.04 | 0.2581 | 0.5076 | no |
| CHD | 2023-07-03 | 96.38 | 0.3177 | 0.4476 | no |
| CMG | 2023-07-03 | 42.76 | 0.2698 | 0.4773 | no |
| CPRT | 2023-07-03 | 45.53 | 0.3241 | 0.4848 | no |
| CSX | 2023-07-03 | 32.35 | 0.2950 | 0.5147 | no |
| CVX | 2023-07-03 | 137.33 | 0.4236 | 0.5121 | no |
| D | 2023-07-03 | 44.16 | 0.5985 | 0.4664 | no |
| DG | 2023-07-03 | 158.55 | 0.3652 | 0.5669 | no |
| DGX | 2023-07-03 | 131.28 | 0.3581 | 0.5011 | no |
| DHI | 2023-07-03 | 117.62 | 0.2575 | 0.4622 | no |
| DUK | 2023-07-03 | 79.26 | 0.3632 | 0.5070 | no |
| ED | 2023-07-03 | 80.71 | 0.2707 | — | no |
| EL | 2023-07-03 | 185.78 | 0.2975 | 0.4671 | no |
| EMR | 2023-07-03 | 84.95 | 0.2742 | 0.4885 | no |
| EOG | 2023-07-03 | 102.35 | 0.3698 | 0.6230 | no |
| EXC | 2023-07-03 | 35.95 | 0.2846 | 0.4997 | no |
| EXPD | 2023-07-03 | 116.35 | 0.3760 | — | no |
| FE | 2023-07-03 | 33.81 | 0.3984 | 0.5076 | no |
| KHC | 2023-07-03 | 29.67 | 0.3590 | — | no |
| KMI | 2023-07-03 | 14.65 | 0.2870 | 0.4722 | no |
| KR | 2023-07-03 | 43.65 | 0.2992 | 0.6142 | no |
| LDOS | 2023-07-03 | 84.60 | 0.3494 | 0.5400 | no |
| LEN | 2023-07-03 | 115.56 | 0.2635 | 0.4308 | no |
| LKQ | 2023-07-03 | 52.18 | 0.4789 | 0.5039 | no |
| LYB | 2023-07-03 | 74.31 | 0.3618 | 0.4703 | no |
| MRK | 2023-07-03 | 103.76 | 0.2858 | 0.5179 | no |
| NCLH | 2023-07-03 | 21.56 | 0.3202 | 0.4195 | no |
| NDAQ | 2023-07-03 | 47.51 | 0.4341 | 0.5024 | no |
| NOC | 2023-07-03 | 429.15 | 0.2783 | 0.5435 | no |
| OXY | 2023-07-03 | 55.64 | 0.2834 | 0.5690 | no |
| PG | 2023-07-03 | 139.10 | 0.2833 | 0.4529 | no |
| RSG | 2023-07-03 | 147.01 | 0.3219 | 0.5041 | no |
| SNA | 2023-07-03 | 262.59 | 0.5349 | 0.4876 | no |
| SYK | 2023-07-03 | 294.21 | 0.3251 | 0.4999 | no |
| SYY | 2023-07-03 | 67.58 | 0.4030 | 0.5029 | no |
| TYL | 2023-07-03 | 414.99 | 0.3565 | 0.4301 | no |
| ULTA | 2023-07-03 | 470.48 | 0.4192 | 0.5013 | no |
| WEC | 2023-07-03 | 78.27 | 0.3356 | 0.4801 | no |
| WMB | 2023-07-03 | 28.80 | 0.2730 | 0.4388 | no |
| XOM | 2023-07-03 | 96.61 | 0.3343 | 0.5183 | no |
| XYL | 2023-07-03 | 107.40 | 0.3019 | 0.4730 | no |