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 | -4.40% | 2.93% | 2023-07-31 | -9.08% |
| buy & hold | participation factor overlay | 6 months | complete | 2.65% | 3.41% | 2023-12-28 | -11.64% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.19% | 3.75% | 2023-07-31 | -9.77% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.74% | 4.83% | 2023-12-28 | -12.71% |
| weekly rebalance | participation factor overlay | 3 months | complete | -7.91% | 2.56% | 2023-07-31 | -12.14% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.30% | 2.56% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.14% | 3.12% | 2023-07-31 | -12.13% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.72% | 4.35% | 2023-12-28 | -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 |
|---|---|---|---|---|---|
| AAP | 2023-07-10 | 62.99 | 0.4119 | 0.5485 | no |
| ADBE | 2023-07-10 | 485.27 | 0.3713 | 0.4488 | no |
| AMD | 2023-07-10 | 113.00 | 0.4807 | 0.5212 | no |
| AMT | 2023-07-10 | 174.95 | 0.2379 | 0.4285 | no |
| AVY | 2023-07-10 | 159.11 | 0.2463 | 0.4670 | no |
| BF.B | 2023-07-10 | 61.00 | 0.2327 | — | no |
| BIIB | 2023-07-10 | 275.00 | 0.2423 | 0.5813 | no |
| BMY | 2023-07-10 | 54.38 | 0.3243 | 0.5915 | no |
| CAH | 2023-07-10 | 88.94 | 0.3481 | 0.4478 | no |
| CDW | 2023-07-10 | 174.23 | 0.2893 | 0.4864 | no |
| CHD | 2023-07-10 | 95.49 | 0.3978 | 0.4340 | no |
| CI | 2023-07-10 | 260.76 | 0.3046 | 0.4663 | no |
| CTVA | 2023-07-10 | 54.04 | 0.2416 | 0.4651 | no |
| CVX | 2023-07-10 | 134.49 | 0.3243 | 0.5151 | no |
| D | 2023-07-10 | 44.60 | 0.3627 | 0.4518 | no |
| DG | 2023-07-10 | 158.19 | 0.3364 | 0.5592 | no |
| EL | 2023-07-10 | 180.89 | 0.2841 | 0.4604 | no |
| EOG | 2023-07-10 | 103.12 | 0.3420 | 0.6218 | no |
| ETR | 2023-07-10 | 43.56 | 0.4125 | 0.4984 | no |
| EXC | 2023-07-10 | 36.37 | 0.2375 | 0.4721 | no |
| EXPD | 2023-07-10 | 115.15 | 0.2424 | — | no |
| FDX | 2023-07-10 | 189.11 | 0.2448 | 0.4883 | no |
| FTV | 2023-07-10 | 54.17 | 0.2996 | 0.4832 | no |
| GIS | 2023-07-10 | 65.56 | 0.2563 | 0.4766 | no |
| GOOGL | 2023-07-10 | 117.18 | 0.2984 | 0.4613 | no |
| HD | 2023-07-10 | 278.95 | 0.2295 | 0.5653 | no |
| JNJ | 2023-07-10 | 145.35 | 0.2889 | 0.4911 | no |
| KR | 2023-07-10 | 43.93 | 0.2593 | 0.6070 | no |
| LDOS | 2023-07-10 | 84.51 | 0.3608 | 0.5375 | no |
| LHX | 2023-07-10 | 182.30 | 0.2815 | 0.5361 | no |
| LKQ | 2023-07-10 | 51.42 | 0.2983 | 0.5039 | no |
| MKC | 2023-07-10 | 78.17 | 0.3112 | 0.4522 | no |
| MSI | 2023-07-10 | 282.24 | 0.2275 | 0.4687 | no |
| NCLH | 2023-07-10 | 21.96 | 0.3004 | 0.4304 | no |
| NDAQ | 2023-07-10 | 46.86 | 0.2860 | 0.5017 | no |
| NEE | 2023-07-10 | 65.23 | 0.3376 | 0.4522 | no |
| NVR | 2023-07-10 | 6079.64 | 0.2629 | — | no |
| OXY | 2023-07-10 | 55.24 | 0.3922 | 0.5683 | no |
| PANW | 2023-07-10 | 124.48 | 0.3922 | 0.5638 | no |
| PFE | 2023-07-10 | 29.01 | 0.2321 | 0.5585 | no |
| ROL | 2023-07-10 | 41.38 | 0.2815 | 0.4598 | no |
| RSG | 2023-07-10 | 145.53 | 0.3394 | 0.5088 | no |
| SYY | 2023-07-10 | 68.46 | 0.3430 | 0.4936 | no |
| TDY | 2023-07-10 | 409.97 | 0.2284 | 0.4354 | no |
| TECH | 2023-07-10 | 79.91 | 0.2818 | 0.4428 | no |
| ULTA | 2023-07-10 | 473.43 | 0.2433 | 0.4955 | no |
| WAB | 2023-07-10 | 108.07 | 0.2276 | 0.5213 | no |
| WDC | 2023-07-10 | 28.21 | 0.2636 | 0.5295 | no |
| WMB | 2023-07-10 | 28.80 | 0.3674 | 0.4335 | no |
| WRB | 2023-07-10 | 36.74 | 0.3172 | 0.4559 | no |