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 | -5.72% | 3.28% | 2023-07-25 | -10.97% |
| buy & hold | participation factor overlay | 6 months | complete | 2.64% | 3.75% | 2023-12-28 | -13.61% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.44% | 3.19% | 2023-07-24 | -11.23% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.47% | 3.95% | 2023-12-28 | -14.78% |
| weekly rebalance | participation factor overlay | 3 months | complete | -6.88% | 2.26% | 2023-07-25 | -11.19% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.54% | 2.26% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.41% | 2.50% | 2023-07-31 | -11.99% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.09% | 2.50% | 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 |
|---|---|---|---|---|---|
| AAP | 2023-07-10 | 62.99 | 0.4106 | 0.5485 | no |
| ADBE | 2023-07-10 | 485.27 | 0.6066 | 0.4488 | no |
| AFL | 2023-07-10 | 65.35 | 0.2820 | 0.4446 | no |
| AMD | 2023-07-10 | 113.00 | 0.2952 | 0.5212 | no |
| AMT | 2023-07-10 | 174.95 | 0.2184 | 0.4285 | no |
| BF.B | 2023-07-10 | 61.00 | 0.2365 | — | no |
| CAH | 2023-07-10 | 88.94 | 0.2245 | 0.4478 | no |
| CDW | 2023-07-10 | 174.23 | 0.2989 | 0.4864 | no |
| CHD | 2023-07-10 | 95.49 | 0.2590 | 0.4340 | no |
| CPRT | 2023-07-10 | 44.54 | 0.2517 | 0.5048 | no |
| CTVA | 2023-07-10 | 54.04 | 0.3296 | 0.4651 | no |
| CVX | 2023-07-10 | 134.49 | 0.3321 | 0.5151 | no |
| D | 2023-07-10 | 44.60 | 0.2989 | 0.4518 | no |
| DG | 2023-07-10 | 158.19 | 0.5416 | 0.5592 | no |
| DVN | 2023-07-10 | 43.59 | 0.2604 | 0.5989 | no |
| EL | 2023-07-10 | 180.89 | 0.3796 | 0.4604 | no |
| ENPH | 2023-07-10 | 166.13 | 0.3087 | 0.4636 | no |
| ETR | 2023-07-10 | 43.56 | 0.2891 | 0.4984 | no |
| EXC | 2023-07-10 | 36.37 | 0.2203 | 0.4721 | no |
| EXPD | 2023-07-10 | 115.15 | 0.2799 | — | no |
| FCX | 2023-07-10 | 36.65 | 0.2183 | 0.5559 | no |
| FTNT | 2023-07-10 | 74.79 | 0.2929 | 0.5107 | no |
| FTV | 2023-07-10 | 54.17 | 0.3465 | 0.4832 | no |
| HD | 2023-07-10 | 278.95 | 0.2645 | 0.5653 | no |
| HWM | 2023-07-10 | 48.82 | 0.2833 | 0.5721 | no |
| JNJ | 2023-07-10 | 145.35 | 0.3559 | 0.4911 | no |
| KHC | 2023-07-10 | 29.79 | 0.2344 | — | no |
| LDOS | 2023-07-10 | 84.51 | 0.5889 | 0.5375 | no |
| LEN | 2023-07-10 | 110.58 | 0.3134 | 0.4324 | no |
| LH | 2023-07-10 | 200.82 | 0.2112 | 0.5198 | no |
| LHX | 2023-07-10 | 182.30 | 0.2267 | 0.5361 | no |
| MKC | 2023-07-10 | 78.17 | 0.3068 | 0.4522 | no |
| MSI | 2023-07-10 | 282.24 | 0.2461 | 0.4687 | no |
| NCLH | 2023-07-10 | 21.96 | 0.4875 | 0.4304 | no |
| NDAQ | 2023-07-10 | 46.86 | 0.2743 | 0.5017 | no |
| NSC | 2023-07-10 | 211.55 | 0.2290 | 0.5050 | no |
| NVR | 2023-07-10 | 6079.64 | 0.3176 | — | no |
| ON | 2023-07-10 | 93.98 | 0.2666 | 0.4894 | no |
| OXY | 2023-07-10 | 55.24 | 0.3609 | 0.5683 | no |
| PANW | 2023-07-10 | 124.48 | 0.4385 | 0.5638 | no |
| PFE | 2023-07-10 | 29.01 | 0.2850 | 0.5585 | no |
| QRVO | 2023-07-10 | 100.69 | 0.2624 | — | no |
| ROL | 2023-07-10 | 41.38 | 0.4415 | 0.4598 | no |
| SYY | 2023-07-10 | 68.46 | 0.4031 | 0.4936 | no |
| TDY | 2023-07-10 | 409.97 | 0.2263 | 0.4354 | no |
| TECH | 2023-07-10 | 79.91 | 0.2721 | 0.4428 | no |
| ULTA | 2023-07-10 | 473.43 | 0.3815 | 0.4955 | no |
| WAB | 2023-07-10 | 108.07 | 0.5085 | 0.5213 | no |
| WMB | 2023-07-10 | 28.80 | 0.2155 | 0.4335 | no |
| WRB | 2023-07-10 | 36.74 | 0.3483 | 0.4559 | no |