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 | -4.98% | 4.90% | 2023-07-25 | -9.42% |
| buy & hold | participation factor overlay | 6 months | complete | 4.55% | 4.90% | 2023-07-25 | -14.53% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.80% | 6.38% | 2023-07-26 | -9.57% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.11% | 7.17% | 2023-12-14 | -15.32% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.95% | 4.16% | 2023-07-31 | -9.71% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.68% | 4.16% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.08% | 5.15% | 2023-07-31 | -9.73% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.26% | 6.26% | 2023-12-26 | -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 |
|---|---|---|---|---|---|
| AAPL | 2023-06-26 | 184.09 | 0.3264 | 0.4701 | no |
| AEE | 2023-06-26 | 73.40 | 0.2903 | — | no |
| AES | 2023-06-26 | 17.53 | 0.2765 | — | no |
| AJG | 2023-06-26 | 205.78 | 0.2939 | 0.5126 | no |
| ALGN | 2023-06-26 | 328.01 | 0.2893 | 0.5228 | no |
| AMT | 2023-06-26 | 167.12 | 0.2724 | 0.4240 | no |
| AON | 2023-06-26 | 323.64 | 0.4168 | 0.4892 | no |
| BBY | 2023-06-26 | 67.39 | 0.2944 | 0.5276 | no |
| BDX | 2023-06-26 | 189.00 | 0.3174 | 0.4393 | no |
| BMY | 2023-06-26 | 55.98 | 0.2950 | 0.6233 | no |
| BRO | 2023-06-26 | 64.85 | 0.6071 | 0.5166 | no |
| CAG | 2023-06-26 | 28.11 | 0.4247 | 0.4839 | no |
| CAH | 2023-06-26 | 87.11 | 0.4964 | 0.4462 | no |
| COO | 2023-06-26 | 93.24 | 0.3176 | 0.4658 | no |
| CPRT | 2023-06-26 | 44.47 | 0.3399 | 0.4814 | no |
| CZR | 2023-06-26 | 44.94 | 0.3210 | 0.4836 | no |
| D | 2023-06-26 | 44.46 | 0.2783 | 0.4794 | no |
| DG | 2023-06-26 | 160.10 | 0.4436 | 0.5675 | no |
| DHI | 2023-06-26 | 116.61 | 0.4195 | 0.4501 | no |
| DOW | 2023-06-26 | 42.72 | 0.3070 | 0.4929 | no |
| DUK | 2023-06-26 | 79.55 | 0.3307 | 0.5311 | no |
| ECL | 2023-06-26 | 172.20 | 0.3578 | 0.4858 | no |
| EIX | 2023-06-26 | 58.08 | 0.4412 | 0.5501 | no |
| EMR | 2023-06-26 | 82.29 | 0.2817 | 0.4753 | no |
| ETR | 2023-06-26 | 43.72 | 0.2829 | 0.5467 | no |
| FFIV | 2023-06-26 | 144.45 | 0.2652 | 0.4616 | no |
| HCA | 2023-06-26 | 288.53 | 0.4489 | 0.4839 | no |
| ISRG | 2023-06-26 | 326.60 | 0.4016 | 0.5005 | no |
| IVZ | 2023-06-26 | 13.89 | 0.2959 | 0.4204 | no |
| LEN | 2023-06-26 | 112.84 | 0.4685 | 0.4168 | no |
| MKC | 2023-06-26 | 86.29 | 0.3236 | 0.4657 | no |
| MRK | 2023-06-26 | 103.73 | 0.2762 | 0.5218 | no |
| MSCI | 2023-06-26 | 445.38 | 0.3503 | 0.4579 | no |
| MTD | 2023-06-26 | 1284.13 | 0.2891 | 0.4514 | no |
| NDAQ | 2023-06-26 | 47.50 | 0.3031 | 0.5155 | no |
| NEE | 2023-06-26 | 67.31 | 0.3499 | 0.4781 | no |
| NVR | 2023-06-26 | 6184.00 | 0.5351 | — | no |
| OXY | 2023-06-26 | 53.00 | 0.4589 | 0.5764 | no |
| RCL | 2023-06-26 | 91.11 | 0.3061 | 0.4287 | no |
| SPGI | 2023-06-26 | 359.55 | 0.2845 | 0.4620 | no |
| SYK | 2023-06-26 | 287.29 | 0.4192 | 0.5043 | no |
| TDG | 2023-06-26 | 725.94 | 0.4308 | 0.5541 | no |
| TEL | 2023-06-26 | 127.36 | 0.3348 | — | no |
| TROW | 2023-06-26 | 90.69 | 0.3251 | 0.4168 | no |
| ULTA | 2023-06-26 | 455.13 | 0.5291 | 0.5052 | no |
| WAB | 2023-06-26 | 101.02 | 0.2968 | 0.5105 | no |
| WEC | 2023-06-26 | 78.57 | 0.2895 | 0.4975 | no |
| WMB | 2023-06-26 | 27.01 | 0.2933 | 0.4398 | no |
| WST | 2023-06-26 | 363.78 | 0.5038 | 0.4349 | no |
| WY | 2023-06-26 | 27.48 | 0.2643 | 0.5064 | no |