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 | -3.28% | 5.44% | 2023-07-26 | -8.27% |
| buy & hold | participation factor overlay | 6 months | complete | 6.01% | 6.01% | 2023-12-14 | -12.93% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.21% | 6.34% | 2023-07-26 | -8.98% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.82% | 8.06% | 2023-12-14 | -13.73% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.57% | 4.07% | 2023-07-31 | -9.26% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.36% | 4.36% | 2023-12-26 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.53% | 4.61% | 2023-07-31 | -10.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.64% | 5.64% | 2023-12-26 | -15.21% |
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 |
|---|---|---|---|---|---|
| A | 2023-06-26 | 116.05 | 0.3139 | 0.4232 | no |
| AJG | 2023-06-26 | 205.78 | 0.3355 | 0.5126 | no |
| ALGN | 2023-06-26 | 328.01 | 0.2976 | 0.5228 | no |
| AMGN | 2023-06-26 | 205.64 | 0.2451 | 0.6291 | no |
| AON | 2023-06-26 | 323.64 | 0.3238 | 0.4892 | no |
| BBY | 2023-06-26 | 67.39 | 0.2837 | 0.5276 | no |
| BDX | 2023-06-26 | 189.00 | 0.2515 | 0.4393 | no |
| BRO | 2023-06-26 | 64.85 | 0.4503 | 0.5166 | no |
| CAG | 2023-06-26 | 28.11 | 0.2996 | 0.4839 | no |
| CAH | 2023-06-26 | 87.11 | 0.4427 | 0.4462 | no |
| CHD | 2023-06-26 | 93.31 | 0.3708 | 0.4646 | no |
| CMS | 2023-06-26 | 53.11 | 0.2813 | 0.5244 | no |
| COO | 2023-06-26 | 93.24 | 0.3518 | 0.4658 | no |
| CPRT | 2023-06-26 | 44.47 | 0.3150 | 0.4814 | no |
| DG | 2023-06-26 | 160.10 | 0.3677 | 0.5675 | no |
| DHI | 2023-06-26 | 116.61 | 0.3018 | 0.4501 | no |
| DLR | 2023-06-26 | 94.11 | 0.2608 | 0.4166 | no |
| DUK | 2023-06-26 | 79.55 | 0.3678 | 0.5311 | no |
| DVN | 2023-06-26 | 42.45 | 0.3033 | 0.6072 | no |
| ECL | 2023-06-26 | 172.20 | 0.2645 | 0.4858 | no |
| EMN | 2023-06-26 | 68.78 | 0.2759 | 0.4747 | no |
| EMR | 2023-06-26 | 82.29 | 0.3297 | 0.4753 | no |
| FDX | 2023-06-26 | 175.83 | 0.2667 | 0.4647 | no |
| FE | 2023-06-26 | 33.72 | 0.2532 | 0.5273 | no |
| FTV | 2023-06-26 | 52.83 | 0.3348 | 0.4689 | no |
| HCA | 2023-06-26 | 288.53 | 0.4324 | 0.4839 | no |
| HII | 2023-06-26 | 201.50 | 0.2684 | 0.5578 | no |
| IDXX | 2023-06-26 | 485.21 | 0.3908 | 0.4619 | no |
| ISRG | 2023-06-26 | 326.60 | 0.3641 | 0.5005 | no |
| KEYS | 2023-06-26 | 158.62 | 0.3684 | 0.4330 | no |
| LDOS | 2023-06-26 | 81.35 | 0.3546 | 0.5494 | no |
| LEN | 2023-06-26 | 112.84 | 0.4031 | 0.4168 | no |
| MHK | 2023-06-26 | 98.08 | 0.3933 | 0.4384 | no |
| MKC | 2023-06-26 | 86.29 | 0.3636 | 0.4657 | no |
| MOS | 2023-06-26 | 31.32 | 0.6724 | 0.4738 | no |
| MRK | 2023-06-26 | 103.73 | 0.2549 | 0.5218 | no |
| MSCI | 2023-06-26 | 445.38 | 0.2973 | 0.4579 | no |
| NDSN | 2023-06-26 | 227.74 | 0.2466 | 0.4650 | no |
| NVR | 2023-06-26 | 6184.00 | 0.4631 | — | no |
| PNR | 2023-06-26 | 57.76 | 0.2572 | 0.4787 | no |
| STE | 2023-06-26 | 205.09 | 0.3520 | 0.4961 | no |
| SYK | 2023-06-26 | 287.29 | 0.3495 | 0.5043 | no |
| TDG | 2023-06-26 | 725.94 | 0.2846 | 0.5541 | no |
| TEL | 2023-06-26 | 127.36 | 0.2884 | — | no |
| ULTA | 2023-06-26 | 455.13 | 0.5148 | 0.5052 | no |
| VRTX | 2023-06-26 | 351.00 | 0.3074 | 0.5749 | no |
| WHR | 2023-06-26 | 119.01 | 0.2513 | 0.4615 | no |
| WMB | 2023-06-26 | 27.01 | 0.3192 | 0.4398 | no |
| WMT | 2023-06-26 | 50.10 | 0.3800 | 0.5963 | no |
| WST | 2023-06-26 | 363.78 | 0.4940 | 0.4349 | no |