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 | -5.14% | 4.41% | 2023-07-25 | -9.15% |
| buy & hold | participation factor overlay | 6 months | complete | 3.31% | 4.41% | 2023-07-25 | -13.97% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.20% | 5.39% | 2023-07-19 | -9.10% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.00% | 6.02% | 2023-12-14 | -14.37% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.91% | 4.09% | 2023-07-25 | -9.60% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.35% | 4.09% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.14% | 4.56% | 2023-07-31 | -10.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.11% | 4.56% | 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 |
|---|---|---|---|---|---|
| AAPL | 2023-06-26 | 184.09 | 0.2909 | 0.4701 | no |
| AEP | 2023-06-26 | 74.32 | 0.2933 | 0.5376 | no |
| AJG | 2023-06-26 | 205.78 | 0.3697 | 0.5126 | no |
| ALB | 2023-06-26 | 211.17 | 0.3539 | 0.5057 | no |
| ALGN | 2023-06-26 | 328.01 | 0.3850 | 0.5228 | no |
| AON | 2023-06-26 | 323.64 | 0.3906 | 0.4892 | no |
| APD | 2023-06-26 | 264.12 | 0.3423 | 0.4850 | no |
| BBY | 2023-06-26 | 67.39 | 0.2886 | 0.5276 | no |
| BDX | 2023-06-26 | 189.00 | 0.3658 | 0.4393 | no |
| BMY | 2023-06-26 | 55.98 | 0.3568 | 0.6233 | no |
| BRO | 2023-06-26 | 64.85 | 0.4668 | 0.5166 | no |
| CAH | 2023-06-26 | 87.11 | 0.5134 | 0.4462 | no |
| CHD | 2023-06-26 | 93.31 | 0.3701 | 0.4646 | no |
| COO | 2023-06-26 | 93.24 | 0.3454 | 0.4658 | no |
| CPRT | 2023-06-26 | 44.47 | 0.3558 | 0.4814 | no |
| DG | 2023-06-26 | 160.10 | 0.5137 | 0.5675 | no |
| DHI | 2023-06-26 | 116.61 | 0.3777 | 0.4501 | no |
| ECL | 2023-06-26 | 172.20 | 0.3337 | 0.4858 | no |
| EIX | 2023-06-26 | 58.08 | 0.3793 | 0.5501 | no |
| EMR | 2023-06-26 | 82.29 | 0.2945 | 0.4753 | no |
| ETR | 2023-06-26 | 43.72 | 0.4244 | 0.5467 | no |
| EW | 2023-06-26 | 90.25 | 0.2776 | 0.4631 | no |
| FCX | 2023-06-26 | 36.84 | 0.2862 | 0.5527 | no |
| FE | 2023-06-26 | 33.72 | 0.2744 | 0.5273 | no |
| FTV | 2023-06-26 | 52.83 | 0.2804 | 0.4689 | no |
| HCA | 2023-06-26 | 288.53 | 0.3861 | 0.4839 | no |
| IDXX | 2023-06-26 | 485.21 | 0.3792 | 0.4619 | no |
| ISRG | 2023-06-26 | 326.60 | 0.4003 | 0.5005 | no |
| KEYS | 2023-06-26 | 158.62 | 0.2957 | 0.4330 | no |
| LDOS | 2023-06-26 | 81.35 | 0.4439 | 0.5494 | no |
| LEN | 2023-06-26 | 112.84 | 0.3380 | 0.4168 | no |
| LH | 2023-06-26 | 194.84 | 0.3858 | 0.5197 | no |
| MOS | 2023-06-26 | 31.32 | 0.3862 | 0.4738 | no |
| MRK | 2023-06-26 | 103.73 | 0.3005 | 0.5218 | no |
| NDAQ | 2023-06-26 | 47.50 | 0.2949 | 0.5155 | no |
| NVR | 2023-06-26 | 6184.00 | 0.5232 | — | no |
| PM | 2023-06-26 | 84.62 | 0.2852 | 0.4342 | no |
| PPL | 2023-06-26 | 23.77 | 0.2840 | 0.5320 | no |
| RHI | 2023-06-26 | 59.99 | 0.3749 | 0.4653 | no |
| SBAC | 2023-06-26 | 208.38 | 0.4099 | 0.4316 | no |
| STE | 2023-06-26 | 205.09 | 0.3633 | 0.4961 | no |
| SYK | 2023-06-26 | 287.29 | 0.4451 | 0.5043 | no |
| TDG | 2023-06-26 | 725.94 | 0.5334 | 0.5541 | no |
| TROW | 2023-06-26 | 90.69 | 0.2718 | 0.4168 | no |
| TYL | 2023-06-26 | 397.25 | 0.2714 | 0.4285 | no |
| ULTA | 2023-06-26 | 455.13 | 0.5327 | 0.5052 | no |
| WEC | 2023-06-26 | 78.57 | 0.2806 | 0.4975 | no |
| WHR | 2023-06-26 | 119.01 | 0.3348 | 0.4615 | no |
| WMB | 2023-06-26 | 27.01 | 0.2882 | 0.4398 | no |
| WST | 2023-06-26 | 363.78 | 0.3579 | 0.4349 | no |