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 | -5.05% | 4.14% | 2023-07-24 | -8.83% |
| buy & hold | participation factor overlay | 6 months | complete | 4.62% | 4.62% | 2023-12-26 | -13.53% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.91% | 5.43% | 2023-07-26 | -8.86% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.40% | 7.43% | 2023-12-14 | -13.62% |
| weekly rebalance | participation factor overlay | 3 months | complete | -6.51% | 3.32% | 2023-07-31 | -9.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.12% | 5.12% | 2023-12-26 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.17% | 3.78% | 2023-07-19 | -10.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.71% | 5.71% | 2023-12-26 | -14.67% |
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 | 2023-06-26 | 61.90 | 0.3594 | 0.5511 | no |
| AAPL | 2023-06-26 | 184.09 | 0.3349 | 0.4701 | no |
| AEP | 2023-06-26 | 74.32 | 0.2797 | 0.5376 | no |
| ALGN | 2023-06-26 | 328.01 | 0.2713 | 0.5228 | no |
| AMGN | 2023-06-26 | 205.64 | 0.3110 | 0.6291 | no |
| APA | 2023-06-26 | 28.77 | 0.3044 | 0.6271 | no |
| BMY | 2023-06-26 | 55.98 | 0.3223 | 0.6233 | no |
| BRO | 2023-06-26 | 64.85 | 0.6262 | 0.5166 | no |
| CAH | 2023-06-26 | 87.11 | 0.4186 | 0.4462 | no |
| CHD | 2023-06-26 | 93.31 | 0.4781 | 0.4646 | no |
| CMS | 2023-06-26 | 53.11 | 0.3451 | 0.5244 | no |
| COO | 2023-06-26 | 93.24 | 0.4416 | 0.4658 | no |
| CPRT | 2023-06-26 | 44.47 | 0.3313 | 0.4814 | no |
| CSX | 2023-06-26 | 31.34 | 0.2743 | 0.5105 | no |
| DG | 2023-06-26 | 160.10 | 0.2958 | 0.5675 | no |
| DHI | 2023-06-26 | 116.61 | 0.4755 | 0.4501 | no |
| DLR | 2023-06-26 | 94.11 | 0.2882 | 0.4166 | no |
| DLTR | 2023-06-26 | 143.81 | 0.3255 | 0.6043 | no |
| DUK | 2023-06-26 | 79.55 | 0.4309 | 0.5311 | no |
| DVN | 2023-06-26 | 42.45 | 0.4133 | 0.6072 | no |
| ECL | 2023-06-26 | 172.20 | 0.3506 | 0.4858 | no |
| ETR | 2023-06-26 | 43.72 | 0.3913 | 0.5467 | no |
| EW | 2023-06-26 | 90.25 | 0.2826 | 0.4631 | no |
| EXPD | 2023-06-26 | 110.46 | 0.3576 | — | no |
| FTV | 2023-06-26 | 52.83 | 0.2874 | 0.4689 | no |
| HCA | 2023-06-26 | 288.53 | 0.4836 | 0.4839 | no |
| ISRG | 2023-06-26 | 326.60 | 0.3441 | 0.5005 | no |
| JNJ | 2023-06-26 | 150.41 | 0.3371 | 0.5122 | no |
| KEYS | 2023-06-26 | 158.62 | 0.2779 | 0.4330 | no |
| KHC | 2023-06-26 | 30.04 | 0.3297 | — | no |
| KR | 2023-06-26 | 43.14 | 0.2919 | 0.6175 | no |
| LEN | 2023-06-26 | 112.84 | 0.4026 | 0.4168 | no |
| LW | 2023-06-26 | 106.35 | 0.3080 | 0.4768 | no |
| MKC | 2023-06-26 | 86.29 | 0.3399 | 0.4657 | no |
| MNST | 2023-06-26 | 29.45 | 0.3400 | 0.4449 | no |
| NTRS | 2023-06-26 | 64.75 | 0.2967 | 0.4278 | no |
| NVR | 2023-06-26 | 6184.00 | 0.5849 | — | no |
| PM | 2023-06-26 | 84.62 | 0.3174 | 0.4342 | no |
| PNR | 2023-06-26 | 57.76 | 0.3501 | 0.4787 | no |
| SNA | 2023-06-26 | 252.24 | 0.3951 | 0.4846 | no |
| SYY | 2023-06-26 | 66.25 | 0.2676 | 0.5057 | no |
| T | 2023-06-26 | 12.97 | 0.2771 | 0.4396 | no |
| TDG | 2023-06-26 | 725.94 | 0.3955 | 0.5541 | no |
| TROW | 2023-06-26 | 90.69 | 0.2825 | 0.4168 | no |
| ULTA | 2023-06-26 | 455.13 | 0.3003 | 0.5052 | no |
| URI | 2023-06-26 | 392.21 | 0.3208 | 0.5099 | no |
| VICI | 2023-06-26 | 25.31 | 0.2706 | 0.4352 | no |
| VRTX | 2023-06-26 | 351.00 | 0.4588 | 0.5749 | no |
| WEC | 2023-06-26 | 78.57 | 0.2927 | 0.4975 | no |
| WST | 2023-06-26 | 363.78 | 0.4580 | 0.4349 | no |