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 | -7.11% | 0.95% | 2023-07-26 | -7.99% |
| buy & hold | participation factor overlay | 6 months | complete | 1.60% | 2.19% | 2024-01-02 | -8.47% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -7.54% | 1.84% | 2023-07-24 | -9.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.16% | 3.14% | 2024-01-02 | -10.67% |
| weekly rebalance | participation factor overlay | 3 months | complete | -10.48% | 1.68% | 2023-07-31 | -11.96% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.89% | 1.68% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -10.00% | 2.41% | 2023-07-31 | -12.11% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.17% | 3.62% | 2023-12-28 | -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 |
|---|---|---|---|---|---|
| AAP | 2023-07-03 | 65.88 | 0.4275 | 0.5477 | no |
| AEE | 2023-07-03 | 73.73 | 0.3205 | — | no |
| AFL | 2023-07-03 | 64.94 | 0.2499 | 0.4405 | no |
| AIZ | 2023-07-03 | 118.85 | 0.3629 | 0.4550 | no |
| ALB | 2023-07-03 | 213.46 | 0.3533 | 0.5018 | no |
| AMT | 2023-07-03 | 174.09 | 0.2514 | 0.4220 | no |
| AON | 2023-07-03 | 334.06 | 0.3274 | 0.4835 | no |
| BMY | 2023-07-03 | 55.03 | 0.3096 | 0.6103 | no |
| CAH | 2023-07-03 | 89.58 | 0.2758 | 0.4458 | no |
| CEG | 2023-07-03 | 89.04 | 0.4050 | 0.5076 | no |
| CHD | 2023-07-03 | 96.38 | 0.4147 | 0.4476 | no |
| CI | 2023-07-03 | 262.02 | 0.3107 | 0.4673 | no |
| CTVA | 2023-07-03 | 55.70 | 0.2451 | 0.4728 | no |
| CVX | 2023-07-03 | 137.33 | 0.3795 | 0.5121 | no |
| D | 2023-07-03 | 44.16 | 0.2429 | 0.4664 | no |
| DG | 2023-07-03 | 158.55 | 0.3766 | 0.5669 | no |
| EL | 2023-07-03 | 185.78 | 0.4274 | 0.4671 | no |
| ETR | 2023-07-03 | 43.30 | 0.3133 | 0.5190 | no |
| EXPD | 2023-07-03 | 116.35 | 0.3203 | — | no |
| FE | 2023-07-03 | 33.81 | 0.2392 | 0.5076 | no |
| FOX | 2023-07-03 | 30.35 | 0.2549 | — | no |
| GD | 2023-07-03 | 200.84 | 0.2566 | 0.5629 | no |
| HUM | 2023-07-03 | 428.17 | 0.2466 | 0.4733 | no |
| IBM | 2023-07-03 | 120.25 | 0.3006 | 0.4733 | no |
| ISRG | 2023-07-03 | 339.92 | 0.2393 | 0.4938 | no |
| KHC | 2023-07-03 | 29.67 | 0.4561 | — | no |
| KR | 2023-07-03 | 43.65 | 0.4186 | 0.6142 | no |
| LDOS | 2023-07-03 | 84.60 | 0.5273 | 0.5400 | no |
| LEN | 2023-07-03 | 115.56 | 0.3136 | 0.4308 | no |
| LKQ | 2023-07-03 | 52.18 | 0.4368 | 0.5039 | no |
| LLY | 2023-07-03 | 455.78 | 0.3117 | 0.5453 | no |
| MRK | 2023-07-03 | 103.76 | 0.2774 | 0.5179 | no |
| NCLH | 2023-07-03 | 21.56 | 0.3049 | 0.4195 | no |
| NDAQ | 2023-07-03 | 47.51 | 0.4827 | 0.5024 | no |
| NOC | 2023-07-03 | 429.15 | 0.3241 | 0.5435 | no |
| ORCL | 2023-07-03 | 113.52 | 0.3000 | 0.4966 | no |
| ORLY | 2023-07-03 | 63.63 | 0.2450 | 0.5645 | no |
| PG | 2023-07-03 | 139.10 | 0.3674 | 0.4529 | no |
| ROL | 2023-07-03 | 40.73 | 0.2911 | 0.4593 | no |
| RSG | 2023-07-03 | 147.01 | 0.3725 | 0.5041 | no |
| SNA | 2023-07-03 | 262.59 | 0.4673 | 0.4876 | no |
| STE | 2023-07-03 | 216.11 | 0.3220 | 0.4898 | no |
| SYK | 2023-07-03 | 294.21 | 0.3373 | 0.4999 | no |
| SYY | 2023-07-03 | 67.58 | 0.3948 | 0.5029 | no |
| TYL | 2023-07-03 | 414.99 | 0.2676 | 0.4301 | no |
| ULTA | 2023-07-03 | 470.48 | 0.5376 | 0.5013 | no |
| WAB | 2023-07-03 | 107.64 | 0.3757 | 0.5178 | no |
| WEC | 2023-07-03 | 78.27 | 0.3445 | 0.4801 | no |
| WMB | 2023-07-03 | 28.80 | 0.3932 | 0.4388 | no |
| WMT | 2023-07-03 | 50.47 | 0.2456 | 0.5929 | no |