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 | -7.42% | 1.16% | 2023-07-25 | -8.48% |
| buy & hold | participation factor overlay | 6 months | complete | 0.83% | 1.75% | 2023-12-28 | -10.76% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -7.10% | 1.65% | 2023-07-26 | -8.61% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.73% | 2.17% | 2023-12-28 | -11.39% |
| weekly rebalance | participation factor overlay | 3 months | complete | -9.91% | 1.53% | 2023-07-31 | -11.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.28% | 1.84% | 2023-12-27 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -10.56% | 1.87% | 2023-07-31 | -12.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.83% | 2.92% | 2023-12-27 | -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 |
|---|---|---|---|---|---|
| AAP | 2023-07-03 | 65.88 | 0.3239 | 0.5477 | no |
| ADBE | 2023-07-03 | 486.39 | 0.2878 | 0.4382 | no |
| AJG | 2023-07-03 | 212.26 | 0.3436 | 0.5035 | no |
| ALB | 2023-07-03 | 213.46 | 0.3686 | 0.5018 | no |
| AON | 2023-07-03 | 334.06 | 0.2882 | 0.4835 | no |
| BAX | 2023-07-03 | 42.56 | 0.2581 | 0.4805 | no |
| CAH | 2023-07-03 | 89.58 | 0.2865 | 0.4458 | no |
| CEG | 2023-07-03 | 89.04 | 0.3407 | 0.5076 | no |
| CHD | 2023-07-03 | 96.38 | 0.3242 | 0.4476 | no |
| COO | 2023-07-03 | 95.16 | 0.4103 | 0.4628 | no |
| CPRT | 2023-07-03 | 45.53 | 0.3518 | 0.4848 | no |
| CVX | 2023-07-03 | 137.33 | 0.2936 | 0.5121 | no |
| D | 2023-07-03 | 44.16 | 0.2620 | 0.4664 | no |
| DG | 2023-07-03 | 158.55 | 0.3762 | 0.5669 | no |
| DOW | 2023-07-03 | 44.23 | 0.2924 | 0.4872 | no |
| EL | 2023-07-03 | 185.78 | 0.3531 | 0.4671 | no |
| EMR | 2023-07-03 | 84.95 | 0.4209 | 0.4885 | no |
| ETR | 2023-07-03 | 43.30 | 0.3182 | 0.5190 | no |
| EXPD | 2023-07-03 | 116.35 | 0.3083 | — | no |
| FCX | 2023-07-03 | 38.73 | 0.3088 | 0.5498 | no |
| FE | 2023-07-03 | 33.81 | 0.3268 | 0.5076 | no |
| HAS | 2023-07-03 | 56.52 | 0.2744 | 0.4548 | no |
| IBM | 2023-07-03 | 120.25 | 0.2785 | 0.4733 | no |
| KHC | 2023-07-03 | 29.67 | 0.2961 | — | no |
| KR | 2023-07-03 | 43.65 | 0.3777 | 0.6142 | no |
| LDOS | 2023-07-03 | 84.60 | 0.4440 | 0.5400 | no |
| LEN | 2023-07-03 | 115.56 | 0.2573 | 0.4308 | no |
| LKQ | 2023-07-03 | 52.18 | 0.4933 | 0.5039 | no |
| LLY | 2023-07-03 | 455.78 | 0.4330 | 0.5453 | no |
| MCK | 2023-07-03 | 416.57 | 0.2614 | 0.4651 | no |
| MOS | 2023-07-03 | 31.67 | 0.3006 | 0.4695 | no |
| MRK | 2023-07-03 | 103.76 | 0.3199 | 0.5179 | no |
| NCLH | 2023-07-03 | 21.56 | 0.4653 | 0.4195 | no |
| NDAQ | 2023-07-03 | 47.51 | 0.3597 | 0.5024 | no |
| NDSN | 2023-07-03 | 236.98 | 0.2748 | 0.4724 | no |
| NOC | 2023-07-03 | 429.15 | 0.3650 | 0.5435 | no |
| ORLY | 2023-07-03 | 63.63 | 0.2663 | 0.5645 | no |
| OXY | 2023-07-03 | 55.64 | 0.2913 | 0.5690 | no |
| PTC | 2023-07-03 | 142.00 | 0.3418 | 0.4864 | no |
| RSG | 2023-07-03 | 147.01 | 0.3135 | 0.5041 | no |
| SNA | 2023-07-03 | 262.59 | 0.3397 | 0.4876 | no |
| STE | 2023-07-03 | 216.11 | 0.2926 | 0.4898 | no |
| SYK | 2023-07-03 | 294.21 | 0.3338 | 0.4999 | no |
| SYY | 2023-07-03 | 67.58 | 0.2719 | 0.5029 | no |
| TYL | 2023-07-03 | 414.99 | 0.4874 | 0.4301 | no |
| ULTA | 2023-07-03 | 470.48 | 0.3290 | 0.5013 | no |
| WMB | 2023-07-03 | 28.80 | 0.2970 | 0.4388 | no |
| WST | 2023-07-03 | 375.81 | 0.3794 | 0.4386 | no |
| XYL | 2023-07-03 | 107.40 | 0.2638 | 0.4730 | no |
| ZBH | 2023-07-03 | 140.81 | 0.2789 | 0.4883 | no |