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 | -7.27% | 1.99% | 2023-07-26 | -9.08% |
| buy & hold | participation factor overlay | 6 months | complete | 1.99% | 2.59% | 2024-01-02 | -10.27% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.95% | 2.07% | 2023-07-26 | -8.84% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.78% | 2.50% | 2024-01-02 | -10.57% |
| weekly rebalance | participation factor overlay | 3 months | complete | -9.83% | 1.53% | 2023-07-25 | -11.19% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.64% | 1.53% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -10.34% | 1.88% | 2023-07-31 | -11.99% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.09% | 1.88% | 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 |
|---|---|---|---|---|---|
| AAP | 2023-07-03 | 65.88 | 0.3693 | 0.5477 | no |
| AAPL | 2023-07-03 | 190.94 | 0.2651 | 0.4716 | no |
| AEE | 2023-07-03 | 73.73 | 0.2848 | — | no |
| AIZ | 2023-07-03 | 118.85 | 0.2968 | 0.4550 | no |
| ALB | 2023-07-03 | 213.46 | 0.4094 | 0.5018 | no |
| AMGN | 2023-07-03 | 200.57 | 0.2805 | 0.6210 | no |
| AMT | 2023-07-03 | 174.09 | 0.2580 | 0.4220 | no |
| CAH | 2023-07-03 | 89.58 | 0.3076 | 0.4458 | no |
| CEG | 2023-07-03 | 89.04 | 0.3222 | 0.5076 | no |
| CHD | 2023-07-03 | 96.38 | 0.3322 | 0.4476 | no |
| CPRT | 2023-07-03 | 45.53 | 0.4736 | 0.4848 | no |
| CVX | 2023-07-03 | 137.33 | 0.3901 | 0.5121 | no |
| D | 2023-07-03 | 44.16 | 0.3020 | 0.4664 | no |
| DG | 2023-07-03 | 158.55 | 0.5242 | 0.5669 | no |
| DUK | 2023-07-03 | 79.26 | 0.2793 | 0.5070 | no |
| EL | 2023-07-03 | 185.78 | 0.4508 | 0.4671 | no |
| EMR | 2023-07-03 | 84.95 | 0.4731 | 0.4885 | no |
| ETR | 2023-07-03 | 43.30 | 0.2685 | 0.5190 | no |
| EXC | 2023-07-03 | 35.95 | 0.2835 | 0.4997 | no |
| EXPD | 2023-07-03 | 116.35 | 0.3625 | — | no |
| FCX | 2023-07-03 | 38.73 | 0.2750 | 0.5498 | no |
| FE | 2023-07-03 | 33.81 | 0.3972 | 0.5076 | no |
| FOX | 2023-07-03 | 30.35 | 0.3096 | — | no |
| HCA | 2023-07-03 | 292.98 | 0.2583 | 0.4754 | no |
| ISRG | 2023-07-03 | 339.92 | 0.2833 | 0.4938 | no |
| KHC | 2023-07-03 | 29.67 | 0.3789 | — | no |
| KR | 2023-07-03 | 43.65 | 0.3791 | 0.6142 | no |
| LDOS | 2023-07-03 | 84.60 | 0.6795 | 0.5400 | no |
| LKQ | 2023-07-03 | 52.18 | 0.4776 | 0.5039 | no |
| LLY | 2023-07-03 | 455.78 | 0.2693 | 0.5453 | no |
| LYB | 2023-07-03 | 74.31 | 0.2594 | 0.4703 | no |
| MHK | 2023-07-03 | 102.98 | 0.2544 | 0.4533 | no |
| MRK | 2023-07-03 | 103.76 | 0.3755 | 0.5179 | no |
| MSCI | 2023-07-03 | 449.86 | 0.2631 | 0.4646 | no |
| NCLH | 2023-07-03 | 21.56 | 0.5075 | 0.4195 | no |
| NDAQ | 2023-07-03 | 47.51 | 0.4477 | 0.5024 | no |
| NOC | 2023-07-03 | 429.15 | 0.3024 | 0.5435 | no |
| ORCL | 2023-07-03 | 113.52 | 0.3750 | 0.4966 | no |
| PPL | 2023-07-03 | 23.64 | 0.2788 | 0.4977 | no |
| PWR | 2023-07-03 | 195.16 | 0.2552 | 0.5062 | no |
| RSG | 2023-07-03 | 147.01 | 0.3193 | 0.5041 | no |
| SLB | 2023-07-03 | 45.45 | 0.3165 | 0.5633 | no |
| SNA | 2023-07-03 | 262.59 | 0.4812 | 0.4876 | no |
| STE | 2023-07-03 | 216.11 | 0.2877 | 0.4898 | no |
| SYK | 2023-07-03 | 294.21 | 0.3398 | 0.4999 | no |
| TYL | 2023-07-03 | 414.99 | 0.3646 | 0.4301 | no |
| ULTA | 2023-07-03 | 470.48 | 0.4266 | 0.5013 | no |
| WEC | 2023-07-03 | 78.27 | 0.3874 | 0.4801 | no |
| WMB | 2023-07-03 | 28.80 | 0.3342 | 0.4388 | no |
| XEL | 2023-07-03 | 55.56 | 0.2957 | 0.5083 | no |