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 | -2.90% | 4.05% | 2023-07-31 | -9.10% |
| buy & hold | participation factor overlay | 6 months | complete | 2.38% | 4.05% | 2023-07-31 | -11.89% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.90% | 4.00% | 2023-07-31 | -9.97% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.58% | 4.26% | 2023-12-28 | -12.81% |
| weekly rebalance | participation factor overlay | 3 months | complete | -6.79% | 2.63% | 2023-07-31 | -11.28% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.65% | 2.94% | 2023-12-27 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.36% | 2.92% | 2023-07-31 | -12.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.15% | 3.98% | 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 | 2023-07-10 | 62.99 | 0.3400 | 0.5485 | no |
| ADBE | 2023-07-10 | 485.27 | 0.6063 | 0.4488 | no |
| AJG | 2023-07-10 | 208.23 | 0.2432 | 0.4980 | no |
| BIIB | 2023-07-10 | 275.00 | 0.2822 | 0.5813 | no |
| CAH | 2023-07-10 | 88.94 | 0.2896 | 0.4478 | no |
| CDW | 2023-07-10 | 174.23 | 0.2780 | 0.4864 | no |
| CEG | 2023-07-10 | 89.40 | 0.2210 | 0.4690 | no |
| CI | 2023-07-10 | 260.76 | 0.2317 | 0.4663 | no |
| COO | 2023-07-10 | 94.82 | 0.2091 | 0.4480 | no |
| CTVA | 2023-07-10 | 54.04 | 0.2263 | 0.4651 | no |
| D | 2023-07-10 | 44.60 | 0.4085 | 0.4518 | no |
| DG | 2023-07-10 | 158.19 | 0.3879 | 0.5592 | no |
| DVN | 2023-07-10 | 43.59 | 0.3659 | 0.5989 | no |
| EL | 2023-07-10 | 180.89 | 0.2813 | 0.4604 | no |
| ENPH | 2023-07-10 | 166.13 | 0.2984 | 0.4636 | no |
| EOG | 2023-07-10 | 103.12 | 0.2628 | 0.6218 | no |
| ETR | 2023-07-10 | 43.56 | 0.2276 | 0.4984 | no |
| EXC | 2023-07-10 | 36.37 | 0.2904 | 0.4721 | no |
| EXPD | 2023-07-10 | 115.15 | 0.2377 | — | no |
| FCX | 2023-07-10 | 36.65 | 0.2536 | 0.5559 | no |
| FDX | 2023-07-10 | 189.11 | 0.2587 | 0.4883 | no |
| FTV | 2023-07-10 | 54.17 | 0.3593 | 0.4832 | no |
| GOOGL | 2023-07-10 | 117.18 | 0.3516 | 0.4613 | no |
| HAS | 2023-07-10 | 56.40 | 0.2276 | 0.4543 | no |
| JNJ | 2023-07-10 | 145.35 | 0.2550 | 0.4911 | no |
| KR | 2023-07-10 | 43.93 | 0.2879 | 0.6070 | no |
| LDOS | 2023-07-10 | 84.51 | 0.3300 | 0.5375 | no |
| LYB | 2023-07-10 | 73.01 | 0.2114 | 0.4683 | no |
| MKC | 2023-07-10 | 78.17 | 0.3023 | 0.4522 | no |
| MSCI | 2023-07-10 | 452.64 | 0.5033 | 0.4684 | no |
| NCLH | 2023-07-10 | 21.96 | 0.5095 | 0.4304 | no |
| NDAQ | 2023-07-10 | 46.86 | 0.2950 | 0.5017 | no |
| NOC | 2023-07-10 | 428.66 | 0.2807 | 0.5452 | no |
| OGN | 2023-07-10 | 17.72 | 0.2269 | 0.4576 | no |
| ON | 2023-07-10 | 93.98 | 0.3026 | 0.4894 | no |
| OXY | 2023-07-10 | 55.24 | 0.3827 | 0.5683 | no |
| PANW | 2023-07-10 | 124.48 | 0.4249 | 0.5638 | no |
| PFE | 2023-07-10 | 29.01 | 0.3624 | 0.5585 | no |
| ROL | 2023-07-10 | 41.38 | 0.2945 | 0.4598 | no |
| RSG | 2023-07-10 | 145.53 | 0.2349 | 0.5088 | no |
| SYY | 2023-07-10 | 68.46 | 0.3768 | 0.4936 | no |
| TDG | 2023-07-10 | 752.29 | 0.2461 | 0.5437 | no |
| TDY | 2023-07-10 | 409.97 | 0.2194 | 0.4354 | no |
| TECH | 2023-07-10 | 79.91 | 0.4009 | 0.4428 | no |
| ULTA | 2023-07-10 | 473.43 | 0.2923 | 0.4955 | no |
| VICI | 2023-07-10 | 25.61 | 0.2600 | 0.4227 | no |
| WAB | 2023-07-10 | 108.07 | 0.2235 | 0.5213 | no |
| WDC | 2023-07-10 | 28.21 | 0.2674 | 0.5295 | no |
| WMB | 2023-07-10 | 28.80 | 0.3848 | 0.4335 | no |
| WRB | 2023-07-10 | 36.74 | 0.3384 | 0.4559 | no |