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 | -3.89% | 3.51% | 2023-07-31 | -9.34% |
| buy & hold | participation factor overlay | 6 months | complete | 3.89% | 4.78% | 2023-12-28 | -12.09% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.51% | 4.02% | 2023-07-26 | -10.53% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.35% | 5.15% | 2023-12-28 | -13.50% |
| weekly rebalance | participation factor overlay | 3 months | complete | -6.71% | 2.21% | 2023-07-31 | -11.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.56% | 4.05% | 2023-12-27 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.24% | 2.50% | 2023-07-19 | -12.25% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.44% | 4.51% | 2023-12-28 | -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 | 2023-07-10 | 62.99 | 0.4535 | 0.5485 | no |
| AFL | 2023-07-10 | 65.35 | 0.2686 | 0.4446 | no |
| AJG | 2023-07-10 | 208.23 | 0.2399 | 0.4980 | no |
| AMD | 2023-07-10 | 113.00 | 0.3447 | 0.5212 | no |
| AMT | 2023-07-10 | 174.95 | 0.2453 | 0.4285 | no |
| BAX | 2023-07-10 | 42.65 | 0.2699 | 0.4641 | no |
| BMY | 2023-07-10 | 54.38 | 0.2648 | 0.5915 | no |
| CDW | 2023-07-10 | 174.23 | 0.2265 | 0.4864 | no |
| CHD | 2023-07-10 | 95.49 | 0.2280 | 0.4340 | no |
| CVX | 2023-07-10 | 134.49 | 0.3099 | 0.5151 | no |
| D | 2023-07-10 | 44.60 | 0.2485 | 0.4518 | no |
| DG | 2023-07-10 | 158.19 | 0.4350 | 0.5592 | no |
| DOV | 2023-07-10 | 140.74 | 0.2180 | 0.4797 | no |
| DOW | 2023-07-10 | 43.83 | 0.2269 | 0.4834 | no |
| DVN | 2023-07-10 | 43.59 | 0.3208 | 0.5989 | no |
| EOG | 2023-07-10 | 103.12 | 0.3398 | 0.6218 | no |
| ETR | 2023-07-10 | 43.56 | 0.2374 | 0.4984 | no |
| EXC | 2023-07-10 | 36.37 | 0.2917 | 0.4721 | no |
| EXPD | 2023-07-10 | 115.15 | 0.2367 | — | no |
| FTV | 2023-07-10 | 54.17 | 0.4239 | 0.4832 | no |
| GIS | 2023-07-10 | 65.56 | 0.2235 | 0.4766 | no |
| GRMN | 2023-07-10 | 99.51 | 0.2649 | 0.4615 | no |
| HAS | 2023-07-10 | 56.40 | 0.2891 | 0.4543 | no |
| HD | 2023-07-10 | 278.95 | 0.2880 | 0.5653 | no |
| HWM | 2023-07-10 | 48.82 | 0.2202 | 0.5721 | no |
| KHC | 2023-07-10 | 29.79 | 0.2601 | — | no |
| LDOS | 2023-07-10 | 84.51 | 0.4825 | 0.5375 | no |
| LH | 2023-07-10 | 200.82 | 0.2176 | 0.5198 | no |
| LKQ | 2023-07-10 | 51.42 | 0.2982 | 0.5039 | no |
| MKC | 2023-07-10 | 78.17 | 0.2619 | 0.4522 | no |
| MKTX | 2023-07-10 | 234.89 | 0.2826 | 0.4620 | no |
| MU | 2023-07-10 | 60.16 | 0.2200 | 0.5297 | no |
| NCLH | 2023-07-10 | 21.96 | 0.2650 | 0.4304 | no |
| NDAQ | 2023-07-10 | 46.86 | 0.3621 | 0.5017 | no |
| NDSN | 2023-07-10 | 233.29 | 0.2306 | 0.4826 | no |
| NTAP | 2023-07-10 | 71.52 | 0.2894 | 0.4951 | no |
| NVR | 2023-07-10 | 6079.64 | 0.2538 | — | no |
| OGN | 2023-07-10 | 17.72 | 0.3287 | 0.4576 | no |
| ON | 2023-07-10 | 93.98 | 0.2790 | 0.4894 | no |
| OXY | 2023-07-10 | 55.24 | 0.3558 | 0.5683 | no |
| PANW | 2023-07-10 | 124.48 | 0.4156 | 0.5638 | no |
| ROL | 2023-07-10 | 41.38 | 0.4205 | 0.4598 | no |
| RSG | 2023-07-10 | 145.53 | 0.2359 | 0.5088 | no |
| SYY | 2023-07-10 | 68.46 | 0.3020 | 0.4936 | no |
| TDY | 2023-07-10 | 409.97 | 0.2775 | 0.4354 | no |
| TECH | 2023-07-10 | 79.91 | 0.4106 | 0.4428 | no |
| VRTX | 2023-07-10 | 339.02 | 0.2539 | 0.5392 | no |
| WAB | 2023-07-10 | 108.07 | 0.2479 | 0.5213 | no |
| WMB | 2023-07-10 | 28.80 | 0.2612 | 0.4335 | no |
| WRB | 2023-07-10 | 36.74 | 0.3457 | 0.4559 | no |