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 | -5.58% | 1.22% | 2023-07-26 | -10.49% |
| buy & hold | participation factor overlay | 6 months | complete | 3.37% | 4.77% | 2024-01-08 | -11.75% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -5.02% | 1.44% | 2023-07-26 | -9.99% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.91% | 6.17% | 2023-12-28 | -11.92% |
| weekly rebalance | participation factor overlay | 3 months | complete | -9.23% | 1.60% | 2023-07-31 | -12.14% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.39% | 1.60% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.74% | 1.62% | 2023-07-31 | -12.13% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.62% | 2.82% | 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 | 2023-07-17 | 66.53 | 0.4882 | 0.5515 | no |
| AFL | 2023-07-17 | 64.74 | 0.2450 | 0.4513 | no |
| ALL | 2023-07-17 | 94.50 | 0.2579 | 0.4641 | no |
| AMD | 2023-07-17 | 115.95 | 0.4994 | 0.5258 | no |
| AMGN | 2023-07-17 | 205.70 | 0.2045 | 0.5935 | no |
| AMT | 2023-07-17 | 173.67 | 0.3044 | 0.4292 | no |
| BMY | 2023-07-17 | 53.83 | 0.3000 | 0.5801 | no |
| CAH | 2023-07-17 | 88.83 | 0.3594 | 0.4602 | no |
| CMS | 2023-07-17 | 54.83 | 0.3025 | 0.4588 | no |
| COO | 2023-07-17 | 99.26 | 0.3718 | 0.4484 | no |
| COST | 2023-07-17 | 523.90 | 0.2071 | 0.5906 | no |
| CPRT | 2023-07-17 | 46.78 | 0.2222 | 0.5088 | no |
| CRM | 2023-07-17 | 224.95 | 0.2548 | 0.4244 | no |
| DAL | 2023-07-17 | 44.97 | 0.4033 | 0.4635 | no |
| DG | 2023-07-17 | 152.71 | 0.3234 | 0.5563 | no |
| DLTR | 2023-07-17 | 147.41 | 0.4012 | 0.5985 | no |
| DOW | 2023-07-17 | 43.64 | 0.2215 | 0.4846 | no |
| ECL | 2023-07-17 | 182.18 | 0.2410 | 0.4810 | no |
| ED | 2023-07-17 | 83.13 | 0.2197 | — | no |
| EFX | 2023-07-17 | 229.86 | 0.2545 | 0.4623 | no |
| EL | 2023-07-17 | 180.61 | 0.2208 | 0.4570 | no |
| EQT | 2023-07-17 | 36.36 | 0.2175 | 0.5377 | no |
| ETR | 2023-07-17 | 44.66 | 0.3201 | 0.4929 | no |
| FCX | 2023-07-17 | 38.53 | 0.2294 | 0.5541 | no |
| GRMN | 2023-07-17 | 100.24 | 0.2164 | 0.4685 | no |
| JCI | 2023-07-17 | 65.52 | 0.2736 | 0.4946 | no |
| L | 2023-07-17 | 58.88 | 0.2343 | — | no |
| LDOS | 2023-07-17 | 86.47 | 0.5782 | 0.5329 | no |
| LHX | 2023-07-17 | 183.89 | 0.2015 | 0.5352 | no |
| LKQ | 2023-07-17 | 52.29 | 0.3270 | 0.5091 | no |
| MET | 2023-07-17 | 52.65 | 0.2586 | 0.4455 | no |
| MSFT | 2023-07-17 | 337.06 | 0.2331 | 0.4771 | no |
| NDAQ | 2023-07-17 | 48.34 | 0.4352 | 0.5146 | no |
| NOC | 2023-07-17 | 427.97 | 0.2511 | 0.5530 | no |
| NSC | 2023-07-17 | 218.69 | 0.2464 | 0.5052 | no |
| PFE | 2023-07-17 | 29.45 | 0.2509 | 0.5524 | no |
| PPL | 2023-07-17 | 23.95 | 0.2085 | 0.4678 | no |
| RCL | 2023-07-17 | 94.31 | 0.3410 | 0.4494 | no |
| ROK | 2023-07-17 | 321.66 | 0.2250 | 0.4869 | no |
| ROL | 2023-07-17 | 42.53 | 0.2468 | 0.4598 | no |
| SHW | 2023-07-17 | 259.55 | 0.2179 | 0.4732 | no |
| SNA | 2023-07-17 | 268.91 | 0.2790 | 0.4916 | no |
| SYY | 2023-07-17 | 67.07 | 0.2353 | 0.4849 | no |
| TSCO | 2023-07-17 | 39.98 | 0.2753 | 0.5761 | no |
| TSN | 2023-07-17 | 46.44 | 0.2337 | 0.4904 | no |
| ULTA | 2023-07-17 | 472.00 | 0.5162 | 0.4848 | no |
| VRSK | 2023-07-17 | 223.67 | 0.4113 | 0.4781 | no |
| WEC | 2023-07-17 | 81.09 | 0.2881 | 0.4603 | no |
| WST | 2023-07-17 | 381.72 | 0.2324 | 0.4296 | no |
| XEL | 2023-07-17 | 57.53 | 0.2067 | 0.4847 | no |