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 | -5.94% | 1.03% | 2023-07-26 | -9.73% |
| buy & hold | participation factor overlay | 6 months | complete | 1.07% | 2.66% | 2023-12-28 | -13.29% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.49% | 1.31% | 2023-07-26 | -10.33% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.16% | 3.53% | 2023-12-28 | -14.17% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.20% | 1.37% | 2023-07-31 | -11.28% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.44% | 1.67% | 2023-12-27 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.51% | 1.39% | 2023-07-31 | -12.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.05% | 2.43% | 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 |
|---|---|---|---|---|---|
| AAL | 2023-07-17 | 18.04 | 0.2474 | 0.4470 | no |
| AAP | 2023-07-17 | 66.53 | 0.2163 | 0.5515 | no |
| ADBE | 2023-07-17 | 513.00 | 0.3062 | 0.4633 | no |
| AEE | 2023-07-17 | 77.19 | 0.2477 | — | no |
| AKAM | 2023-07-17 | 92.18 | 0.2077 | 0.5068 | no |
| ALL | 2023-07-17 | 94.50 | 0.1682 | 0.4641 | no |
| AMD | 2023-07-17 | 115.95 | 0.3229 | 0.5258 | no |
| AMGN | 2023-07-17 | 205.70 | 0.1654 | 0.5935 | no |
| AMT | 2023-07-17 | 173.67 | 0.2398 | 0.4292 | no |
| AON | 2023-07-17 | 328.78 | 0.1964 | 0.4829 | no |
| BMY | 2023-07-17 | 53.83 | 0.2488 | 0.5801 | no |
| CB | 2023-07-17 | 181.53 | 0.2130 | 0.4732 | no |
| CNP | 2023-07-17 | 27.68 | 0.2079 | 0.4450 | no |
| COO | 2023-07-17 | 99.26 | 0.2325 | 0.4484 | no |
| D | 2023-07-17 | 45.08 | 0.1994 | 0.4487 | no |
| DAL | 2023-07-17 | 44.97 | 0.2988 | 0.4635 | no |
| DG | 2023-07-17 | 152.71 | 0.1777 | 0.5563 | no |
| DLTR | 2023-07-17 | 147.41 | 0.4602 | 0.5985 | no |
| DUK | 2023-07-17 | 81.93 | 0.2214 | 0.4859 | no |
| DVA | 2023-07-17 | 103.55 | 0.1792 | 0.4758 | no |
| ECL | 2023-07-17 | 182.18 | 0.3584 | 0.4810 | no |
| EMR | 2023-07-17 | 86.64 | 0.1705 | 0.4946 | no |
| ENPH | 2023-07-17 | 178.11 | 0.2779 | 0.4757 | no |
| EXC | 2023-07-17 | 37.17 | 0.2168 | 0.4636 | no |
| GOOG | 2023-07-17 | 124.88 | 0.2592 | — | no |
| GOOGL | 2023-07-17 | 124.75 | 0.1729 | 0.4718 | no |
| GPC | 2023-07-17 | 149.49 | 0.1663 | 0.5477 | no |
| GRMN | 2023-07-17 | 100.24 | 0.1921 | 0.4685 | no |
| HAS | 2023-07-17 | 55.96 | 0.2045 | 0.4520 | no |
| JCI | 2023-07-17 | 65.52 | 0.1826 | 0.4946 | no |
| L | 2023-07-17 | 58.88 | 0.2536 | — | no |
| LDOS | 2023-07-17 | 86.47 | 0.6064 | 0.5329 | no |
| LKQ | 2023-07-17 | 52.29 | 0.2302 | 0.5091 | no |
| MSFT | 2023-07-17 | 337.06 | 0.2201 | 0.4771 | no |
| MTD | 2023-07-17 | 1329.30 | 0.1800 | 0.4379 | no |
| NCLH | 2023-07-17 | 20.38 | 0.2549 | 0.4301 | no |
| NSC | 2023-07-17 | 218.69 | 0.1766 | 0.5052 | no |
| NVR | 2023-07-17 | 6368.39 | 0.2233 | — | no |
| PFE | 2023-07-17 | 29.45 | 0.2365 | 0.5524 | no |
| RCL | 2023-07-17 | 94.31 | 0.4715 | 0.4494 | no |
| ROK | 2023-07-17 | 321.66 | 0.2361 | 0.4869 | no |
| RSG | 2023-07-17 | 144.79 | 0.1815 | 0.5183 | no |
| SHW | 2023-07-17 | 259.55 | 0.2279 | 0.4732 | no |
| SLB | 2023-07-17 | 52.20 | 0.5158 | 0.5638 | no |
| SNPS | 2023-07-17 | 454.29 | 0.4151 | 0.5794 | no |
| SYY | 2023-07-17 | 67.07 | 0.2300 | 0.4849 | no |
| ULTA | 2023-07-17 | 472.00 | 0.3623 | 0.4848 | no |
| VRSK | 2023-07-17 | 223.67 | 0.2924 | 0.4781 | no |
| WDC | 2023-07-17 | 29.73 | 0.1734 | 0.5425 | no |
| WEC | 2023-07-17 | 81.09 | 0.2110 | 0.4603 | no |