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 | -7.59% | 0.67% | 2023-07-25 | -11.42% |
| buy & hold | participation factor overlay | 6 months | complete | 0.60% | 2.22% | 2023-12-28 | -13.49% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -6.14% | 1.04% | 2023-07-26 | -10.47% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.61% | 4.31% | 2023-12-28 | -12.89% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.96% | 0.83% | 2023-07-25 | -11.19% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.74% | 0.83% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.77% | 1.04% | 2023-07-31 | -11.99% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -3.14% | 1.04% | 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 | 2023-07-17 | 66.53 | 0.2749 | 0.5515 | no |
| ALL | 2023-07-17 | 94.50 | 0.3143 | 0.4641 | no |
| AMD | 2023-07-17 | 115.95 | 0.5200 | 0.5258 | no |
| AMT | 2023-07-17 | 173.67 | 0.2525 | 0.4292 | no |
| BMY | 2023-07-17 | 53.83 | 0.2750 | 0.5801 | no |
| CMS | 2023-07-17 | 54.83 | 0.1753 | 0.4588 | no |
| COO | 2023-07-17 | 99.26 | 0.3474 | 0.4484 | no |
| CPRT | 2023-07-17 | 46.78 | 0.2015 | 0.5088 | no |
| CRM | 2023-07-17 | 224.95 | 0.2089 | 0.4244 | no |
| D | 2023-07-17 | 45.08 | 0.1895 | 0.4487 | no |
| DAL | 2023-07-17 | 44.97 | 0.2930 | 0.4635 | no |
| DE | 2023-07-17 | 398.21 | 0.1907 | 0.4912 | no |
| DG | 2023-07-17 | 152.71 | 0.3436 | 0.5563 | no |
| DLTR | 2023-07-17 | 147.41 | 0.3740 | 0.5985 | no |
| DOW | 2023-07-17 | 43.64 | 0.2047 | 0.4846 | no |
| DVA | 2023-07-17 | 103.55 | 0.2272 | 0.4758 | no |
| EBAY | 2023-07-17 | 43.58 | 0.1977 | 0.4229 | no |
| ECL | 2023-07-17 | 182.18 | 0.2129 | 0.4810 | no |
| ED | 2023-07-17 | 83.13 | 0.1991 | — | no |
| EL | 2023-07-17 | 180.61 | 0.2009 | 0.4570 | no |
| ENPH | 2023-07-17 | 178.11 | 0.2611 | 0.4757 | no |
| ETR | 2023-07-17 | 44.66 | 0.1851 | 0.4929 | no |
| EXC | 2023-07-17 | 37.17 | 0.1809 | 0.4636 | no |
| GOOGL | 2023-07-17 | 124.75 | 0.1922 | 0.4718 | no |
| GRMN | 2023-07-17 | 100.24 | 0.3208 | 0.4685 | no |
| HPE | 2023-07-17 | 15.48 | 0.2121 | 0.4989 | no |
| ISRG | 2023-07-17 | 354.00 | 0.1873 | 0.4717 | no |
| LDOS | 2023-07-17 | 86.47 | 0.6020 | 0.5329 | no |
| LKQ | 2023-07-17 | 52.29 | 0.3609 | 0.5091 | no |
| LMT | 2023-07-17 | 427.61 | 0.1975 | 0.5362 | no |
| MRK | 2023-07-17 | 97.02 | 0.1794 | 0.4949 | no |
| MSFT | 2023-07-17 | 337.06 | 0.3309 | 0.4771 | no |
| NCLH | 2023-07-17 | 20.38 | 0.1813 | 0.4301 | no |
| NDAQ | 2023-07-17 | 48.34 | 0.1959 | 0.5146 | no |
| NOC | 2023-07-17 | 427.97 | 0.2874 | 0.5530 | no |
| NSC | 2023-07-17 | 218.69 | 0.2004 | 0.5052 | no |
| PANW | 2023-07-17 | 120.49 | 0.2324 | 0.5684 | no |
| PFE | 2023-07-17 | 29.45 | 0.2419 | 0.5524 | no |
| PPL | 2023-07-17 | 23.95 | 0.2558 | 0.4678 | no |
| RCL | 2023-07-17 | 94.31 | 0.4358 | 0.4494 | no |
| ROL | 2023-07-17 | 42.53 | 0.1875 | 0.4598 | no |
| SLB | 2023-07-17 | 52.20 | 0.4252 | 0.5638 | no |
| SNA | 2023-07-17 | 268.91 | 0.1779 | 0.4916 | no |
| TT | 2023-07-17 | 189.56 | 0.1867 | 0.4934 | no |
| TYL | 2023-07-17 | 412.63 | 0.1742 | 0.4462 | no |
| ULTA | 2023-07-17 | 472.00 | 0.4960 | 0.4848 | no |
| VRSK | 2023-07-17 | 223.67 | 0.4473 | 0.4781 | no |
| WAB | 2023-07-17 | 110.18 | 0.2756 | 0.5210 | no |
| WEC | 2023-07-17 | 81.09 | 0.2509 | 0.4603 | no |
| XEL | 2023-07-17 | 57.53 | 0.1720 | 0.4847 | no |