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 | -6.41% | 1.04% | 2023-07-26 | -10.86% |
| buy & hold | participation factor overlay | 6 months | complete | 1.55% | 3.69% | 2023-12-28 | -13.29% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -7.12% | 1.29% | 2023-07-19 | -11.42% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.49% | 5.14% | 2023-12-28 | -14.72% |
| weekly rebalance | participation factor overlay | 3 months | complete | -8.09% | 1.29% | 2023-07-31 | -11.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.94% | 3.11% | 2023-12-27 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.48% | 1.29% | 2023-07-19 | -12.25% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.08% | 3.27% | 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 | 2023-07-17 | 66.53 | 0.2721 | 0.5515 | no |
| ADBE | 2023-07-17 | 513.00 | 0.2985 | 0.4633 | no |
| ALL | 2023-07-17 | 94.50 | 0.2843 | 0.4641 | no |
| AMD | 2023-07-17 | 115.95 | 0.2568 | 0.5258 | no |
| AMT | 2023-07-17 | 173.67 | 0.3057 | 0.4292 | no |
| APH | 2023-07-17 | 20.64 | 0.2711 | 0.4843 | no |
| BMY | 2023-07-17 | 53.83 | 0.3202 | 0.5801 | no |
| CAH | 2023-07-17 | 88.83 | 0.2029 | 0.4602 | no |
| CHD | 2023-07-17 | 94.97 | 0.1954 | 0.4278 | no |
| CMS | 2023-07-17 | 54.83 | 0.1810 | 0.4588 | no |
| COO | 2023-07-17 | 99.26 | 0.3984 | 0.4484 | no |
| COST | 2023-07-17 | 523.90 | 0.2337 | 0.5906 | no |
| CPRT | 2023-07-17 | 46.78 | 0.2298 | 0.5088 | no |
| CRM | 2023-07-17 | 224.95 | 0.2597 | 0.4244 | no |
| DAL | 2023-07-17 | 44.97 | 0.3334 | 0.4635 | no |
| DLTR | 2023-07-17 | 147.41 | 0.2528 | 0.5985 | no |
| DOW | 2023-07-17 | 43.64 | 0.2872 | 0.4846 | no |
| DUK | 2023-07-17 | 81.93 | 0.2892 | 0.4859 | no |
| ECL | 2023-07-17 | 182.18 | 0.2161 | 0.4810 | no |
| EFX | 2023-07-17 | 229.86 | 0.2540 | 0.4623 | no |
| ELV | 2023-07-17 | 412.80 | 0.1793 | 0.4793 | no |
| EMR | 2023-07-17 | 86.64 | 0.2031 | 0.4946 | no |
| ENPH | 2023-07-17 | 178.11 | 0.3944 | 0.4757 | no |
| ES | 2023-07-17 | 63.10 | 0.2607 | 0.4715 | no |
| EXC | 2023-07-17 | 37.17 | 0.2359 | 0.4636 | no |
| FTV | 2023-07-17 | 55.00 | 0.1823 | 0.4854 | no |
| GOOGL | 2023-07-17 | 124.75 | 0.3244 | 0.4718 | no |
| GRMN | 2023-07-17 | 100.24 | 0.2455 | 0.4685 | no |
| JCI | 2023-07-17 | 65.52 | 0.2406 | 0.4946 | no |
| LDOS | 2023-07-17 | 86.47 | 0.4568 | 0.5329 | no |
| LHX | 2023-07-17 | 183.89 | 0.2982 | 0.5352 | no |
| LKQ | 2023-07-17 | 52.29 | 0.3015 | 0.5091 | no |
| MET | 2023-07-17 | 52.65 | 0.1997 | 0.4455 | no |
| MKTX | 2023-07-17 | 237.58 | 0.2458 | 0.4745 | no |
| MSFT | 2023-07-17 | 337.06 | 0.3424 | 0.4771 | no |
| NCLH | 2023-07-17 | 20.38 | 0.2841 | 0.4301 | no |
| NSC | 2023-07-17 | 218.69 | 0.2806 | 0.5052 | no |
| PFE | 2023-07-17 | 29.45 | 0.3022 | 0.5524 | no |
| PPL | 2023-07-17 | 23.95 | 0.3140 | 0.4678 | no |
| RCL | 2023-07-17 | 94.31 | 0.4628 | 0.4494 | no |
| ROK | 2023-07-17 | 321.66 | 0.2103 | 0.4869 | no |
| ROL | 2023-07-17 | 42.53 | 0.2680 | 0.4598 | no |
| SLB | 2023-07-17 | 52.20 | 0.3873 | 0.5638 | no |
| SNA | 2023-07-17 | 268.91 | 0.3288 | 0.4916 | no |
| ULTA | 2023-07-17 | 472.00 | 0.5064 | 0.4848 | no |
| UPS | 2023-07-17 | 153.99 | 0.2521 | 0.5210 | no |
| VRSK | 2023-07-17 | 223.67 | 0.2393 | 0.4781 | no |
| WAB | 2023-07-17 | 110.18 | 0.2307 | 0.5210 | no |
| WEC | 2023-07-17 | 81.09 | 0.2566 | 0.4603 | no |
| WMB | 2023-07-17 | 29.27 | 0.2142 | 0.4324 | no |