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 | -8.11% | 0.84% | 2023-08-01 | -9.59% |
| buy & hold | participation factor overlay | 6 months | complete | 2.53% | 3.12% | 2023-12-28 | -11.52% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -9.59% | 0.54% | 2023-08-01 | -10.46% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.23% | 4.41% | 2023-12-28 | -12.70% |
| weekly rebalance | participation factor overlay | 3 months | complete | -13.29% | 0.79% | 2023-07-31 | -14.35% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.00% | 0.79% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -12.71% | 0.55% | 2023-07-31 | -13.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.67% | 1.74% | 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 | 2023-07-24 | 66.65 | 0.4123 | 0.5487 | no |
| ALB | 2023-07-24 | 203.62 | 0.2620 | 0.4946 | no |
| AMD | 2023-07-24 | 110.62 | 0.8497 | 0.5261 | no |
| AMGN | 2023-07-24 | 213.07 | 0.2970 | 0.5935 | no |
| ANET | 2023-07-24 | 42.97 | 0.3905 | 0.4762 | no |
| BA | 2023-07-24 | 212.06 | 0.3210 | 0.5368 | no |
| BF.B | 2023-07-24 | 63.25 | 0.2220 | — | no |
| BMY | 2023-07-24 | 56.18 | 0.2726 | 0.5801 | no |
| CEG | 2023-07-24 | 94.51 | 0.2114 | 0.4620 | no |
| CINF | 2023-07-24 | 95.43 | 0.2199 | 0.4975 | no |
| COO | 2023-07-24 | 96.97 | 0.1986 | 0.4496 | no |
| DAL | 2023-07-24 | 46.54 | 0.3943 | 0.4635 | no |
| DLTR | 2023-07-24 | 151.90 | 0.4158 | 0.5973 | no |
| DUK | 2023-07-24 | 83.91 | 0.2474 | 0.4859 | no |
| ECL | 2023-07-24 | 183.34 | 0.2101 | 0.4810 | no |
| ED | 2023-07-24 | 87.07 | 0.2181 | — | no |
| EQT | 2023-07-24 | 37.97 | 0.3794 | 0.5378 | no |
| ETR | 2023-07-24 | 46.73 | 0.3623 | 0.4929 | no |
| F | 2023-07-24 | 11.50 | 0.5638 | 0.5172 | no |
| GRMN | 2023-07-24 | 99.80 | 0.2356 | 0.4685 | no |
| HAS | 2023-07-24 | 56.15 | 0.2434 | 0.4579 | no |
| HUM | 2023-07-24 | 440.66 | 0.4880 | 0.4732 | no |
| IBM | 2023-07-24 | 125.60 | 0.3519 | 0.4817 | no |
| IFF | 2023-07-24 | 78.26 | 0.3573 | 0.4548 | no |
| IP | 2023-07-24 | 27.66 | 0.2317 | 0.4647 | no |
| KHC | 2023-07-24 | 30.40 | 0.4543 | — | no |
| LNT | 2023-07-24 | 49.98 | 0.2514 | 0.4565 | no |
| MSFT | 2023-07-24 | 337.22 | 0.2497 | 0.4778 | no |
| PNR | 2023-07-24 | 64.08 | 0.2722 | 0.4905 | no |
| PNW | 2023-07-24 | 74.52 | 0.2239 | 0.4686 | no |
| RCL | 2023-07-24 | 98.77 | 0.3177 | 0.4493 | no |
| RMD | 2023-07-24 | 213.01 | 0.2150 | 0.4619 | no |
| SLB | 2023-07-24 | 51.83 | 0.3128 | 0.5125 | no |
| SNPS | 2023-07-24 | 454.00 | 0.3854 | 0.5796 | no |
| STX | 2023-07-24 | 55.34 | 0.2211 | 0.5420 | no |
| STZ | 2023-07-24 | 252.16 | 0.2655 | 0.4302 | no |
| TDG | 2023-07-24 | 758.20 | 0.2435 | 0.5421 | no |
| TSCO | 2023-07-24 | 40.68 | 0.3527 | 0.5759 | no |
| TXN | 2023-07-24 | 168.21 | 0.2155 | 0.5052 | no |
| ULTA | 2023-07-24 | 459.29 | 0.3019 | 0.4841 | no |
| VMC | 2023-07-24 | 216.94 | 0.2072 | 0.4986 | no |
| VRSK | 2023-07-24 | 228.43 | 0.2312 | 0.4781 | no |
| WAB | 2023-07-24 | 111.46 | 0.2225 | 0.5211 | no |
| WDC | 2023-07-24 | 28.86 | 0.2445 | 0.5430 | no |
| WEC | 2023-07-24 | 82.45 | 0.2503 | 0.4603 | no |
| WHR | 2023-07-24 | 126.73 | 0.3761 | 0.4791 | no |
| WMT | 2023-07-24 | 51.00 | 0.2112 | 0.5826 | no |
| WST | 2023-07-24 | 372.00 | 0.3439 | 0.4273 | no |
| XEL | 2023-07-24 | 58.30 | 0.2631 | 0.4847 | no |
| YUM | 2023-07-24 | 129.86 | 0.2689 | 0.4513 | no |