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 | -8.64% | 0.67% | 2023-08-01 | -9.89% |
| buy & hold | participation factor overlay | 6 months | complete | 2.98% | 4.15% | 2023-12-28 | -11.42% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.52% | 0.34% | 2023-08-08 | -11.07% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.34% | 4.33% | 2023-12-28 | -13.17% |
| weekly rebalance | participation factor overlay | 3 months | complete | -12.25% | 0.67% | 2023-07-31 | -13.18% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.51% | 0.97% | 2023-12-27 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -12.69% | 0.47% | 2023-07-31 | -13.52% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.95% | 1.50% | 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 |
|---|---|---|---|---|---|
| AAP | 2023-07-24 | 66.65 | 0.2318 | 0.5487 | no |
| ALB | 2023-07-24 | 203.62 | 0.3431 | 0.4946 | no |
| ALLE | 2023-07-24 | 120.33 | 0.2549 | 0.4945 | no |
| AMD | 2023-07-24 | 110.62 | 0.8553 | 0.5261 | no |
| AMGN | 2023-07-24 | 213.07 | 0.3135 | 0.5935 | no |
| ANET | 2023-07-24 | 42.97 | 0.2041 | 0.4762 | no |
| AON | 2023-07-24 | 333.11 | 0.1862 | 0.4829 | no |
| BA | 2023-07-24 | 212.06 | 0.3989 | 0.5368 | no |
| BIO | 2023-07-24 | 413.07 | 0.2652 | 0.4537 | no |
| BMY | 2023-07-24 | 56.18 | 0.4036 | 0.5801 | no |
| BRK.B | 2023-07-24 | 346.77 | 0.2263 | — | no |
| CE | 2023-07-24 | 117.24 | 0.1796 | 0.4657 | no |
| CEG | 2023-07-24 | 94.51 | 0.1937 | 0.4620 | no |
| CHD | 2023-07-24 | 94.33 | 0.2138 | 0.4264 | no |
| COO | 2023-07-24 | 96.97 | 0.2144 | 0.4496 | no |
| CRL | 2023-07-24 | 201.88 | 0.2247 | 0.4775 | no |
| CTVA | 2023-07-24 | 54.61 | 0.2089 | 0.4692 | no |
| DAL | 2023-07-24 | 46.54 | 0.2124 | 0.4635 | no |
| DG | 2023-07-24 | 158.23 | 0.2198 | 0.5520 | no |
| DLTR | 2023-07-24 | 151.90 | 0.4319 | 0.5973 | no |
| DUK | 2023-07-24 | 83.91 | 0.3067 | 0.4859 | no |
| EBAY | 2023-07-24 | 45.80 | 0.1811 | 0.4231 | no |
| EQT | 2023-07-24 | 37.97 | 0.2614 | 0.5378 | no |
| ETR | 2023-07-24 | 46.73 | 0.4041 | 0.4929 | no |
| F | 2023-07-24 | 11.50 | 0.4943 | 0.5172 | no |
| GIS | 2023-07-24 | 67.28 | 0.3249 | 0.4648 | no |
| GRMN | 2023-07-24 | 99.80 | 0.2928 | 0.4685 | no |
| HRL | 2023-07-24 | 35.45 | 0.1744 | 0.4864 | no |
| HUM | 2023-07-24 | 440.66 | 0.2406 | 0.4732 | no |
| IBM | 2023-07-24 | 125.60 | 0.2606 | 0.4817 | no |
| IFF | 2023-07-24 | 78.26 | 0.1928 | 0.4548 | no |
| IP | 2023-07-24 | 27.66 | 0.1846 | 0.4647 | no |
| JCI | 2023-07-24 | 65.82 | 0.1849 | 0.4939 | no |
| KHC | 2023-07-24 | 30.40 | 0.2731 | — | no |
| LDOS | 2023-07-24 | 88.28 | 0.4232 | 0.5327 | no |
| LHX | 2023-07-24 | 187.59 | 0.2819 | 0.5352 | no |
| LLY | 2023-07-24 | 451.61 | 0.2920 | 0.5237 | no |
| PNR | 2023-07-24 | 64.08 | 0.2676 | 0.4905 | no |
| RCL | 2023-07-24 | 98.77 | 0.2913 | 0.4493 | no |
| SNPS | 2023-07-24 | 454.00 | 0.5627 | 0.5796 | no |
| STX | 2023-07-24 | 55.34 | 0.1886 | 0.5420 | no |
| TSCO | 2023-07-24 | 40.68 | 0.1797 | 0.5759 | no |
| TSN | 2023-07-24 | 47.18 | 0.2268 | 0.4900 | no |
| ULTA | 2023-07-24 | 459.29 | 0.2613 | 0.4841 | no |
| UNP | 2023-07-24 | 201.31 | 0.1793 | 0.5048 | no |
| VRSK | 2023-07-24 | 228.43 | 0.3104 | 0.4781 | no |
| WAB | 2023-07-24 | 111.46 | 0.1775 | 0.5211 | no |
| WST | 2023-07-24 | 372.00 | 0.2617 | 0.4273 | no |
| XEL | 2023-07-24 | 58.30 | 0.2460 | 0.4847 | no |
| ZTS | 2023-07-24 | 175.84 | 0.3725 | 0.4839 | no |