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 | -10.07% | 0.18% | 2023-07-25 | -10.94% |
| buy & hold | participation factor overlay | 6 months | complete | 2.34% | 2.94% | 2023-12-28 | -11.83% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -11.05% | 0.29% | 2023-08-01 | -11.92% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.38% | 3.40% | 2023-12-28 | -13.23% |
| weekly rebalance | participation factor overlay | 3 months | complete | -12.76% | 0.18% | 2023-07-25 | -13.42% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.92% | 0.18% | 2023-07-25 | -14.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.11% | 0.32% | 2023-07-31 | -13.97% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.75% | 0.32% | 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 | 2023-07-24 | 66.65 | 0.4697 | 0.5487 | no |
| ACGL | 2023-07-24 | 77.95 | 0.1955 | 0.4709 | no |
| AKAM | 2023-07-24 | 92.55 | 0.2348 | 0.5068 | no |
| AMD | 2023-07-24 | 110.62 | 0.7673 | 0.5261 | no |
| ANET | 2023-07-24 | 42.97 | 0.2130 | 0.4762 | no |
| AVGO | 2023-07-24 | 86.89 | 0.1898 | 0.5164 | no |
| BRK.B | 2023-07-24 | 346.77 | 0.1828 | — | no |
| CAG | 2023-07-24 | 27.50 | 0.2602 | 0.4477 | no |
| CHD | 2023-07-24 | 94.33 | 0.2176 | 0.4264 | no |
| CNP | 2023-07-24 | 28.45 | 0.2097 | 0.4450 | no |
| DAL | 2023-07-24 | 46.54 | 0.3877 | 0.4635 | no |
| DGX | 2023-07-24 | 136.13 | 0.1873 | 0.4928 | no |
| DLTR | 2023-07-24 | 151.90 | 0.4119 | 0.5973 | no |
| DOW | 2023-07-24 | 44.16 | 0.2151 | 0.4846 | no |
| DUK | 2023-07-24 | 83.91 | 0.2120 | 0.4859 | no |
| ECL | 2023-07-24 | 183.34 | 0.2632 | 0.4810 | no |
| EMN | 2023-07-24 | 76.27 | 0.3161 | 0.4643 | no |
| EQT | 2023-07-24 | 37.97 | 0.2633 | 0.5378 | no |
| ETR | 2023-07-24 | 46.73 | 0.3888 | 0.4929 | no |
| EW | 2023-07-24 | 92.76 | 0.2233 | 0.4461 | no |
| F | 2023-07-24 | 11.50 | 0.4271 | 0.5172 | no |
| FMC | 2023-07-24 | 83.46 | 0.2490 | 0.4738 | no |
| GIS | 2023-07-24 | 67.28 | 0.2132 | 0.4648 | no |
| GNRC | 2023-07-24 | 147.92 | 0.2673 | 0.4885 | no |
| GRMN | 2023-07-24 | 99.80 | 0.2800 | 0.4685 | no |
| HUM | 2023-07-24 | 440.66 | 0.2212 | 0.4732 | no |
| IBM | 2023-07-24 | 125.60 | 0.3426 | 0.4817 | no |
| IFF | 2023-07-24 | 78.26 | 0.4230 | 0.4548 | no |
| IP | 2023-07-24 | 27.66 | 0.2494 | 0.4647 | no |
| KHC | 2023-07-24 | 30.40 | 0.4331 | — | no |
| LDOS | 2023-07-24 | 88.28 | 0.2059 | 0.5327 | no |
| LNT | 2023-07-24 | 49.98 | 0.1943 | 0.4565 | no |
| MDT | 2023-07-24 | 80.73 | 0.2539 | 0.4627 | no |
| MSFT | 2023-07-24 | 337.22 | 0.1900 | 0.4778 | no |
| NCLH | 2023-07-24 | 21.10 | 0.2384 | 0.4296 | no |
| PNW | 2023-07-24 | 74.52 | 0.2286 | 0.4686 | no |
| RCL | 2023-07-24 | 98.77 | 0.2027 | 0.4493 | no |
| ROL | 2023-07-24 | 42.71 | 0.1861 | 0.4598 | no |
| SLB | 2023-07-24 | 51.83 | 0.2290 | 0.5125 | no |
| SNPS | 2023-07-24 | 454.00 | 0.4125 | 0.5796 | no |
| STX | 2023-07-24 | 55.34 | 0.3009 | 0.5420 | no |
| TDG | 2023-07-24 | 758.20 | 0.2178 | 0.5421 | no |
| TSCO | 2023-07-24 | 40.68 | 0.2998 | 0.5759 | no |
| ULTA | 2023-07-24 | 459.29 | 0.4027 | 0.4841 | no |
| VRSK | 2023-07-24 | 228.43 | 0.4069 | 0.4781 | no |
| WAB | 2023-07-24 | 111.46 | 0.2708 | 0.5211 | no |
| WEC | 2023-07-24 | 82.45 | 0.1932 | 0.4603 | no |
| WHR | 2023-07-24 | 126.73 | 0.2080 | 0.4791 | no |
| XEL | 2023-07-24 | 58.30 | 0.1923 | 0.4847 | no |
| ZTS | 2023-07-24 | 175.84 | 0.1821 | 0.4839 | no |