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 | -8.26% | 0.54% | 2023-07-31 | -9.48% |
| buy & hold | participation factor overlay | 6 months | complete | 2.20% | 4.15% | 2023-12-28 | -11.31% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -8.48% | 0.47% | 2023-08-01 | -9.52% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.91% | 4.93% | 2023-12-28 | -11.95% |
| weekly rebalance | participation factor overlay | 3 months | complete | -11.86% | 0.52% | 2023-07-31 | -12.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.16% | 2.33% | 2023-12-27 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -12.65% | 0.26% | 2023-07-31 | -13.69% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.38% | 2.38% | 2023-12-28 | -14.54% |
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 | 0.3838 | 0.5487 | no |
| AKAM | 2023-07-24 | 92.55 | 0.2118 | 0.5068 | no |
| ALB | 2023-07-24 | 203.62 | 0.3905 | 0.4946 | no |
| ALGN | 2023-07-24 | 337.25 | 0.2428 | 0.5011 | no |
| ALLE | 2023-07-24 | 120.33 | 0.2838 | 0.4945 | no |
| AMD | 2023-07-24 | 110.62 | 0.5916 | 0.5261 | no |
| AMGN | 2023-07-24 | 213.07 | 0.2441 | 0.5935 | no |
| AMT | 2023-07-24 | 167.36 | 0.2130 | 0.4283 | no |
| ANET | 2023-07-24 | 42.97 | 0.3072 | 0.4762 | no |
| BA | 2023-07-24 | 212.06 | 0.3726 | 0.5368 | no |
| BIIB | 2023-07-24 | 276.54 | 0.2172 | 0.5636 | no |
| BIO | 2023-07-24 | 413.07 | 0.1929 | 0.4537 | no |
| BKR | 2023-07-24 | 33.24 | 0.2560 | 0.5000 | no |
| BMY | 2023-07-24 | 56.18 | 0.2506 | 0.5801 | no |
| BRK.B | 2023-07-24 | 346.77 | 0.2243 | — | no |
| CE | 2023-07-24 | 117.24 | 0.2452 | 0.4657 | no |
| CHD | 2023-07-24 | 94.33 | 0.1948 | 0.4264 | no |
| COST | 2023-07-24 | 535.24 | 0.2079 | 0.5868 | no |
| DAL | 2023-07-24 | 46.54 | 0.1888 | 0.4635 | no |
| DD | 2023-07-24 | 88.42 | 0.2068 | 0.4743 | no |
| DGX | 2023-07-24 | 136.13 | 0.2125 | 0.4928 | no |
| DLTR | 2023-07-24 | 151.90 | 0.3942 | 0.5973 | no |
| DUK | 2023-07-24 | 83.91 | 0.2545 | 0.4859 | no |
| EQT | 2023-07-24 | 37.97 | 0.3662 | 0.5378 | no |
| ES | 2023-07-24 | 64.73 | 0.1918 | 0.4715 | no |
| ETR | 2023-07-24 | 46.73 | 0.5050 | 0.4929 | no |
| F | 2023-07-24 | 11.50 | 0.5327 | 0.5172 | no |
| HUM | 2023-07-24 | 440.66 | 0.3064 | 0.4732 | no |
| IBM | 2023-07-24 | 125.60 | 0.3055 | 0.4817 | no |
| IFF | 2023-07-24 | 78.26 | 0.3018 | 0.4548 | no |
| IP | 2023-07-24 | 27.66 | 0.3285 | 0.4647 | no |
| KHC | 2023-07-24 | 30.40 | 0.4040 | — | no |
| LDOS | 2023-07-24 | 88.28 | 0.1997 | 0.5327 | no |
| LLY | 2023-07-24 | 451.61 | 0.2340 | 0.5237 | no |
| LYB | 2023-07-24 | 74.39 | 0.1891 | 0.4706 | no |
| MSFT | 2023-07-24 | 337.22 | 0.1933 | 0.4778 | no |
| NCLH | 2023-07-24 | 21.10 | 0.2755 | 0.4296 | no |
| PNR | 2023-07-24 | 64.08 | 0.3142 | 0.4905 | no |
| RCL | 2023-07-24 | 98.77 | 0.3952 | 0.4493 | no |
| SNPS | 2023-07-24 | 454.00 | 0.4148 | 0.5796 | no |
| STX | 2023-07-24 | 55.34 | 0.3713 | 0.5420 | no |
| STZ | 2023-07-24 | 252.16 | 0.1882 | 0.4302 | no |
| SYY | 2023-07-24 | 69.43 | 0.2493 | 0.4849 | no |
| TXN | 2023-07-24 | 168.21 | 0.2699 | 0.5052 | no |
| ULTA | 2023-07-24 | 459.29 | 0.2933 | 0.4841 | no |
| VRSK | 2023-07-24 | 228.43 | 0.4176 | 0.4781 | no |
| WEC | 2023-07-24 | 82.45 | 0.2380 | 0.4603 | no |
| WHR | 2023-07-24 | 126.73 | 0.2710 | 0.4791 | no |
| WST | 2023-07-24 | 372.00 | 0.2335 | 0.4273 | no |
| XEL | 2023-07-24 | 58.30 | 0.3388 | 0.4847 | no |