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 | -14.08% | 0.25% | 2023-07-31 | -15.61% |
| buy & hold | participation factor overlay | 6 months | complete | 0.46% | 1.84% | 2024-01-30 | -15.61% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -12.26% | 0.31% | 2023-07-31 | -13.94% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.32% | 3.75% | 2024-01-30 | -13.94% |
| weekly rebalance | participation factor overlay | 3 months | complete | -14.37% | 0.25% | 2023-07-31 | -15.59% |
| weekly rebalance | participation factor overlay | 6 months | complete | -5.91% | 0.25% | 2023-07-31 | -15.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.33% | 0.31% | 2023-07-31 | -14.78% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.11% | 1.50% | 2023-12-28 | -14.78% |
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 | 2023-07-31 | 69.26 | 0.2465 | 0.5519 | no |
| ADBE | 2023-07-31 | 541.87 | 0.2251 | 0.4642 | no |
| AFL | 2023-07-31 | 67.58 | 0.3360 | 0.4709 | no |
| AKAM | 2023-07-31 | 94.23 | 0.3320 | 0.5066 | no |
| ALB | 2023-07-31 | 198.05 | 0.3618 | 0.4946 | no |
| AMD | 2023-07-31 | 114.16 | 0.6503 | 0.5270 | no |
| BIO | 2023-07-31 | 415.29 | 0.3845 | 0.4523 | no |
| CNC | 2023-07-31 | 66.26 | 0.3755 | 0.4519 | no |
| CNP | 2023-07-31 | 27.81 | 0.2625 | 0.4635 | no |
| COST | 2023-07-31 | 540.04 | 0.3652 | 0.5867 | no |
| CTAS | 2023-07-31 | 122.37 | 0.2128 | 0.4717 | no |
| DAL | 2023-07-31 | 44.31 | 0.4188 | 0.4635 | no |
| DLTR | 2023-07-31 | 152.20 | 0.2748 | 0.5982 | no |
| EFX | 2023-07-31 | 198.29 | 0.2337 | 0.4629 | no |
| ENPH | 2023-07-31 | 154.25 | 0.2216 | 0.5116 | no |
| EQT | 2023-07-31 | 39.99 | 0.3613 | 0.6349 | no |
| ES | 2023-07-31 | 63.38 | 0.3741 | 0.4715 | no |
| ETR | 2023-07-31 | 46.64 | 0.4398 | 0.4929 | no |
| F | 2023-07-31 | 10.77 | 0.6610 | 0.4791 | no |
| FFIV | 2023-07-31 | 156.19 | 0.2975 | 0.4521 | no |
| GM | 2023-07-31 | 36.92 | 0.4614 | 0.4910 | no |
| IBM | 2023-07-31 | 129.62 | 0.3680 | 0.4813 | no |
| IEX | 2023-07-31 | 213.77 | 0.2761 | 0.5115 | no |
| IFF | 2023-07-31 | 79.91 | 0.2937 | 0.4548 | no |
| ITW | 2023-07-31 | 243.01 | 0.2760 | 0.4903 | no |
| JNJ | 2023-07-31 | 154.70 | 0.2244 | 0.4913 | no |
| LNT | 2023-07-31 | 48.92 | 0.2781 | 0.4565 | no |
| LUV | 2023-07-31 | 31.19 | 0.3666 | 0.4633 | no |
| LW | 2023-07-31 | 94.74 | 0.2309 | 0.4499 | no |
| MDT | 2023-07-31 | 80.32 | 0.2221 | 0.4626 | no |
| MKC | 2023-07-31 | 83.06 | 0.3316 | 0.4473 | no |
| MSFT | 2023-07-31 | 328.51 | 0.4355 | 0.4823 | no |
| NCLH | 2023-07-31 | 21.84 | 0.4591 | 0.4296 | no |
| NDSN | 2023-07-31 | 240.60 | 0.2233 | 0.4890 | no |
| NOW | 2023-07-31 | 114.76 | 0.2878 | 0.4769 | no |
| NUE | 2023-07-31 | 163.54 | 0.2732 | 0.4662 | no |
| OTIS | 2023-07-31 | 85.07 | 0.2506 | 0.4987 | no |
| PKG | 2023-07-31 | 140.58 | 0.3049 | 0.4702 | no |
| PNR | 2023-07-31 | 67.45 | 0.5168 | 0.4859 | no |
| ROK | 2023-07-31 | 318.67 | 0.2601 | 0.4868 | no |
| ROL | 2023-07-31 | 39.04 | 0.2668 | 0.4277 | no |
| RTX | 2023-07-31 | 81.80 | 0.2241 | 0.5568 | no |
| SEDG | 2023-07-31 | 238.24 | 0.2179 | 0.4764 | no |
| STZ | 2023-07-31 | 253.99 | 0.2233 | 0.4301 | no |
| UAL | 2023-07-31 | 54.24 | 0.2181 | 0.4776 | no |
| UHS | 2023-07-31 | 136.97 | 0.2578 | 0.4864 | no |
| ULTA | 2023-07-31 | 446.16 | 0.3056 | 0.4844 | no |
| URI | 2023-07-31 | 436.64 | 0.2441 | 0.5167 | no |
| WMT | 2023-07-31 | 51.48 | 0.3509 | 0.5858 | no |
| WTW | 2023-07-31 | 201.68 | 0.2337 | 0.4760 | no |