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 | -12.49% | 0.10% | 2023-07-31 | -13.95% |
| buy & hold | participation factor overlay | 6 months | complete | 1.22% | 2.78% | 2024-01-30 | -13.95% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -13.71% | 0.16% | 2023-07-31 | -15.14% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.16% | 1.91% | 2023-12-28 | -15.14% |
| weekly rebalance | participation factor overlay | 3 months | complete | -13.41% | 0.10% | 2023-07-31 | -14.36% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.51% | 0.40% | 2023-12-27 | -14.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.85% | 0.16% | 2023-07-31 | -15.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.26% | 1.19% | 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 |
|---|---|---|---|---|---|
| AEP | 2023-07-31 | 75.93 | 0.2703 | 0.4659 | no |
| AFL | 2023-07-31 | 67.58 | 0.2800 | 0.4709 | no |
| AKAM | 2023-07-31 | 94.23 | 0.3655 | 0.5066 | no |
| ALB | 2023-07-31 | 198.05 | 0.4732 | 0.4946 | no |
| AMD | 2023-07-31 | 114.16 | 0.6945 | 0.5270 | no |
| BF.B | 2023-07-31 | 65.18 | 0.2496 | — | no |
| BIO | 2023-07-31 | 415.29 | 0.4189 | 0.4523 | no |
| CNC | 2023-07-31 | 66.26 | 0.2297 | 0.4519 | no |
| CNP | 2023-07-31 | 27.81 | 0.2853 | 0.4635 | no |
| COST | 2023-07-31 | 540.04 | 0.3284 | 0.5867 | no |
| DAL | 2023-07-31 | 44.31 | 0.3981 | 0.4635 | no |
| DLTR | 2023-07-31 | 152.20 | 0.5110 | 0.5982 | no |
| DUK | 2023-07-31 | 82.80 | 0.3464 | 0.4859 | no |
| EFX | 2023-07-31 | 198.29 | 0.2794 | 0.4629 | no |
| ES | 2023-07-31 | 63.38 | 0.2670 | 0.4715 | no |
| ETR | 2023-07-31 | 46.64 | 0.4532 | 0.4929 | no |
| F | 2023-07-31 | 10.77 | 0.6094 | 0.4791 | no |
| FAST | 2023-07-31 | 27.19 | 0.2252 | 0.4905 | no |
| FFIV | 2023-07-31 | 156.19 | 0.4064 | 0.4521 | no |
| GM | 2023-07-31 | 36.92 | 0.3478 | 0.4910 | no |
| GRMN | 2023-07-31 | 99.08 | 0.2095 | 0.4685 | no |
| IBM | 2023-07-31 | 129.62 | 0.3229 | 0.4813 | no |
| IEX | 2023-07-31 | 213.77 | 0.2516 | 0.5115 | no |
| INTC | 2023-07-31 | 36.13 | 0.3062 | 0.5207 | no |
| ITW | 2023-07-31 | 243.01 | 0.2365 | 0.4903 | no |
| JNJ | 2023-07-31 | 154.70 | 0.2197 | 0.4913 | no |
| LIN | 2023-07-31 | 372.66 | 0.2705 | 0.4796 | no |
| LUV | 2023-07-31 | 31.19 | 0.2939 | 0.4633 | no |
| LW | 2023-07-31 | 94.74 | 0.2726 | 0.4499 | no |
| MDT | 2023-07-31 | 80.32 | 0.3037 | 0.4626 | no |
| MET | 2023-07-31 | 56.93 | 0.2382 | 0.4455 | no |
| MKC | 2023-07-31 | 83.06 | 0.3124 | 0.4473 | no |
| MKTX | 2023-07-31 | 258.00 | 0.2538 | 0.4766 | no |
| MSFT | 2023-07-31 | 328.51 | 0.4429 | 0.4823 | no |
| NCLH | 2023-07-31 | 21.84 | 0.3890 | 0.4296 | no |
| NDSN | 2023-07-31 | 240.60 | 0.2110 | 0.4890 | no |
| OKE | 2023-07-31 | 57.13 | 0.2761 | 0.4568 | no |
| ORCL | 2023-07-31 | 112.39 | 0.3228 | 0.5110 | no |
| PKG | 2023-07-31 | 140.58 | 0.3760 | 0.4702 | no |
| PNR | 2023-07-31 | 67.45 | 0.3863 | 0.4859 | no |
| ROK | 2023-07-31 | 318.67 | 0.2877 | 0.4868 | no |
| SEDG | 2023-07-31 | 238.24 | 0.3029 | 0.4764 | no |
| SNA | 2023-07-31 | 249.97 | 0.2431 | 0.4952 | no |
| SNPS | 2023-07-31 | 451.00 | 0.3285 | 0.5790 | no |
| SYK | 2023-07-31 | 275.80 | 0.2009 | 0.4912 | no |
| SYY | 2023-07-31 | 70.17 | 0.2096 | 0.4833 | no |
| TXT | 2023-07-31 | 76.62 | 0.2776 | 0.5287 | no |
| UHS | 2023-07-31 | 136.97 | 0.2203 | 0.4864 | no |
| ULTA | 2023-07-31 | 446.16 | 0.3783 | 0.4844 | no |
| VICI | 2023-07-31 | 26.34 | 0.2615 | 0.4289 | no |