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 | -12.39% | 0.05% | 2023-07-31 | -13.71% |
| buy & hold | participation factor overlay | 6 months | complete | 2.68% | 3.91% | 2024-01-30 | -13.71% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -12.51% | 0.16% | 2023-07-31 | -13.93% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.32% | 4.62% | 2024-01-30 | -13.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | -13.30% | 0.05% | 2023-07-31 | -14.09% |
| weekly rebalance | participation factor overlay | 6 months | complete | -3.04% | 0.05% | 2023-07-31 | -14.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -14.22% | 0.16% | 2023-07-31 | -15.41% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -2.82% | 0.16% | 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 | 2023-07-31 | 69.26 | 0.3493 | 0.5519 | no |
| AFL | 2023-07-31 | 67.58 | 0.2119 | 0.4709 | no |
| AKAM | 2023-07-31 | 94.23 | 0.3110 | 0.5066 | no |
| AMAT | 2023-07-31 | 148.09 | 0.2721 | 0.5784 | no |
| AMD | 2023-07-31 | 114.16 | 0.6380 | 0.5270 | no |
| BIO | 2023-07-31 | 415.29 | 0.3268 | 0.4523 | no |
| BMY | 2023-07-31 | 53.27 | 0.3011 | 0.5712 | no |
| CNC | 2023-07-31 | 66.26 | 0.2370 | 0.4519 | no |
| CNP | 2023-07-31 | 27.81 | 0.2859 | 0.4635 | no |
| CPRT | 2023-07-31 | 44.32 | 0.2477 | 0.5039 | no |
| DAL | 2023-07-31 | 44.31 | 0.3635 | 0.4635 | no |
| DLTR | 2023-07-31 | 152.20 | 0.2265 | 0.5982 | no |
| DUK | 2023-07-31 | 82.80 | 0.2718 | 0.4859 | no |
| EFX | 2023-07-31 | 198.29 | 0.2905 | 0.4629 | no |
| EMN | 2023-07-31 | 75.74 | 0.2140 | 0.4785 | no |
| ENPH | 2023-07-31 | 154.25 | 0.2278 | 0.5116 | no |
| EQT | 2023-07-31 | 39.99 | 0.2777 | 0.6349 | no |
| ES | 2023-07-31 | 63.38 | 0.2524 | 0.4715 | no |
| ETR | 2023-07-31 | 46.64 | 0.4637 | 0.4929 | no |
| F | 2023-07-31 | 10.77 | 0.5994 | 0.4791 | no |
| FAST | 2023-07-31 | 27.19 | 0.2829 | 0.4905 | no |
| FFIV | 2023-07-31 | 156.19 | 0.3091 | 0.4521 | no |
| GM | 2023-07-31 | 36.92 | 0.5030 | 0.4910 | no |
| GOOGL | 2023-07-31 | 131.48 | 0.2582 | 0.4484 | no |
| IBM | 2023-07-31 | 129.62 | 0.3587 | 0.4813 | no |
| IFF | 2023-07-31 | 79.91 | 0.3471 | 0.4548 | no |
| INTC | 2023-07-31 | 36.13 | 0.3672 | 0.5207 | no |
| ITW | 2023-07-31 | 243.01 | 0.3090 | 0.4903 | no |
| JNJ | 2023-07-31 | 154.70 | 0.2337 | 0.4913 | no |
| KHC | 2023-07-31 | 30.23 | 0.2740 | — | no |
| KLAC | 2023-07-31 | 49.86 | 0.2857 | 0.5595 | no |
| LIN | 2023-07-31 | 372.66 | 0.2594 | 0.4796 | no |
| LKQ | 2023-07-31 | 48.89 | 0.2593 | 0.5200 | no |
| LUV | 2023-07-31 | 31.19 | 0.3224 | 0.4633 | no |
| LW | 2023-07-31 | 94.74 | 0.3289 | 0.4499 | no |
| MAS | 2023-07-31 | 58.06 | 0.2547 | 0.4657 | no |
| META | 2023-07-31 | 320.87 | 0.3009 | 0.4653 | no |
| MKC | 2023-07-31 | 83.06 | 0.3699 | 0.4473 | no |
| MSFT | 2023-07-31 | 328.51 | 0.3695 | 0.4823 | no |
| NCLH | 2023-07-31 | 21.84 | 0.2980 | 0.4296 | no |
| NDSN | 2023-07-31 | 240.60 | 0.2645 | 0.4890 | no |
| NUE | 2023-07-31 | 163.54 | 0.2358 | 0.4662 | no |
| ORCL | 2023-07-31 | 112.39 | 0.2430 | 0.5110 | no |
| OTIS | 2023-07-31 | 85.07 | 0.4173 | 0.4987 | no |
| PNR | 2023-07-31 | 67.45 | 0.4567 | 0.4859 | no |
| RTX | 2023-07-31 | 81.80 | 0.3128 | 0.5568 | no |
| ULTA | 2023-07-31 | 446.16 | 0.3370 | 0.4844 | no |
| URI | 2023-07-31 | 436.64 | 0.2394 | 0.5167 | no |
| WEC | 2023-07-31 | 80.57 | 0.2241 | 0.4603 | no |
| WMT | 2023-07-31 | 51.48 | 0.2468 | 0.5858 | no |