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 | -12.87% | 0.01% | 2023-07-31 | -14.02% |
| buy & hold | participation factor overlay | 6 months | complete | 0.39% | 1.76% | 2024-01-30 | -14.02% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -13.84% | 0.01% | 2023-07-31 | -14.90% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.12% | 1.19% | 2024-01-30 | -14.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | -12.07% | 0.01% | 2023-07-31 | -13.62% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.26% | 1.81% | 2023-12-27 | -13.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -13.18% | 0.01% | 2023-07-31 | -14.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.56% | 3.21% | 2024-01-30 | -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 |
|---|---|---|---|---|---|
| AFL | 2023-07-31 | 67.58 | 0.2989 | 0.4709 | no |
| AKAM | 2023-07-31 | 94.23 | 0.3489 | 0.5066 | no |
| ALB | 2023-07-31 | 198.05 | 0.2436 | 0.4946 | no |
| ALL | 2023-07-31 | 105.09 | 0.2214 | 0.4635 | no |
| AMAT | 2023-07-31 | 148.09 | 0.3230 | 0.5784 | no |
| AMD | 2023-07-31 | 114.16 | 0.3917 | 0.5270 | no |
| BF.B | 2023-07-31 | 65.18 | 0.2512 | — | no |
| BIO | 2023-07-31 | 415.29 | 0.4623 | 0.4523 | no |
| BMY | 2023-07-31 | 53.27 | 0.2346 | 0.5712 | no |
| CNP | 2023-07-31 | 27.81 | 0.2838 | 0.4635 | no |
| COST | 2023-07-31 | 540.04 | 0.4027 | 0.5867 | no |
| DAL | 2023-07-31 | 44.31 | 0.5572 | 0.4635 | no |
| DG | 2023-07-31 | 159.92 | 0.2219 | 0.5551 | no |
| DUK | 2023-07-31 | 82.80 | 0.2913 | 0.4859 | no |
| ED | 2023-07-31 | 85.83 | 0.2167 | — | no |
| EFX | 2023-07-31 | 198.29 | 0.3097 | 0.4629 | no |
| EQT | 2023-07-31 | 39.99 | 0.2504 | 0.6349 | no |
| ES | 2023-07-31 | 63.38 | 0.2906 | 0.4715 | no |
| ETR | 2023-07-31 | 46.64 | 0.5369 | 0.4929 | no |
| F | 2023-07-31 | 10.77 | 0.6595 | 0.4791 | no |
| FFIV | 2023-07-31 | 156.19 | 0.2867 | 0.4521 | no |
| FMC | 2023-07-31 | 85.70 | 0.2805 | 0.4738 | no |
| GM | 2023-07-31 | 36.92 | 0.4173 | 0.4910 | no |
| GOOG | 2023-07-31 | 131.76 | 0.3129 | — | no |
| GOOGL | 2023-07-31 | 131.48 | 0.2185 | 0.4484 | no |
| GPC | 2023-07-31 | 141.77 | 0.2355 | 0.5591 | no |
| IBM | 2023-07-31 | 129.62 | 0.3658 | 0.4813 | no |
| IEX | 2023-07-31 | 213.77 | 0.2595 | 0.5115 | no |
| IFF | 2023-07-31 | 79.91 | 0.3004 | 0.4548 | no |
| ITW | 2023-07-31 | 243.01 | 0.2451 | 0.4903 | no |
| JNJ | 2023-07-31 | 154.70 | 0.2605 | 0.4913 | no |
| KLAC | 2023-07-31 | 49.86 | 0.2916 | 0.5595 | no |
| LKQ | 2023-07-31 | 48.89 | 0.3597 | 0.5200 | no |
| LNT | 2023-07-31 | 48.92 | 0.2142 | 0.4565 | no |
| LUV | 2023-07-31 | 31.19 | 0.2371 | 0.4633 | no |
| LW | 2023-07-31 | 94.74 | 0.2957 | 0.4499 | no |
| MAS | 2023-07-31 | 58.06 | 0.2401 | 0.4657 | no |
| MET | 2023-07-31 | 56.93 | 0.2028 | 0.4455 | no |
| MSFT | 2023-07-31 | 328.51 | 0.2986 | 0.4823 | no |
| NDSN | 2023-07-31 | 240.60 | 0.2201 | 0.4890 | no |
| PKG | 2023-07-31 | 140.58 | 0.4727 | 0.4702 | no |
| PNR | 2023-07-31 | 67.45 | 0.3388 | 0.4859 | no |
| ROL | 2023-07-31 | 39.04 | 0.3201 | 0.4277 | no |
| RTX | 2023-07-31 | 81.80 | 0.3209 | 0.5568 | no |
| SEDG | 2023-07-31 | 238.24 | 0.3379 | 0.4764 | no |
| SNA | 2023-07-31 | 249.97 | 0.2315 | 0.4952 | no |
| SYY | 2023-07-31 | 70.17 | 0.2705 | 0.4833 | no |
| ULTA | 2023-07-31 | 446.16 | 0.3602 | 0.4844 | no |
| VTRS | 2023-07-31 | 9.10 | 0.2293 | 0.4797 | no |
| WMT | 2023-07-31 | 51.48 | 0.2972 | 0.5858 | no |