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 | -8.41% | 0.30% | 2023-08-07 | -12.91% |
| buy & hold | participation factor overlay | 6 months | complete | 4.53% | 4.53% | 2024-02-07 | -12.91% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -8.93% | 0.27% | 2023-08-07 | -13.53% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.12% | 4.12% | 2024-02-07 | -13.53% |
| weekly rebalance | participation factor overlay | 3 months | complete | -9.20% | 0.30% | 2023-08-07 | -13.32% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.86% | 0.75% | 2023-12-14 | -13.32% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -8.14% | 0.27% | 2023-08-07 | -12.59% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.53% | 4.07% | 2023-12-28 | -12.59% |
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 |
|---|---|---|---|---|---|
| AAL | 2023-08-07 | 15.73 | 0.4287 | 0.4574 | no |
| AAP | 2023-08-07 | 66.93 | 0.4334 | 0.5516 | no |
| AEE | 2023-08-07 | 73.92 | 0.2405 | 0.4560 | no |
| ALB | 2023-08-07 | 190.51 | 0.2631 | 0.5021 | no |
| AWK | 2023-08-07 | 131.57 | 0.2805 | 0.4421 | no |
| AXON | 2023-08-07 | 181.90 | 0.2694 | 0.4737 | no |
| AZO | 2023-08-07 | 2457.57 | 0.2432 | 0.5283 | no |
| BF.B | 2023-08-07 | 64.69 | 0.3528 | — | no |
| BIIB | 2023-08-07 | 262.96 | 0.3775 | 0.5537 | no |
| BMY | 2023-08-07 | 52.54 | 0.3744 | 0.5712 | no |
| CARR | 2023-08-07 | 55.03 | 0.3270 | 0.4870 | no |
| CDNS | 2023-08-07 | 230.51 | 0.3199 | 0.5367 | no |
| CNC | 2023-08-07 | 66.14 | 0.3349 | 0.4519 | no |
| CPB | 2023-08-07 | 39.02 | 0.2560 | 0.4559 | no |
| CPRT | 2023-08-07 | 44.60 | 0.3830 | 0.5037 | no |
| CVS | 2023-08-07 | 65.08 | 0.2515 | 0.5065 | no |
| DAL | 2023-08-07 | 43.23 | 0.5486 | 0.4638 | no |
| DUK | 2023-08-07 | 79.12 | 0.2529 | 0.4859 | no |
| ECL | 2023-08-07 | 177.34 | 0.2619 | 0.4853 | no |
| EFX | 2023-08-07 | 192.64 | 0.5886 | 0.4629 | no |
| ENPH | 2023-08-07 | 140.00 | 0.5434 | 0.5134 | no |
| ETSY | 2023-08-07 | 82.00 | 0.4667 | — | no |
| EVRG | 2023-08-07 | 50.19 | 0.2441 | 0.4676 | no |
| EW | 2023-08-07 | 79.94 | 0.3287 | 0.4741 | no |
| F | 2023-08-07 | 10.71 | 0.4901 | 0.4791 | no |
| FTNT | 2023-08-07 | 57.58 | 0.5108 | 0.5278 | no |
| GD | 2023-08-07 | 211.85 | 0.3374 | 0.5633 | no |
| GM | 2023-08-07 | 35.64 | 0.5121 | 0.4897 | no |
| IBM | 2023-08-07 | 130.69 | 0.2434 | 0.4880 | no |
| IEX | 2023-08-07 | 212.31 | 0.3675 | 0.5116 | no |
| JNJ | 2023-08-07 | 154.52 | 0.2843 | 0.4917 | no |
| KDP | 2023-08-07 | 30.99 | 0.2579 | 0.4612 | no |
| LIN | 2023-08-07 | 365.45 | 0.2559 | 0.4796 | no |
| LKQ | 2023-08-07 | 48.91 | 0.2735 | 0.5198 | no |
| LUV | 2023-08-07 | 30.47 | 0.3819 | 0.4638 | no |
| MAS | 2023-08-07 | 56.19 | 0.2622 | 0.4663 | no |
| META | 2023-08-07 | 310.50 | 0.3588 | 0.4647 | no |
| MKTX | 2023-08-07 | 235.17 | 0.2662 | 0.4766 | no |
| MPWR | 2023-08-07 | 530.67 | 0.3932 | 0.5273 | no |
| MSFT | 2023-08-07 | 320.18 | 0.3652 | 0.4823 | no |
| PANW | 2023-08-07 | 109.54 | 0.4206 | 0.5649 | no |
| PNR | 2023-08-07 | 67.94 | 0.4381 | 0.4859 | no |
| ROL | 2023-08-07 | 38.59 | 0.3551 | 0.4292 | no |
| RTX | 2023-08-07 | 79.28 | 0.3134 | 0.5581 | no |
| SNA | 2023-08-07 | 251.02 | 0.3341 | 0.4952 | no |
| SWKS | 2023-08-07 | 99.37 | 0.2796 | 0.5644 | no |
| TSLA | 2023-08-07 | 251.45 | 0.4512 | 0.4790 | no |
| UHS | 2023-08-07 | 133.02 | 0.2683 | 0.4864 | no |
| VRSN | 2023-08-07 | 201.07 | 0.2605 | 0.4519 | no |
| XRAY | 2023-08-07 | 36.23 | 0.2878 | 0.5243 | no |