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 | -9.04% | 0.25% | 2023-08-07 | -13.81% |
| buy & hold | participation factor overlay | 6 months | complete | 5.16% | 5.16% | 2024-02-07 | -13.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -8.55% | 0.39% | 2023-08-07 | -13.45% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.96% | 5.96% | 2024-02-07 | -13.45% |
| weekly rebalance | participation factor overlay | 3 months | complete | -7.72% | 0.25% | 2023-08-07 | -12.22% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.36% | 3.05% | 2023-12-27 | -12.22% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.27% | 0.39% | 2023-08-07 | -12.64% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.84% | 4.51% | 2023-12-27 | -12.64% |
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 | 0.4178 | 0.4574 | no |
| AAP | 2023-08-07 | 66.93 | 0.4534 | 0.5516 | no |
| AZO | 2023-08-07 | 2457.57 | 0.2700 | 0.5283 | no |
| BDX | 2023-08-07 | 199.94 | 0.2505 | 0.4795 | no |
| BIIB | 2023-08-07 | 262.96 | 0.3824 | 0.5537 | no |
| BMY | 2023-08-07 | 52.54 | 0.3826 | 0.5712 | no |
| CARR | 2023-08-07 | 55.03 | 0.2372 | 0.4870 | no |
| CNC | 2023-08-07 | 66.14 | 0.3461 | 0.4519 | no |
| CPRT | 2023-08-07 | 44.60 | 0.2491 | 0.5037 | no |
| DAL | 2023-08-07 | 43.23 | 0.6074 | 0.4638 | no |
| DLTR | 2023-08-07 | 150.47 | 0.2802 | 0.5977 | no |
| DXC | 2023-08-07 | 19.29 | 0.3187 | 0.4603 | no |
| EFX | 2023-08-07 | 192.64 | 0.6946 | 0.4629 | no |
| ENPH | 2023-08-07 | 140.00 | 0.4882 | 0.5134 | no |
| ETSY | 2023-08-07 | 82.00 | 0.3438 | — | no |
| EW | 2023-08-07 | 79.94 | 0.2799 | 0.4741 | no |
| F | 2023-08-07 | 10.71 | 0.7267 | 0.4791 | no |
| FFIV | 2023-08-07 | 160.00 | 0.4061 | 0.4558 | no |
| FTNT | 2023-08-07 | 57.58 | 0.5128 | 0.5278 | no |
| GM | 2023-08-07 | 35.64 | 0.3860 | 0.4897 | no |
| GNRC | 2023-08-07 | 113.78 | 0.2374 | 0.4538 | no |
| GPC | 2023-08-07 | 141.29 | 0.2860 | 0.5571 | no |
| GWW | 2023-08-07 | 694.19 | 0.2515 | 0.5270 | no |
| HSIC | 2023-08-07 | 79.15 | 0.2333 | 0.4932 | no |
| HWM | 2023-08-07 | 49.01 | 0.3036 | 0.5567 | no |
| IEX | 2023-08-07 | 212.31 | 0.2536 | 0.5116 | no |
| JNJ | 2023-08-07 | 154.52 | 0.3430 | 0.4917 | no |
| LIN | 2023-08-07 | 365.45 | 0.2522 | 0.4796 | no |
| LUV | 2023-08-07 | 30.47 | 0.4765 | 0.4638 | no |
| LVS | 2023-08-07 | 54.75 | 0.2609 | 0.4333 | no |
| MDT | 2023-08-07 | 76.46 | 0.3649 | 0.4632 | no |
| META | 2023-08-07 | 310.50 | 0.3297 | 0.4647 | no |
| MKTX | 2023-08-07 | 235.17 | 0.2649 | 0.4766 | no |
| MSFT | 2023-08-07 | 320.18 | 0.3335 | 0.4823 | no |
| NVR | 2023-08-07 | 6321.00 | 0.3316 | — | no |
| ODFL | 2023-08-07 | 201.53 | 0.4015 | 0.4910 | no |
| PANW | 2023-08-07 | 109.54 | 0.6305 | 0.5649 | no |
| PNR | 2023-08-07 | 67.94 | 0.4183 | 0.4859 | no |
| PPG | 2023-08-07 | 131.67 | 0.2572 | 0.4798 | no |
| ROK | 2023-08-07 | 285.27 | 0.3190 | 0.4869 | no |
| ROL | 2023-08-07 | 38.59 | 0.2949 | 0.4292 | no |
| SNA | 2023-08-07 | 251.02 | 0.2846 | 0.4952 | no |
| SPGI | 2023-08-07 | 357.10 | 0.2536 | 0.4755 | no |
| TRV | 2023-08-07 | 160.64 | 0.2631 | 0.4680 | no |
| TSLA | 2023-08-07 | 251.45 | 0.5289 | 0.4790 | no |
| ULTA | 2023-08-07 | 439.02 | 0.3074 | 0.4838 | no |
| VMC | 2023-08-07 | 222.39 | 0.2528 | 0.4964 | no |
| XEL | 2023-08-07 | 54.21 | 0.2460 | 0.4906 | no |
| XRAY | 2023-08-07 | 36.23 | 0.2373 | 0.5243 | no |
| ZBRA | 2023-08-07 | 251.06 | 0.2950 | 0.4694 | no |