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 | -9.48% | 0.34% | 2023-08-07 | -13.96% |
| buy & hold | participation factor overlay | 6 months | complete | 2.81% | 2.81% | 2024-02-07 | -13.96% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.08% | 0.53% | 2023-08-07 | -14.44% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.39% | 2.68% | 2023-12-28 | -14.44% |
| weekly rebalance | participation factor overlay | 3 months | complete | -9.07% | 0.34% | 2023-08-07 | -12.41% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.72% | 1.99% | 2023-12-26 | -12.41% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -9.09% | 0.53% | 2023-08-07 | -13.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.83% | 2.59% | 2023-12-28 | -13.39% |
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 | 0.4945 | 0.4574 | no |
| AAP | 2023-08-07 | 66.93 | 0.5102 | 0.5516 | no |
| ALK | 2023-08-07 | 46.77 | 0.2618 | 0.4328 | no |
| APTV | 2023-08-07 | 108.05 | 0.3171 | 0.4962 | no |
| AZO | 2023-08-07 | 2457.57 | 0.4033 | 0.5283 | no |
| BDX | 2023-08-07 | 199.94 | 0.5968 | 0.4795 | no |
| BF.B | 2023-08-07 | 64.69 | 0.4168 | — | no |
| BMY | 2023-08-07 | 52.54 | 0.5058 | 0.5712 | no |
| CARR | 2023-08-07 | 55.03 | 0.3756 | 0.4870 | no |
| CINF | 2023-08-07 | 102.33 | 0.2513 | 0.5036 | no |
| CNC | 2023-08-07 | 66.14 | 0.2663 | 0.4519 | no |
| CPRT | 2023-08-07 | 44.60 | 0.3752 | 0.5037 | no |
| CRL | 2023-08-07 | 207.10 | 0.2663 | 0.4775 | no |
| DAL | 2023-08-07 | 43.23 | 0.5841 | 0.4638 | no |
| DXC | 2023-08-07 | 19.29 | 0.2742 | 0.4603 | no |
| EFX | 2023-08-07 | 192.64 | 0.4131 | 0.4629 | no |
| ENPH | 2023-08-07 | 140.00 | 0.6453 | 0.5134 | no |
| ETR | 2023-08-07 | 44.01 | 0.2686 | 0.4733 | no |
| ETSY | 2023-08-07 | 82.00 | 0.2701 | — | no |
| F | 2023-08-07 | 10.71 | 0.6182 | 0.4791 | no |
| FFIV | 2023-08-07 | 160.00 | 0.4952 | 0.4558 | no |
| FTNT | 2023-08-07 | 57.58 | 0.4331 | 0.5278 | no |
| GD | 2023-08-07 | 211.85 | 0.3558 | 0.5633 | no |
| GM | 2023-08-07 | 35.64 | 0.6560 | 0.4897 | no |
| GNRC | 2023-08-07 | 113.78 | 0.2557 | 0.4538 | no |
| GPC | 2023-08-07 | 141.29 | 0.2948 | 0.5571 | no |
| IEX | 2023-08-07 | 212.31 | 0.3878 | 0.5116 | no |
| IR | 2023-08-07 | 67.31 | 0.2591 | 0.5149 | no |
| ITW | 2023-08-07 | 230.88 | 0.2836 | 0.5106 | no |
| IVZ | 2023-08-07 | 14.50 | 0.2635 | 0.4344 | no |
| JNJ | 2023-08-07 | 154.52 | 0.3414 | 0.4917 | no |
| LIN | 2023-08-07 | 365.45 | 0.2675 | 0.4796 | no |
| LKQ | 2023-08-07 | 48.91 | 0.2577 | 0.5198 | no |
| LUV | 2023-08-07 | 30.47 | 0.5671 | 0.4638 | no |
| MCHP | 2023-08-07 | 77.19 | 0.2683 | 0.5516 | no |
| MDT | 2023-08-07 | 76.46 | 0.2591 | 0.4632 | no |
| META | 2023-08-07 | 310.50 | 0.4551 | 0.4647 | no |
| MSFT | 2023-08-07 | 320.18 | 0.3532 | 0.4823 | no |
| NDSN | 2023-08-07 | 237.16 | 0.2712 | 0.4882 | no |
| ODFL | 2023-08-07 | 201.53 | 0.3340 | 0.4910 | no |
| PNR | 2023-08-07 | 67.94 | 0.4552 | 0.4859 | no |
| ROK | 2023-08-07 | 285.27 | 0.3112 | 0.4869 | no |
| ROL | 2023-08-07 | 38.59 | 0.2676 | 0.4292 | no |
| SLB | 2023-08-07 | 53.38 | 0.2942 | 0.5115 | no |
| SNA | 2023-08-07 | 251.02 | 0.3025 | 0.4952 | no |
| TRV | 2023-08-07 | 160.64 | 0.2571 | 0.4680 | no |
| TSLA | 2023-08-07 | 251.45 | 0.4576 | 0.4790 | no |
| UHS | 2023-08-07 | 133.02 | 0.2684 | 0.4864 | no |
| ULTA | 2023-08-07 | 439.02 | 0.2724 | 0.4838 | no |
| VMC | 2023-08-07 | 222.39 | 0.2832 | 0.4964 | no |