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 | -10.56% | 0.21% | 2023-08-07 | -13.95% |
| buy & hold | participation factor overlay | 6 months | complete | 0.95% | 0.95% | 2024-02-07 | -13.95% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -10.64% | 0.18% | 2023-08-07 | -14.33% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.76% | 1.76% | 2024-02-07 | -14.33% |
| weekly rebalance | participation factor overlay | 3 months | complete | -7.14% | 0.21% | 2023-08-07 | -11.87% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.90% | 4.09% | 2023-12-27 | -11.87% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.77% | 0.18% | 2023-08-07 | -12.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.08% | 6.08% | 2024-02-07 | -12.40% |
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 | 0.3563 | 0.4574 | no |
| AAP | 2023-08-07 | 66.93 | 0.2744 | 0.5516 | no |
| AEE | 2023-08-07 | 73.92 | 0.2394 | 0.4560 | no |
| ALB | 2023-08-07 | 190.51 | 0.2648 | 0.5021 | no |
| AOS | 2023-08-07 | 68.87 | 0.2450 | 0.4715 | no |
| AZO | 2023-08-07 | 2457.57 | 0.3905 | 0.5283 | no |
| BF.B | 2023-08-07 | 64.69 | 0.3759 | — | no |
| BMY | 2023-08-07 | 52.54 | 0.4337 | 0.5712 | no |
| CNP | 2023-08-07 | 26.77 | 0.2807 | 0.4635 | no |
| CPRT | 2023-08-07 | 44.60 | 0.3973 | 0.5037 | no |
| CZR | 2023-08-07 | 55.91 | 0.2683 | 0.4692 | no |
| DAL | 2023-08-07 | 43.23 | 0.6660 | 0.4638 | no |
| DD | 2023-08-07 | 91.71 | 0.2487 | 0.4911 | no |
| DE | 2023-08-07 | 407.61 | 0.2985 | 0.4912 | no |
| DUK | 2023-08-07 | 79.12 | 0.3233 | 0.4859 | no |
| EFX | 2023-08-07 | 192.64 | 0.4950 | 0.4629 | no |
| ENPH | 2023-08-07 | 140.00 | 0.5549 | 0.5134 | no |
| EVRG | 2023-08-07 | 50.19 | 0.3526 | 0.4676 | no |
| EW | 2023-08-07 | 79.94 | 0.3955 | 0.4741 | no |
| F | 2023-08-07 | 10.71 | 0.6518 | 0.4791 | no |
| FTNT | 2023-08-07 | 57.58 | 0.5159 | 0.5278 | no |
| GM | 2023-08-07 | 35.64 | 0.6597 | 0.4897 | no |
| GPC | 2023-08-07 | 141.29 | 0.4192 | 0.5571 | no |
| HUM | 2023-08-07 | 468.62 | 0.2904 | 0.4694 | no |
| IBM | 2023-08-07 | 130.69 | 0.3092 | 0.4880 | no |
| IEX | 2023-08-07 | 212.31 | 0.3892 | 0.5116 | no |
| KEYS | 2023-08-07 | 158.59 | 0.2780 | 0.4797 | no |
| LIN | 2023-08-07 | 365.45 | 0.2783 | 0.4796 | no |
| LKQ | 2023-08-07 | 48.91 | 0.3082 | 0.5198 | no |
| LUV | 2023-08-07 | 30.47 | 0.4751 | 0.4638 | no |
| LVS | 2023-08-07 | 54.75 | 0.3381 | 0.4333 | no |
| MDT | 2023-08-07 | 76.46 | 0.3553 | 0.4632 | no |
| MRK | 2023-08-07 | 95.44 | 0.2451 | 0.5145 | no |
| NVR | 2023-08-07 | 6321.00 | 0.3358 | — | no |
| PANW | 2023-08-07 | 109.54 | 0.5018 | 0.5649 | no |
| PNR | 2023-08-07 | 67.94 | 0.3458 | 0.4859 | no |
| PPG | 2023-08-07 | 131.67 | 0.2867 | 0.4798 | no |
| RTX | 2023-08-07 | 79.28 | 0.2696 | 0.5581 | no |
| SNA | 2023-08-07 | 251.02 | 0.2992 | 0.4952 | no |
| SWKS | 2023-08-07 | 99.37 | 0.2942 | 0.5644 | no |
| TRV | 2023-08-07 | 160.64 | 0.2575 | 0.4680 | no |
| TSCO | 2023-08-07 | 41.76 | 0.2858 | 0.5650 | no |
| TSLA | 2023-08-07 | 251.45 | 0.4126 | 0.4790 | no |
| UHS | 2023-08-07 | 133.02 | 0.2924 | 0.4864 | no |
| ULTA | 2023-08-07 | 439.02 | 0.2936 | 0.4838 | no |
| VMC | 2023-08-07 | 222.39 | 0.3294 | 0.4964 | no |
| VRSN | 2023-08-07 | 201.07 | 0.3244 | 0.4519 | no |
| WEC | 2023-08-07 | 77.93 | 0.3753 | 0.4671 | no |
| XRAY | 2023-08-07 | 36.23 | 0.3486 | 0.5243 | no |
| YUM | 2023-08-07 | 126.75 | 0.2391 | 0.4509 | no |