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 | -4.93% | 0.94% | 2023-08-14 | -12.88% |
| buy & hold | participation factor overlay | 6 months | complete | 4.97% | 5.61% | 2024-02-12 | -12.88% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.45% | 0.96% | 2023-08-14 | -13.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.16% | 6.17% | 2024-02-12 | -13.11% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.74% | 0.97% | 2023-09-01 | -13.12% |
| weekly rebalance | participation factor overlay | 6 months | complete | -1.43% | 1.65% | 2023-12-14 | -13.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.96% | 1.01% | 2023-09-01 | -12.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.80% | 5.28% | 2023-12-28 | -12.23% |
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 | 2023-08-14 | 15.57 | 0.3220 | 0.4574 | no |
| AAP | 2023-08-14 | 67.41 | 0.3299 | 0.5514 | no |
| ADBE | 2023-08-14 | 506.78 | 0.3142 | 0.4616 | no |
| AKAM | 2023-08-14 | 104.00 | 0.3145 | 0.5225 | no |
| ALK | 2023-08-14 | 45.81 | 0.3303 | 0.4328 | no |
| BMY | 2023-08-14 | 53.27 | 0.2949 | 0.5712 | no |
| CARR | 2023-08-14 | 52.89 | 0.5028 | 0.4871 | no |
| CNC | 2023-08-14 | 65.63 | 0.3372 | 0.4519 | no |
| CZR | 2023-08-14 | 54.04 | 0.5780 | 0.4686 | no |
| DAL | 2023-08-14 | 42.56 | 0.3155 | 0.4640 | no |
| DGX | 2023-08-14 | 127.38 | 0.3065 | 0.4866 | no |
| DXCM | 2023-08-14 | 111.82 | 0.3200 | 0.4633 | no |
| EL | 2023-08-14 | 156.94 | 0.2848 | 0.4555 | no |
| EMN | 2023-08-14 | 73.32 | 0.3080 | 0.4785 | no |
| ENPH | 2023-08-14 | 134.01 | 0.3557 | 0.5127 | no |
| ETR | 2023-08-14 | 43.51 | 0.3321 | 0.4733 | no |
| ETSY | 2023-08-14 | 76.02 | 0.8414 | — | no |
| EW | 2023-08-14 | 79.30 | 0.3558 | 0.4741 | no |
| F | 2023-08-14 | 9.96 | 0.6218 | 0.4791 | no |
| FCX | 2023-08-14 | 39.11 | 0.4057 | 0.5932 | no |
| FTNT | 2023-08-14 | 59.69 | 0.4064 | 0.5278 | no |
| GD | 2023-08-14 | 213.84 | 0.4126 | 0.5661 | no |
| GIS | 2023-08-14 | 63.55 | 0.2963 | 0.4621 | no |
| GL | 2023-08-14 | 111.58 | 0.2872 | 0.4643 | no |
| GM | 2023-08-14 | 32.37 | 0.6779 | 0.4897 | no |
| GPC | 2023-08-14 | 142.09 | 0.3387 | 0.5576 | no |
| HUM | 2023-08-14 | 476.91 | 0.6153 | 0.4694 | no |
| HWM | 2023-08-14 | 48.92 | 0.2795 | 0.5568 | no |
| IFF | 2023-08-14 | 59.20 | 0.3880 | 0.4600 | no |
| IQV | 2023-08-14 | 218.71 | 0.3767 | 0.4550 | no |
| KEYS | 2023-08-14 | 150.44 | 0.3514 | 0.4805 | no |
| LW | 2023-08-14 | 90.52 | 0.2869 | 0.4445 | no |
| MKTX | 2023-08-14 | 224.22 | 0.4384 | 0.4766 | no |
| NEE | 2023-08-14 | 62.55 | 0.2961 | 0.4931 | no |
| NOW | 2023-08-14 | 110.39 | 0.4520 | 0.4699 | no |
| NUE | 2023-08-14 | 163.27 | 0.5253 | 0.4647 | no |
| NVDA | 2023-08-14 | 40.36 | 0.3451 | 0.5333 | no |
| OTIS | 2023-08-14 | 82.27 | 0.4290 | 0.4987 | no |
| PPG | 2023-08-14 | 127.24 | 0.2990 | 0.4798 | no |
| REGN | 2023-08-14 | 802.29 | 0.3971 | 0.5335 | no |
| ROL | 2023-08-14 | 39.46 | 0.3399 | 0.4350 | no |
| RTX | 2023-08-14 | 81.23 | 0.3017 | 0.5606 | no |
| SPGI | 2023-08-14 | 357.53 | 0.4083 | 0.4752 | no |
| SYK | 2023-08-14 | 273.87 | 0.3019 | 0.4798 | no |
| TPR | 2023-08-14 | 32.85 | 0.3791 | — | no |
| TSLA | 2023-08-14 | 235.70 | 0.3020 | 0.4790 | no |
| UHS | 2023-08-14 | 128.90 | 0.4516 | 0.4864 | no |
| VRSN | 2023-08-14 | 202.77 | 0.2733 | 0.4519 | no |
| XEL | 2023-08-14 | 53.50 | 0.3111 | 0.4906 | no |
| ZBH | 2023-08-14 | 120.59 | 0.5174 | 0.4717 | no |