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 | -6.54% | 0.85% | 2023-08-14 | -14.13% |
| buy & hold | participation factor overlay | 6 months | complete | 4.40% | 5.31% | 2024-02-12 | -14.13% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -7.05% | 0.81% | 2023-08-14 | -15.12% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.10% | 5.47% | 2023-12-28 | -15.12% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.33% | 0.85% | 2023-08-14 | -11.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.65% | 4.26% | 2023-12-27 | -11.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.53% | 0.81% | 2023-08-14 | -12.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.29% | 5.61% | 2023-12-27 | -12.08% |
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 | 0.4594 | 0.4574 | no |
| ADBE | 2023-08-14 | 506.78 | 0.2976 | 0.4616 | no |
| AKAM | 2023-08-14 | 104.00 | 0.3762 | 0.5225 | no |
| ALK | 2023-08-14 | 45.81 | 0.4056 | 0.4328 | no |
| ALLE | 2023-08-14 | 107.01 | 0.3156 | 0.4759 | no |
| APTV | 2023-08-14 | 97.69 | 0.3312 | 0.4962 | no |
| CAG | 2023-08-14 | 26.16 | 0.3179 | 0.4434 | no |
| CARR | 2023-08-14 | 52.89 | 0.3842 | 0.4871 | no |
| CDNS | 2023-08-14 | 224.96 | 0.3293 | 0.5367 | no |
| CNC | 2023-08-14 | 65.63 | 0.2895 | 0.4519 | no |
| CRL | 2023-08-14 | 212.62 | 0.3375 | 0.4737 | no |
| CZR | 2023-08-14 | 54.04 | 0.2968 | 0.4686 | no |
| DAL | 2023-08-14 | 42.56 | 0.3433 | 0.4640 | no |
| DGX | 2023-08-14 | 127.38 | 0.3033 | 0.4866 | no |
| DXCM | 2023-08-14 | 111.82 | 0.3257 | 0.4633 | no |
| EFX | 2023-08-14 | 191.42 | 0.3892 | 0.4629 | no |
| ENPH | 2023-08-14 | 134.01 | 0.4184 | 0.5127 | no |
| ETR | 2023-08-14 | 43.51 | 0.2794 | 0.4733 | no |
| ETSY | 2023-08-14 | 76.02 | 0.6997 | — | no |
| EW | 2023-08-14 | 79.30 | 0.4147 | 0.4741 | no |
| F | 2023-08-14 | 9.96 | 0.7900 | 0.4791 | no |
| FTNT | 2023-08-14 | 59.69 | 0.5317 | 0.5278 | no |
| GD | 2023-08-14 | 213.84 | 0.2739 | 0.5661 | no |
| GM | 2023-08-14 | 32.37 | 0.6987 | 0.4897 | no |
| GPC | 2023-08-14 | 142.09 | 0.2862 | 0.5576 | no |
| HUM | 2023-08-14 | 476.91 | 0.6543 | 0.4694 | no |
| IQV | 2023-08-14 | 218.71 | 0.2746 | 0.4550 | no |
| IR | 2023-08-14 | 67.70 | 0.2801 | 0.5150 | no |
| JCI | 2023-08-14 | 56.18 | 0.3329 | 0.5006 | no |
| JNJ | 2023-08-14 | 158.19 | 0.2970 | 0.4917 | no |
| KEYS | 2023-08-14 | 150.44 | 0.3178 | 0.4805 | no |
| LNC | 2023-08-14 | 22.43 | 0.2945 | 0.4568 | no |
| LOW | 2023-08-14 | 211.31 | 0.2757 | 0.5396 | no |
| LUV | 2023-08-14 | 31.27 | 0.4399 | 0.4643 | no |
| MKTX | 2023-08-14 | 224.22 | 0.2862 | 0.4766 | no |
| MRNA | 2023-08-14 | 100.87 | 0.3747 | 0.4790 | no |
| NUE | 2023-08-14 | 163.27 | 0.4664 | 0.4647 | no |
| PANW | 2023-08-14 | 109.22 | 0.4554 | 0.5650 | no |
| PPG | 2023-08-14 | 127.24 | 0.5108 | 0.4798 | no |
| PTC | 2023-08-14 | 143.26 | 0.3531 | 0.5217 | no |
| REGN | 2023-08-14 | 802.29 | 0.3937 | 0.5335 | no |
| ROK | 2023-08-14 | 281.72 | 0.4705 | 0.4869 | no |
| RTX | 2023-08-14 | 81.23 | 0.3215 | 0.5606 | no |
| SPGI | 2023-08-14 | 357.53 | 0.2862 | 0.4752 | no |
| SWKS | 2023-08-14 | 96.01 | 0.3486 | 0.5305 | no |
| TSLA | 2023-08-14 | 235.70 | 0.5084 | 0.4790 | no |
| UAL | 2023-08-14 | 52.09 | 0.4836 | 0.4782 | no |
| UHS | 2023-08-14 | 128.90 | 0.4711 | 0.4864 | no |
| XEL | 2023-08-14 | 53.50 | 0.3862 | 0.4906 | no |
| ZBH | 2023-08-14 | 120.59 | 0.4762 | 0.4717 | no |