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 | -4.83% | 0.55% | 2023-08-14 | -13.15% |
| buy & hold | participation factor overlay | 6 months | complete | 5.40% | 6.19% | 2024-02-12 | -13.15% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -5.07% | 0.59% | 2023-08-14 | -13.63% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.61% | 5.30% | 2024-02-12 | -13.63% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.45% | 0.55% | 2023-08-14 | -11.42% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.44% | 3.84% | 2024-02-12 | -11.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.60% | 0.59% | 2023-08-14 | -12.42% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.47% | 3.86% | 2024-02-12 | -12.42% |
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 | 0.4759 | 0.4574 | no |
| AAP | 2023-08-14 | 67.41 | 0.2827 | 0.5514 | no |
| ACGL | 2023-08-14 | 72.90 | 0.4073 | 0.4673 | no |
| ADBE | 2023-08-14 | 506.78 | 0.3178 | 0.4616 | no |
| AKAM | 2023-08-14 | 104.00 | 0.2690 | 0.5225 | no |
| BAX | 2023-08-14 | 40.62 | 0.2680 | 0.4728 | no |
| BMY | 2023-08-14 | 53.27 | 0.2960 | 0.5712 | no |
| CAG | 2023-08-14 | 26.16 | 0.3088 | 0.4434 | no |
| CARR | 2023-08-14 | 52.89 | 0.3531 | 0.4871 | no |
| CZR | 2023-08-14 | 54.04 | 0.4539 | 0.4686 | no |
| DAL | 2023-08-14 | 42.56 | 0.4779 | 0.4640 | no |
| DGX | 2023-08-14 | 127.38 | 0.2898 | 0.4866 | no |
| ED | 2023-08-14 | 81.03 | 0.3623 | — | no |
| EFX | 2023-08-14 | 191.42 | 0.3499 | 0.4629 | no |
| EMN | 2023-08-14 | 73.32 | 0.3049 | 0.4785 | no |
| ENPH | 2023-08-14 | 134.01 | 0.4322 | 0.5127 | no |
| ETSY | 2023-08-14 | 76.02 | 0.5794 | — | no |
| EW | 2023-08-14 | 79.30 | 0.2787 | 0.4741 | no |
| F | 2023-08-14 | 9.96 | 0.8076 | 0.4791 | no |
| FTNT | 2023-08-14 | 59.69 | 0.3969 | 0.5278 | no |
| GD | 2023-08-14 | 213.84 | 0.3469 | 0.5661 | no |
| GLW | 2023-08-14 | 30.03 | 0.2909 | 0.4781 | no |
| GM | 2023-08-14 | 32.37 | 0.7803 | 0.4897 | no |
| GPC | 2023-08-14 | 142.09 | 0.2827 | 0.5576 | no |
| GWW | 2023-08-14 | 694.36 | 0.3070 | 0.5270 | no |
| HUM | 2023-08-14 | 476.91 | 0.5395 | 0.4694 | no |
| HWM | 2023-08-14 | 48.92 | 0.2720 | 0.5568 | no |
| IFF | 2023-08-14 | 59.20 | 0.4630 | 0.4600 | no |
| IQV | 2023-08-14 | 218.71 | 0.4419 | 0.4550 | no |
| IT | 2023-08-14 | 339.79 | 0.3073 | 0.4703 | no |
| JNJ | 2023-08-14 | 158.19 | 0.3542 | 0.4917 | no |
| LOW | 2023-08-14 | 211.31 | 0.3109 | 0.5396 | no |
| MKTX | 2023-08-14 | 224.22 | 0.2860 | 0.4766 | no |
| MRNA | 2023-08-14 | 100.87 | 0.4230 | 0.4790 | no |
| NOW | 2023-08-14 | 110.39 | 0.3328 | 0.4699 | no |
| NUE | 2023-08-14 | 163.27 | 0.2764 | 0.4647 | no |
| OTIS | 2023-08-14 | 82.27 | 0.4144 | 0.4987 | no |
| PPG | 2023-08-14 | 127.24 | 0.4138 | 0.4798 | no |
| PTC | 2023-08-14 | 143.26 | 0.2870 | 0.5217 | no |
| QCOM | 2023-08-14 | 106.12 | 0.2848 | 0.5208 | no |
| REGN | 2023-08-14 | 802.29 | 0.4443 | 0.5335 | no |
| RMD | 2023-08-14 | 174.32 | 0.2700 | 0.4546 | no |
| ROL | 2023-08-14 | 39.46 | 0.3551 | 0.4350 | no |
| TPR | 2023-08-14 | 32.85 | 0.3232 | — | no |
| TSLA | 2023-08-14 | 235.70 | 0.4215 | 0.4790 | no |
| UAL | 2023-08-14 | 52.09 | 0.5965 | 0.4782 | no |
| UHS | 2023-08-14 | 128.90 | 0.3662 | 0.4864 | no |
| VMC | 2023-08-14 | 218.13 | 0.2717 | 0.4968 | no |
| XEL | 2023-08-14 | 53.50 | 0.2767 | 0.4906 | no |
| ZBH | 2023-08-14 | 120.59 | 0.5038 | 0.4717 | no |