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 | -6.01% | 0.77% | 2023-08-14 | -13.30% |
| buy & hold | participation factor overlay | 6 months | complete | 5.11% | 6.04% | 2024-02-12 | -13.30% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -5.32% | 0.58% | 2023-08-14 | -13.24% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.91% | 7.00% | 2024-02-12 | -13.24% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.52% | 0.77% | 2023-08-14 | -11.36% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.24% | 6.36% | 2024-02-12 | -11.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.67% | 0.63% | 2023-09-01 | -11.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.90% | 9.72% | 2024-02-12 | -11.66% |
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 | 0.3492 | 0.4574 | no |
| ADBE | 2023-08-14 | 506.78 | 0.3606 | 0.4616 | no |
| AKAM | 2023-08-14 | 104.00 | 0.2811 | 0.5225 | no |
| ALB | 2023-08-14 | 175.88 | 0.2747 | 0.5021 | no |
| ALK | 2023-08-14 | 45.81 | 0.4214 | 0.4328 | no |
| BMY | 2023-08-14 | 53.27 | 0.2717 | 0.5712 | no |
| CARR | 2023-08-14 | 52.89 | 0.4543 | 0.4871 | no |
| CNC | 2023-08-14 | 65.63 | 0.3137 | 0.4519 | no |
| CTVA | 2023-08-14 | 50.21 | 0.2697 | 0.4885 | no |
| CZR | 2023-08-14 | 54.04 | 0.5917 | 0.4686 | no |
| DAL | 2023-08-14 | 42.56 | 0.4946 | 0.4640 | no |
| ED | 2023-08-14 | 81.03 | 0.3608 | — | no |
| EFX | 2023-08-14 | 191.42 | 0.3798 | 0.4629 | no |
| ENPH | 2023-08-14 | 134.01 | 0.3181 | 0.5127 | no |
| ETSY | 2023-08-14 | 76.02 | 0.8387 | — | no |
| EW | 2023-08-14 | 79.30 | 0.3954 | 0.4741 | no |
| F | 2023-08-14 | 9.96 | 0.6561 | 0.4791 | no |
| FTNT | 2023-08-14 | 59.69 | 0.4340 | 0.5278 | no |
| GM | 2023-08-14 | 32.37 | 0.6774 | 0.4897 | no |
| HUM | 2023-08-14 | 476.91 | 0.5955 | 0.4694 | no |
| IFF | 2023-08-14 | 59.20 | 0.3506 | 0.4600 | no |
| IQV | 2023-08-14 | 218.71 | 0.2741 | 0.4550 | no |
| IVZ | 2023-08-14 | 14.24 | 0.3505 | 0.4344 | no |
| MKTX | 2023-08-14 | 224.22 | 0.3240 | 0.4766 | no |
| MLM | 2023-08-14 | 445.84 | 0.3344 | 0.5000 | no |
| MRNA | 2023-08-14 | 100.87 | 0.2968 | 0.4790 | no |
| NOW | 2023-08-14 | 110.39 | 0.2742 | 0.4699 | no |
| NUE | 2023-08-14 | 163.27 | 0.3428 | 0.4647 | no |
| OTIS | 2023-08-14 | 82.27 | 0.3338 | 0.4987 | no |
| PANW | 2023-08-14 | 109.22 | 0.3552 | 0.5650 | no |
| PPG | 2023-08-14 | 127.24 | 0.4143 | 0.4798 | no |
| PTC | 2023-08-14 | 143.26 | 0.3376 | 0.5217 | no |
| REGN | 2023-08-14 | 802.29 | 0.3332 | 0.5335 | no |
| RMD | 2023-08-14 | 174.32 | 0.2762 | 0.4546 | no |
| ROK | 2023-08-14 | 281.72 | 0.3027 | 0.4869 | no |
| ROL | 2023-08-14 | 39.46 | 0.4762 | 0.4350 | no |
| RTX | 2023-08-14 | 81.23 | 0.3144 | 0.5606 | no |
| SLB | 2023-08-14 | 54.81 | 0.2708 | 0.5115 | no |
| SYK | 2023-08-14 | 273.87 | 0.3494 | 0.4798 | no |
| TPR | 2023-08-14 | 32.85 | 0.3191 | — | no |
| TSLA | 2023-08-14 | 235.70 | 0.4723 | 0.4790 | no |
| UAL | 2023-08-14 | 52.09 | 0.3116 | 0.4782 | no |
| UHS | 2023-08-14 | 128.90 | 0.3441 | 0.4864 | no |
| ULTA | 2023-08-14 | 446.78 | 0.3713 | 0.4848 | no |
| URI | 2023-08-14 | 471.79 | 0.3108 | 0.5167 | no |
| VMC | 2023-08-14 | 218.13 | 0.2706 | 0.4968 | no |
| VRSN | 2023-08-14 | 202.77 | 0.5194 | 0.4519 | no |
| XEL | 2023-08-14 | 53.50 | 0.3443 | 0.4906 | no |
| XOM | 2023-08-14 | 100.38 | 0.3195 | 0.5454 | no |
| ZBH | 2023-08-14 | 120.59 | 0.6438 | 0.4717 | no |