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 | -4.56% | 1.84% | 2023-08-30 | -13.16% |
| buy & hold | participation factor overlay | 6 months | complete | 2.58% | 4.34% | 2024-02-15 | -13.16% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.65% | 2.05% | 2023-08-30 | -12.73% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.66% | 5.32% | 2023-12-28 | -12.73% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.17% | 3.06% | 2023-09-01 | -13.12% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.42% | 3.76% | 2023-12-14 | -13.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.08% | 3.16% | 2023-09-01 | -12.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.69% | 7.51% | 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 | 2023-08-21 | 15.06 | 0.5860 | 0.4574 | no |
| ACGL | 2023-08-21 | 71.94 | 0.3786 | 0.4673 | no |
| ADM | 2023-08-21 | 75.06 | 0.3109 | 0.4971 | no |
| AES | 2023-08-21 | 15.45 | 0.2668 | — | no |
| AIZ | 2023-08-21 | 133.83 | 0.3192 | 0.4568 | no |
| ALB | 2023-08-21 | 177.02 | 0.2912 | 0.5021 | no |
| ALK | 2023-08-21 | 42.94 | 0.2871 | 0.4328 | no |
| AMT | 2023-08-21 | 157.73 | 0.3583 | 0.4248 | no |
| APD | 2023-08-21 | 263.95 | 0.3762 | 0.4955 | no |
| BMY | 2023-08-21 | 53.95 | 0.2980 | 0.5712 | no |
| CAG | 2023-08-21 | 25.08 | 0.3932 | 0.4434 | no |
| CARR | 2023-08-21 | 51.05 | 0.7848 | 0.4871 | no |
| CMI | 2023-08-21 | 218.76 | 0.2782 | 0.5381 | no |
| DAL | 2023-08-21 | 40.33 | 0.2561 | 0.4640 | no |
| DE | 2023-08-21 | 380.02 | 0.3538 | 0.5078 | no |
| DHI | 2023-08-21 | 113.40 | 0.2698 | 0.4712 | no |
| DXCM | 2023-08-21 | 106.00 | 0.5554 | 0.4633 | no |
| ENPH | 2023-08-21 | 130.63 | 0.3156 | 0.5127 | no |
| ETSY | 2023-08-21 | 73.91 | 0.7934 | — | no |
| EW | 2023-08-21 | 76.83 | 0.3170 | 0.4741 | no |
| F | 2023-08-21 | 9.97 | 0.5423 | 0.4791 | no |
| FTNT | 2023-08-21 | 58.07 | 0.4959 | 0.5266 | no |
| GD | 2023-08-21 | 210.91 | 0.3187 | 0.5661 | no |
| GL | 2023-08-21 | 109.66 | 0.3287 | 0.4643 | no |
| GLW | 2023-08-21 | 29.93 | 0.3293 | 0.4780 | no |
| GM | 2023-08-21 | 32.18 | 0.2533 | 0.4897 | no |
| GNRC | 2023-08-21 | 114.21 | 0.4087 | 0.4488 | no |
| HPE | 2023-08-21 | 15.70 | 0.2968 | 0.5038 | no |
| HUM | 2023-08-21 | 470.39 | 0.5278 | 0.4694 | no |
| HWM | 2023-08-21 | 48.52 | 0.4713 | 0.5568 | no |
| IFF | 2023-08-21 | 59.18 | 0.2647 | 0.4600 | no |
| JCI | 2023-08-21 | 56.50 | 0.3013 | 0.5006 | no |
| JNJ | 2023-08-21 | 154.70 | 0.3769 | 0.4917 | no |
| LEN | 2023-08-21 | 107.88 | 0.4110 | 0.4366 | no |
| LNC | 2023-08-21 | 21.98 | 0.2632 | 0.4568 | no |
| LUV | 2023-08-21 | 30.03 | 0.4291 | 0.4643 | no |
| MCK | 2023-08-21 | 413.86 | 0.3236 | 0.4750 | no |
| MDT | 2023-08-21 | 74.06 | 0.3392 | 0.4632 | no |
| MOS | 2023-08-21 | 36.03 | 0.2554 | 0.4531 | no |
| MRNA | 2023-08-21 | 101.99 | 0.3465 | 0.4790 | no |
| ODFL | 2023-08-21 | 194.84 | 0.3005 | 0.4910 | no |
| OTIS | 2023-08-21 | 79.27 | 0.2573 | 0.4987 | no |
| PANW | 2023-08-21 | 118.25 | 0.6532 | 0.5202 | no |
| PAYC | 2023-08-21 | 274.72 | 0.6305 | 0.4455 | no |
| PWR | 2023-08-21 | 202.72 | 0.3067 | 0.5124 | no |
| REGN | 2023-08-21 | 817.29 | 0.3264 | 0.5335 | no |
| RTX | 2023-08-21 | 80.65 | 0.2853 | 0.5606 | no |
| TSLA | 2023-08-21 | 221.55 | 0.3081 | 0.4790 | no |
| UHS | 2023-08-21 | 126.85 | 0.6026 | 0.4864 | no |
| ZBH | 2023-08-21 | 116.15 | 0.2867 | 0.4717 | no |