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 | -4.34% | 1.78% | 2023-09-01 | -12.63% |
| buy & hold | participation factor overlay | 6 months | complete | 4.74% | 6.65% | 2024-02-15 | -12.63% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.74% | 1.91% | 2023-09-01 | -13.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.04% | 7.20% | 2024-02-15 | -13.21% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.58% | 2.12% | 2023-09-01 | -11.05% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.19% | 5.90% | 2024-02-12 | -11.05% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.96% | 2.17% | 2023-09-01 | -12.06% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.02% | 5.92% | 2024-02-12 | -12.06% |
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 | 0.7026 | 0.4574 | no |
| ACGL | 2023-08-21 | 71.94 | 0.2752 | 0.4673 | no |
| ADM | 2023-08-21 | 75.06 | 0.3614 | 0.4971 | no |
| AES | 2023-08-21 | 15.45 | 0.3500 | — | no |
| AIZ | 2023-08-21 | 133.83 | 0.2856 | 0.4568 | no |
| AKAM | 2023-08-21 | 101.00 | 0.2982 | 0.5225 | no |
| ALK | 2023-08-21 | 42.94 | 0.2917 | 0.4328 | no |
| ALLE | 2023-08-21 | 103.20 | 0.2979 | 0.4759 | no |
| APD | 2023-08-21 | 263.95 | 0.4127 | 0.4955 | no |
| BMY | 2023-08-21 | 53.95 | 0.4106 | 0.5712 | no |
| CAG | 2023-08-21 | 25.08 | 0.2734 | 0.4434 | no |
| CARR | 2023-08-21 | 51.05 | 0.8591 | 0.4871 | no |
| CMI | 2023-08-21 | 218.76 | 0.3110 | 0.5381 | no |
| CZR | 2023-08-21 | 52.44 | 0.3600 | 0.4686 | no |
| DAL | 2023-08-21 | 40.33 | 0.3752 | 0.4640 | no |
| DD | 2023-08-21 | 89.72 | 0.3726 | 0.4911 | no |
| DE | 2023-08-21 | 380.02 | 0.3190 | 0.5078 | no |
| DVA | 2023-08-21 | 101.74 | 0.3040 | 0.4963 | no |
| DXCM | 2023-08-21 | 106.00 | 0.5392 | 0.4633 | no |
| ENPH | 2023-08-21 | 130.63 | 0.3741 | 0.5127 | no |
| ETSY | 2023-08-21 | 73.91 | 0.8035 | — | no |
| F | 2023-08-21 | 9.97 | 0.6396 | 0.4791 | no |
| FDS | 2023-08-21 | 412.10 | 0.4036 | 0.4697 | no |
| FTNT | 2023-08-21 | 58.07 | 0.4242 | 0.5266 | no |
| GD | 2023-08-21 | 210.91 | 0.3499 | 0.5661 | no |
| GLW | 2023-08-21 | 29.93 | 0.2951 | 0.4780 | no |
| GM | 2023-08-21 | 32.18 | 0.3688 | 0.4897 | no |
| GNRC | 2023-08-21 | 114.21 | 0.5402 | 0.4488 | no |
| HUM | 2023-08-21 | 470.39 | 0.5361 | 0.4694 | no |
| HWM | 2023-08-21 | 48.52 | 0.5246 | 0.5568 | no |
| IFF | 2023-08-21 | 59.18 | 0.2985 | 0.4600 | no |
| JNJ | 2023-08-21 | 154.70 | 0.4075 | 0.4917 | no |
| LUV | 2023-08-21 | 30.03 | 0.3458 | 0.4643 | no |
| MCK | 2023-08-21 | 413.86 | 0.5712 | 0.4750 | no |
| MGM | 2023-08-21 | 42.76 | 0.3221 | 0.4513 | no |
| MRNA | 2023-08-21 | 101.99 | 0.3885 | 0.4790 | no |
| MS | 2023-08-21 | 77.56 | 0.3126 | 0.4212 | no |
| NWS | 2023-08-21 | 20.61 | 0.3101 | — | no |
| OTIS | 2023-08-21 | 79.27 | 0.2765 | 0.4987 | no |
| PANW | 2023-08-21 | 118.25 | 0.4836 | 0.5202 | no |
| PAYC | 2023-08-21 | 274.72 | 0.5600 | 0.4455 | no |
| REGN | 2023-08-21 | 817.29 | 0.4032 | 0.5335 | no |
| RMD | 2023-08-21 | 161.74 | 0.2966 | 0.4546 | no |
| RTX | 2023-08-21 | 80.65 | 0.4007 | 0.5606 | no |
| TRMB | 2023-08-21 | 52.65 | 0.2967 | 0.5198 | no |
| UHS | 2023-08-21 | 126.85 | 0.6004 | 0.4864 | no |
| URI | 2023-08-21 | 442.71 | 0.4637 | 0.5167 | no |
| WHR | 2023-08-21 | 114.31 | 0.3522 | 0.4806 | no |
| WTW | 2023-08-21 | 192.02 | 0.3381 | 0.4759 | no |
| ZBH | 2023-08-21 | 116.15 | 0.4275 | 0.4717 | no |