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 | -5.19% | 1.30% | 2023-08-30 | -12.94% |
| buy & hold | participation factor overlay | 6 months | complete | 2.79% | 4.42% | 2024-02-15 | -12.94% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -5.64% | 1.64% | 2023-08-30 | -13.77% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.47% | 5.19% | 2024-02-15 | -13.77% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.75% | 2.53% | 2023-09-01 | -11.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.19% | 8.54% | 2024-02-15 | -11.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.54% | 2.77% | 2023-09-01 | -11.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.29% | 12.74% | 2024-02-15 | -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 | 2023-08-21 | 15.06 | 0.8465 | 0.4574 | no |
| ADM | 2023-08-21 | 75.06 | 0.2792 | 0.4971 | no |
| ADSK | 2023-08-21 | 200.40 | 0.3141 | 0.4985 | no |
| ALK | 2023-08-21 | 42.94 | 0.4941 | 0.4328 | no |
| AMZN | 2023-08-21 | 133.74 | 0.2945 | 0.4525 | no |
| APD | 2023-08-21 | 263.95 | 0.4221 | 0.4955 | no |
| BAX | 2023-08-21 | 39.50 | 0.3435 | 0.4728 | no |
| BMY | 2023-08-21 | 53.95 | 0.2974 | 0.5712 | no |
| CAG | 2023-08-21 | 25.08 | 0.3808 | 0.4434 | no |
| CARR | 2023-08-21 | 51.05 | 0.8191 | 0.4871 | no |
| CMI | 2023-08-21 | 218.76 | 0.4056 | 0.5381 | no |
| CZR | 2023-08-21 | 52.44 | 0.5498 | 0.4686 | no |
| DAL | 2023-08-21 | 40.33 | 0.4634 | 0.4640 | no |
| DD | 2023-08-21 | 89.72 | 0.2798 | 0.4911 | no |
| DE | 2023-08-21 | 380.02 | 0.3252 | 0.5078 | no |
| DXCM | 2023-08-21 | 106.00 | 0.6281 | 0.4633 | no |
| ED | 2023-08-21 | 80.40 | 0.3337 | — | no |
| ES | 2023-08-21 | 56.11 | 0.2798 | 0.4761 | no |
| ETSY | 2023-08-21 | 73.91 | 0.6882 | — | no |
| EW | 2023-08-21 | 76.83 | 0.4995 | 0.4741 | no |
| F | 2023-08-21 | 9.97 | 0.6150 | 0.4791 | no |
| FDS | 2023-08-21 | 412.10 | 0.3570 | 0.4697 | no |
| FTNT | 2023-08-21 | 58.07 | 0.6121 | 0.5266 | no |
| GIS | 2023-08-21 | 60.66 | 0.2727 | 0.4622 | no |
| GM | 2023-08-21 | 32.18 | 0.3472 | 0.4897 | no |
| GNRC | 2023-08-21 | 114.21 | 0.3002 | 0.4488 | no |
| HUM | 2023-08-21 | 470.39 | 0.4145 | 0.4694 | no |
| HWM | 2023-08-21 | 48.52 | 0.3421 | 0.5568 | no |
| JCI | 2023-08-21 | 56.50 | 0.4000 | 0.5006 | no |
| JNJ | 2023-08-21 | 154.70 | 0.3934 | 0.4917 | no |
| KEYS | 2023-08-21 | 128.72 | 0.3428 | 0.4758 | no |
| KR | 2023-08-21 | 44.40 | 0.3208 | 0.5983 | no |
| LNC | 2023-08-21 | 21.98 | 0.2683 | 0.4568 | no |
| LUV | 2023-08-21 | 30.03 | 0.4259 | 0.4643 | no |
| MOS | 2023-08-21 | 36.03 | 0.2639 | 0.4531 | no |
| MRNA | 2023-08-21 | 101.99 | 0.4025 | 0.4790 | no |
| NOW | 2023-08-21 | 108.57 | 0.2745 | 0.4695 | no |
| OTIS | 2023-08-21 | 79.27 | 0.2681 | 0.4987 | no |
| PANW | 2023-08-21 | 118.25 | 0.6067 | 0.5202 | no |
| PAYC | 2023-08-21 | 274.72 | 0.6890 | 0.4455 | no |
| REGN | 2023-08-21 | 817.29 | 0.2776 | 0.5335 | no |
| RMD | 2023-08-21 | 161.74 | 0.3247 | 0.4546 | no |
| RTX | 2023-08-21 | 80.65 | 0.3343 | 0.5606 | no |
| TFX | 2023-08-21 | 212.13 | 0.3230 | 0.5016 | no |
| UHS | 2023-08-21 | 126.85 | 0.7859 | 0.4864 | no |
| URI | 2023-08-21 | 442.71 | 0.4206 | 0.5167 | no |
| WEC | 2023-08-21 | 77.14 | 0.2678 | 0.4671 | no |
| WY | 2023-08-21 | 29.14 | 0.4201 | 0.4982 | no |
| XEL | 2023-08-21 | 52.07 | 0.2649 | 0.4906 | no |
| ZBH | 2023-08-21 | 116.15 | 0.4640 | 0.4717 | no |