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 | -3.64% | 2.87% | 2023-09-01 | -13.66% |
| buy & hold | participation factor overlay | 6 months | complete | 8.29% | 8.31% | 2024-02-27 | -13.66% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.78% | 2.82% | 2023-09-01 | -13.54% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.47% | 9.60% | 2024-02-27 | -13.54% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.88% | 2.87% | 2023-09-01 | -13.12% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.27% | 3.56% | 2023-12-14 | -13.12% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.77% | 2.82% | 2023-09-01 | -12.23% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.36% | 7.16% | 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 | 2023-08-28 | 14.66 | 0.3583 | 0.4612 | no |
| ACGL | 2023-08-28 | 70.72 | 0.3619 | 0.4673 | no |
| ADM | 2023-08-28 | 73.39 | 0.2857 | 0.4968 | no |
| AEE | 2023-08-28 | 72.96 | 0.3372 | 0.4560 | no |
| ALB | 2023-08-28 | 180.35 | 0.4163 | 0.5021 | no |
| AMP | 2023-08-28 | 321.99 | 0.2888 | 0.4355 | no |
| AOS | 2023-08-28 | 66.01 | 0.3482 | 0.4715 | no |
| APA | 2023-08-28 | 38.29 | 0.4411 | 0.6323 | no |
| APTV | 2023-08-28 | 99.18 | 0.3032 | 0.4961 | no |
| BAX | 2023-08-28 | 39.31 | 0.3666 | 0.4728 | no |
| BIO | 2023-08-28 | 383.05 | 0.4072 | 0.5101 | no |
| CAG | 2023-08-28 | 25.12 | 0.2960 | 0.4433 | no |
| CARR | 2023-08-28 | 53.25 | 0.4602 | 0.4871 | no |
| CE | 2023-08-28 | 115.29 | 0.5444 | 0.4675 | no |
| CMI | 2023-08-28 | 219.74 | 0.3815 | 0.5381 | no |
| CZR | 2023-08-28 | 52.08 | 0.3859 | 0.4686 | no |
| DAL | 2023-08-28 | 40.36 | 0.4334 | 0.4666 | no |
| DD | 2023-08-28 | 88.65 | 0.3259 | 0.4911 | no |
| DOW | 2023-08-28 | 44.99 | 0.4246 | 0.4957 | no |
| DRI | 2023-08-28 | 141.39 | 0.3241 | 0.4309 | no |
| EFX | 2023-08-28 | 193.53 | 0.3307 | 0.4648 | no |
| ETSY | 2023-08-28 | 72.74 | 0.5479 | — | no |
| F | 2023-08-28 | 9.90 | 0.2888 | 0.4789 | no |
| GM | 2023-08-28 | 32.19 | 0.3100 | 0.4896 | no |
| HAL | 2023-08-28 | 35.75 | 0.5889 | 0.4998 | no |
| HPE | 2023-08-28 | 15.46 | 0.4156 | 0.5038 | no |
| HWM | 2023-08-28 | 47.88 | 0.2833 | 0.5568 | no |
| INTU | 2023-08-28 | 506.93 | 0.3768 | 0.4655 | no |
| LOW | 2023-08-28 | 210.95 | 0.3810 | 0.5323 | no |
| LRCX | 2023-08-28 | 65.20 | 0.4762 | 0.5574 | no |
| MAS | 2023-08-28 | 53.94 | 0.3036 | 0.4650 | no |
| MCK | 2023-08-28 | 417.24 | 0.4813 | 0.4750 | no |
| MGM | 2023-08-28 | 42.55 | 0.4590 | 0.4514 | no |
| MHK | 2023-08-28 | 96.71 | 0.3361 | 0.4635 | no |
| MLM | 2023-08-28 | 430.67 | 0.3082 | 0.5000 | no |
| NOW | 2023-08-28 | 113.32 | 0.3051 | 0.4695 | no |
| NUE | 2023-08-28 | 158.46 | 0.4196 | 0.4672 | no |
| PAYC | 2023-08-28 | 279.67 | 0.2846 | 0.4455 | no |
| PNW | 2023-08-28 | 69.78 | 0.5665 | 0.4480 | no |
| POOL | 2023-08-28 | 338.79 | 0.3799 | 0.4339 | no |
| REGN | 2023-08-28 | 825.62 | 0.3882 | 0.5335 | no |
| SWK | 2023-08-28 | 78.99 | 0.2924 | 0.4971 | no |
| TDG | 2023-08-28 | 738.42 | 0.3557 | 0.5670 | no |
| TRMB | 2023-08-28 | 52.46 | 0.3698 | 0.5198 | no |
| TT | 2023-08-28 | 196.69 | 0.3414 | 0.4899 | no |
| UHS | 2023-08-28 | 129.70 | 0.4022 | 0.4864 | no |
| URI | 2023-08-28 | 436.57 | 0.3545 | 0.5171 | no |
| VMC | 2023-08-28 | 210.79 | 0.3981 | 0.4967 | no |
| WHR | 2023-08-28 | 115.13 | 0.5256 | 0.4802 | no |
| ZBH | 2023-08-28 | 115.72 | 0.4498 | 0.4717 | no |