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 | -3.61% | 2.36% | 2023-09-01 | -13.66% |
| buy & hold | participation factor overlay | 6 months | complete | 7.79% | 8.09% | 2024-02-27 | -13.66% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.31% | 2.45% | 2023-09-01 | -14.34% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.80% | 7.10% | 2024-02-27 | -14.34% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.15% | 2.36% | 2023-09-01 | -11.13% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.09% | 6.54% | 2023-12-27 | -11.13% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.29% | 2.45% | 2023-09-01 | -11.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.37% | 8.43% | 2024-02-27 | -11.34% |
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 | 0.3830 | 0.4612 | no |
| ACGL | 2023-08-28 | 70.72 | 0.4001 | 0.4673 | no |
| ALB | 2023-08-28 | 180.35 | 0.4778 | 0.5021 | no |
| AOS | 2023-08-28 | 66.01 | 0.3150 | 0.4715 | no |
| APA | 2023-08-28 | 38.29 | 0.4050 | 0.6323 | no |
| APTV | 2023-08-28 | 99.18 | 0.3606 | 0.4961 | no |
| BAX | 2023-08-28 | 39.31 | 0.2862 | 0.4728 | no |
| BIO | 2023-08-28 | 383.05 | 0.4087 | 0.5101 | no |
| CAG | 2023-08-28 | 25.12 | 0.2675 | 0.4433 | no |
| CARR | 2023-08-28 | 53.25 | 0.4952 | 0.4871 | no |
| CE | 2023-08-28 | 115.29 | 0.3801 | 0.4675 | no |
| CMI | 2023-08-28 | 219.74 | 0.4057 | 0.5381 | no |
| CNC | 2023-08-28 | 63.97 | 0.2975 | 0.4519 | no |
| CZR | 2023-08-28 | 52.08 | 0.3361 | 0.4686 | no |
| DAL | 2023-08-28 | 40.36 | 0.5002 | 0.4666 | no |
| DVA | 2023-08-28 | 101.05 | 0.3039 | 0.4963 | no |
| ES | 2023-08-28 | 56.96 | 0.2936 | 0.4761 | no |
| ETSY | 2023-08-28 | 72.74 | 0.3662 | — | no |
| FTNT | 2023-08-28 | 59.10 | 0.3695 | 0.5266 | no |
| GM | 2023-08-28 | 32.19 | 0.4309 | 0.4896 | no |
| GNRC | 2023-08-28 | 117.23 | 0.3615 | 0.4488 | no |
| HAL | 2023-08-28 | 35.75 | 0.3388 | 0.4998 | no |
| HWM | 2023-08-28 | 47.88 | 0.3790 | 0.5568 | no |
| INTU | 2023-08-28 | 506.93 | 0.3822 | 0.4655 | no |
| IQV | 2023-08-28 | 221.06 | 0.3938 | 0.4555 | no |
| ITW | 2023-08-28 | 224.41 | 0.3149 | 0.5108 | no |
| LNC | 2023-08-28 | 21.79 | 0.4427 | 0.4568 | no |
| LOW | 2023-08-28 | 210.95 | 0.3552 | 0.5323 | no |
| LRCX | 2023-08-28 | 65.20 | 0.5345 | 0.5574 | no |
| MGM | 2023-08-28 | 42.55 | 0.4779 | 0.4514 | no |
| MKTX | 2023-08-28 | 234.10 | 0.3181 | 0.4766 | no |
| MLM | 2023-08-28 | 430.67 | 0.2762 | 0.5000 | no |
| NOC | 2023-08-28 | 408.40 | 0.2749 | 0.5573 | no |
| NUE | 2023-08-28 | 158.46 | 0.3818 | 0.4672 | no |
| NXPI | 2023-08-28 | 186.36 | 0.4125 | 0.5488 | no |
| PAYC | 2023-08-28 | 279.67 | 0.4237 | 0.4455 | no |
| PNW | 2023-08-28 | 69.78 | 0.4302 | 0.4480 | no |
| POOL | 2023-08-28 | 338.79 | 0.3273 | 0.4339 | no |
| REGN | 2023-08-28 | 825.62 | 0.3921 | 0.5335 | no |
| RL | 2023-08-28 | 107.28 | 0.4969 | 0.4617 | no |
| RMD | 2023-08-28 | 157.45 | 0.3019 | 0.4546 | no |
| SWK | 2023-08-28 | 78.99 | 0.4598 | 0.4971 | no |
| TDG | 2023-08-28 | 738.42 | 0.2959 | 0.5670 | no |
| TRMB | 2023-08-28 | 52.46 | 0.2967 | 0.5198 | no |
| TT | 2023-08-28 | 196.69 | 0.3361 | 0.4899 | no |
| VMC | 2023-08-28 | 210.79 | 0.3866 | 0.4967 | no |
| WHR | 2023-08-28 | 115.13 | 0.6532 | 0.4802 | no |
| XEL | 2023-08-28 | 51.83 | 0.3255 | 0.4906 | no |
| ZBH | 2023-08-28 | 115.72 | 0.5350 | 0.4717 | no |
| ZTS | 2023-08-28 | 177.10 | 0.2980 | 0.5029 | no |