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 | -5.49% | 2.09% | 2023-09-01 | -14.88% |
| buy & hold | participation factor overlay | 6 months | complete | 4.60% | 5.04% | 2024-02-27 | -14.88% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.07% | 2.02% | 2023-09-01 | -14.51% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.16% | 6.72% | 2024-02-27 | -14.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.27% | 2.09% | 2023-09-01 | -11.05% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.07% | 6.32% | 2024-02-27 | -11.05% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.64% | 2.02% | 2023-09-01 | -12.06% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.78% | 5.85% | 2024-02-27 | -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 | 2023-08-28 | 14.66 | 0.3066 | 0.4612 | no |
| ACGL | 2023-08-28 | 70.72 | 0.3347 | 0.4673 | no |
| ADI | 2023-08-28 | 171.05 | 0.3013 | 0.5478 | no |
| AES | 2023-08-28 | 15.66 | 0.3868 | — | no |
| ALB | 2023-08-28 | 180.35 | 0.3505 | 0.5021 | no |
| AMZN | 2023-08-28 | 133.78 | 0.3639 | 0.4525 | no |
| APA | 2023-08-28 | 38.29 | 0.3207 | 0.6323 | no |
| APD | 2023-08-28 | 267.41 | 0.3423 | 0.4955 | no |
| APTV | 2023-08-28 | 99.18 | 0.5075 | 0.4961 | no |
| BAX | 2023-08-28 | 39.31 | 0.4515 | 0.4728 | no |
| CARR | 2023-08-28 | 53.25 | 0.5806 | 0.4871 | no |
| CE | 2023-08-28 | 115.29 | 0.4483 | 0.4675 | no |
| CF | 2023-08-28 | 68.81 | 0.2968 | 0.4536 | no |
| CZR | 2023-08-28 | 52.08 | 0.5712 | 0.4686 | no |
| DAL | 2023-08-28 | 40.36 | 0.6470 | 0.4666 | no |
| DLTR | 2023-08-28 | 123.30 | 0.3048 | 0.5701 | no |
| DVA | 2023-08-28 | 101.05 | 0.3390 | 0.4963 | no |
| ETSY | 2023-08-28 | 72.74 | 0.6605 | — | no |
| GM | 2023-08-28 | 32.19 | 0.3269 | 0.4896 | no |
| GNRC | 2023-08-28 | 117.23 | 0.3857 | 0.4488 | no |
| HRL | 2023-08-28 | 34.89 | 0.3471 | 0.4807 | no |
| IQV | 2023-08-28 | 221.06 | 0.3939 | 0.4555 | no |
| IVZ | 2023-08-28 | 13.46 | 0.3021 | 0.4344 | no |
| LNC | 2023-08-28 | 21.79 | 0.3805 | 0.4568 | no |
| LOW | 2023-08-28 | 210.95 | 0.2957 | 0.5323 | no |
| LRCX | 2023-08-28 | 65.20 | 0.5407 | 0.5574 | no |
| LUV | 2023-08-28 | 29.28 | 0.2852 | 0.4670 | no |
| MCK | 2023-08-28 | 417.24 | 0.3981 | 0.4750 | no |
| MCO | 2023-08-28 | 326.40 | 0.2895 | 0.4815 | no |
| MGM | 2023-08-28 | 42.55 | 0.4034 | 0.4514 | no |
| NCLH | 2023-08-28 | 17.00 | 0.5730 | 0.4423 | no |
| NDAQ | 2023-08-28 | 50.51 | 0.3029 | 0.4582 | no |
| NUE | 2023-08-28 | 158.46 | 0.4896 | 0.4672 | no |
| NXPI | 2023-08-28 | 186.36 | 0.4817 | 0.5488 | no |
| PAYC | 2023-08-28 | 279.67 | 0.2923 | 0.4455 | no |
| PNW | 2023-08-28 | 69.78 | 0.3653 | 0.4480 | no |
| REGN | 2023-08-28 | 825.62 | 0.4083 | 0.5335 | no |
| RMD | 2023-08-28 | 157.45 | 0.4157 | 0.4546 | no |
| ROK | 2023-08-28 | 290.15 | 0.3649 | 0.4869 | no |
| SWK | 2023-08-28 | 78.99 | 0.3878 | 0.4971 | no |
| SWKS | 2023-08-28 | 95.78 | 0.2909 | 0.5305 | no |
| TFX | 2023-08-28 | 212.29 | 0.3545 | 0.5016 | no |
| TRMB | 2023-08-28 | 52.46 | 0.3377 | 0.5198 | no |
| UHS | 2023-08-28 | 129.70 | 0.4234 | 0.4864 | no |
| URI | 2023-08-28 | 436.57 | 0.4287 | 0.5171 | no |
| VMC | 2023-08-28 | 210.79 | 0.3040 | 0.4967 | no |
| WHR | 2023-08-28 | 115.13 | 0.4237 | 0.4802 | no |
| WST | 2023-08-28 | 391.85 | 0.3092 | 0.4360 | no |
| XEL | 2023-08-28 | 51.83 | 0.3356 | 0.4906 | no |
| ZBH | 2023-08-28 | 115.72 | 0.5425 | 0.4717 | no |