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 | -4.67% | 2.51% | 2023-09-01 | -14.09% |
| buy & hold | participation factor overlay | 6 months | complete | 7.56% | 7.71% | 2024-02-27 | -14.09% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.93% | 2.59% | 2023-09-01 | -15.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.27% | 6.37% | 2024-02-27 | -15.11% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.57% | 2.51% | 2023-09-01 | -11.21% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.62% | 9.75% | 2024-02-27 | -11.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.31% | 2.59% | 2023-09-01 | -11.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.64% | 13.82% | 2024-02-27 | -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 | 2023-08-28 | 14.66 | 0.4119 | 0.4612 | no |
| AEE | 2023-08-28 | 72.96 | 0.4008 | 0.4560 | no |
| AES | 2023-08-28 | 15.66 | 0.3275 | — | no |
| ALB | 2023-08-28 | 180.35 | 0.4562 | 0.5021 | no |
| AMD | 2023-08-28 | 103.47 | 0.2921 | 0.5278 | no |
| AMZN | 2023-08-28 | 133.78 | 0.4155 | 0.4525 | no |
| AOS | 2023-08-28 | 66.01 | 0.3867 | 0.4715 | no |
| APA | 2023-08-28 | 38.29 | 0.3577 | 0.6323 | no |
| APD | 2023-08-28 | 267.41 | 0.4354 | 0.4955 | no |
| APTV | 2023-08-28 | 99.18 | 0.5413 | 0.4961 | no |
| BAX | 2023-08-28 | 39.31 | 0.3997 | 0.4728 | no |
| BIO | 2023-08-28 | 383.05 | 0.3177 | 0.5101 | no |
| CAG | 2023-08-28 | 25.12 | 0.3420 | 0.4433 | no |
| CARR | 2023-08-28 | 53.25 | 0.3394 | 0.4871 | no |
| CE | 2023-08-28 | 115.29 | 0.5144 | 0.4675 | no |
| CZR | 2023-08-28 | 52.08 | 0.3188 | 0.4686 | no |
| DAL | 2023-08-28 | 40.36 | 0.5085 | 0.4666 | no |
| DLTR | 2023-08-28 | 123.30 | 0.3265 | 0.5701 | no |
| ETSY | 2023-08-28 | 72.74 | 0.4038 | — | no |
| F | 2023-08-28 | 9.90 | 0.4747 | 0.4789 | no |
| FDX | 2023-08-28 | 196.14 | 0.3495 | 0.4894 | no |
| GM | 2023-08-28 | 32.19 | 0.4895 | 0.4896 | no |
| HAL | 2023-08-28 | 35.75 | 0.3027 | 0.4998 | no |
| HPE | 2023-08-28 | 15.46 | 0.3547 | 0.5038 | no |
| HSIC | 2023-08-28 | 77.05 | 0.2927 | 0.5071 | no |
| HWM | 2023-08-28 | 47.88 | 0.5085 | 0.5568 | no |
| INTU | 2023-08-28 | 506.93 | 0.3307 | 0.4655 | no |
| IQV | 2023-08-28 | 221.06 | 0.3568 | 0.4555 | no |
| LKQ | 2023-08-28 | 46.96 | 0.3073 | 0.5198 | no |
| LNC | 2023-08-28 | 21.79 | 0.3105 | 0.4568 | no |
| LOW | 2023-08-28 | 210.95 | 0.2838 | 0.5323 | no |
| LRCX | 2023-08-28 | 65.20 | 0.4920 | 0.5574 | no |
| MCK | 2023-08-28 | 417.24 | 0.2847 | 0.4750 | no |
| MGM | 2023-08-28 | 42.55 | 0.2849 | 0.4514 | no |
| MHK | 2023-08-28 | 96.71 | 0.3125 | 0.4635 | no |
| MLM | 2023-08-28 | 430.67 | 0.3145 | 0.5000 | no |
| NUE | 2023-08-28 | 158.46 | 0.4775 | 0.4672 | no |
| NXPI | 2023-08-28 | 186.36 | 0.3362 | 0.5488 | no |
| PAYC | 2023-08-28 | 279.67 | 0.5036 | 0.4455 | no |
| PNW | 2023-08-28 | 69.78 | 0.3896 | 0.4480 | no |
| REGN | 2023-08-28 | 825.62 | 0.3068 | 0.5335 | no |
| ROK | 2023-08-28 | 290.15 | 0.3427 | 0.4869 | no |
| STLD | 2023-08-28 | 97.90 | 0.2989 | 0.5306 | no |
| TDG | 2023-08-28 | 738.42 | 0.3157 | 0.5670 | no |
| TRMB | 2023-08-28 | 52.46 | 0.3562 | 0.5198 | no |
| TT | 2023-08-28 | 196.69 | 0.4351 | 0.4899 | no |
| ULTA | 2023-08-28 | 409.00 | 0.2905 | 0.4743 | no |
| VMC | 2023-08-28 | 210.79 | 0.4165 | 0.4967 | no |
| WHR | 2023-08-28 | 115.13 | 0.6673 | 0.4802 | no |
| ZBH | 2023-08-28 | 115.72 | 0.6637 | 0.4717 | no |