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 | 1.24% | 1.24% | 2023-12-11 | -11.14% |
| buy & hold | participation factor overlay | 6 months | complete | 8.20% | 8.38% | 2024-03-07 | -11.14% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.30% | 2.30% | 2023-12-11 | -11.58% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.18% | 8.91% | 2023-12-28 | -11.58% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.40% | 0.00% | 2023-09-11 | -11.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.83% | 4.04% | 2024-03-07 | -11.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.57% | 1.57% | 2023-12-11 | -10.62% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.30% | 8.47% | 2024-03-07 | -10.62% |
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 |
|---|---|---|---|---|---|
| AAP | 2023-09-11 | 60.98 | 0.5013 | 0.5552 | no |
| ABT | 2023-09-11 | 94.70 | 0.2794 | 0.4646 | no |
| ADI | 2023-09-11 | 171.33 | 0.4445 | 0.5479 | no |
| ADM | 2023-09-11 | 71.56 | 0.4527 | 0.4969 | no |
| AKAM | 2023-09-11 | 105.87 | 0.3183 | 0.5226 | no |
| ALB | 2023-09-11 | 177.33 | 0.4754 | 0.5021 | no |
| AMP | 2023-09-11 | 334.58 | 0.3758 | 0.4355 | no |
| ANET | 2023-09-11 | 49.60 | 0.4317 | 0.4612 | no |
| BA | 2023-09-11 | 213.76 | 0.2754 | 0.5467 | no |
| BBY | 2023-09-11 | 62.94 | 0.4524 | 0.5965 | no |
| BEN | 2023-09-11 | 22.29 | 0.4238 | 0.4326 | no |
| BKR | 2023-09-11 | 35.06 | 0.3287 | 0.4990 | no |
| CME | 2023-09-11 | 180.01 | 0.3371 | 0.5105 | no |
| CPB | 2023-09-11 | 36.85 | 0.3104 | 0.4577 | no |
| DD | 2023-09-11 | 89.98 | 0.2665 | 0.4911 | no |
| DGX | 2023-09-11 | 119.65 | 0.3212 | 0.4866 | no |
| DLTR | 2023-09-11 | 116.53 | 0.3165 | 0.5700 | no |
| EL | 2023-09-11 | 147.09 | 0.2698 | 0.4737 | no |
| ETSY | 2023-09-11 | 67.30 | 0.4374 | — | no |
| FCX | 2023-09-11 | 38.85 | 0.6401 | 0.5934 | no |
| FTV | 2023-09-11 | 57.70 | 0.2710 | 0.4852 | no |
| GM | 2023-09-11 | 32.10 | 0.5051 | 0.4896 | no |
| GNRC | 2023-09-11 | 115.71 | 0.3911 | 0.4492 | no |
| HAL | 2023-09-11 | 38.89 | 0.4334 | 0.4998 | no |
| HCA | 2023-09-11 | 266.99 | 0.2661 | 0.4776 | no |
| HD | 2023-09-11 | 304.89 | 0.2985 | 0.5528 | no |
| IFF | 2023-09-11 | 64.82 | 0.3501 | 0.4600 | no |
| IR | 2023-09-11 | 69.62 | 0.3609 | 0.5146 | no |
| ISRG | 2023-09-11 | 300.00 | 0.2880 | 0.4705 | no |
| KEYS | 2023-09-11 | 133.15 | 0.3845 | 0.4759 | no |
| LNC | 2023-09-11 | 21.93 | 0.3347 | 0.4568 | no |
| LRCX | 2023-09-11 | 65.58 | 0.6044 | 0.5566 | no |
| MCHP | 2023-09-11 | 74.17 | 0.5834 | 0.5519 | no |
| MGM | 2023-09-11 | 44.21 | 0.3671 | 0.4514 | no |
| MHK | 2023-09-11 | 94.09 | 0.3443 | 0.4635 | no |
| MKTX | 2023-09-11 | 218.11 | 0.2869 | 0.4766 | no |
| MOS | 2023-09-11 | 34.48 | 0.3400 | 0.4530 | no |
| MPWR | 2023-09-11 | 498.14 | 0.3006 | 0.5279 | no |
| MSCI | 2023-09-11 | 516.00 | 0.3531 | 0.4788 | no |
| NEM | 2023-09-11 | 36.93 | 0.6334 | 0.4250 | no |
| NWS | 2023-09-11 | 21.18 | 0.3050 | — | no |
| OGN | 2023-09-11 | 17.23 | 0.3479 | 0.4266 | no |
| PAYC | 2023-09-11 | 279.30 | 0.3153 | 0.4459 | no |
| PPL | 2023-09-11 | 22.38 | 0.3337 | 0.4724 | no |
| SWK | 2023-09-11 | 80.97 | 0.3754 | 0.4968 | no |
| SYY | 2023-09-11 | 64.43 | 0.2644 | 0.5263 | no |
| TFX | 2023-09-11 | 202.43 | 0.3463 | 0.5016 | no |
| TT | 2023-09-11 | 201.28 | 0.3028 | 0.4898 | no |
| ULTA | 2023-09-11 | 416.63 | 0.2661 | 0.4737 | no |
| WEC | 2023-09-11 | 75.67 | 0.3039 | 0.4671 | no |