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 | 1.22% | 1.22% | 2023-12-11 | -9.10% |
| buy & hold | participation factor overlay | 6 months | complete | 8.80% | 8.95% | 2024-03-07 | -9.10% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.80% | 1.80% | 2023-12-11 | -10.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.79% | 7.29% | 2023-12-28 | -10.38% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.17% | 1.17% | 2023-12-11 | -9.36% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.29% | 8.51% | 2024-03-07 | -9.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.48% | 2.48% | 2023-12-11 | -9.78% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.24% | 11.24% | 2024-03-11 | -9.78% |
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 | 0.4957 | 0.5552 | no |
| ADI | 2023-09-11 | 171.33 | 0.5292 | 0.5479 | no |
| ADM | 2023-09-11 | 71.56 | 0.4465 | 0.4969 | no |
| AES | 2023-09-11 | 14.98 | 0.2959 | — | no |
| AKAM | 2023-09-11 | 105.87 | 0.3761 | 0.5226 | no |
| ANET | 2023-09-11 | 49.60 | 0.5056 | 0.4612 | no |
| AWK | 2023-09-11 | 127.74 | 0.2745 | 0.4421 | no |
| BKR | 2023-09-11 | 35.06 | 0.3508 | 0.4990 | no |
| BWA | 2023-09-11 | 39.05 | 0.2845 | 0.4439 | no |
| CME | 2023-09-11 | 180.01 | 0.4258 | 0.5105 | no |
| COST | 2023-09-11 | 531.27 | 0.3065 | 0.5840 | no |
| CPB | 2023-09-11 | 36.85 | 0.3176 | 0.4577 | no |
| DGX | 2023-09-11 | 119.65 | 0.3321 | 0.4866 | no |
| DVN | 2023-09-11 | 47.72 | 0.2402 | 0.6548 | no |
| EL | 2023-09-11 | 147.09 | 0.2742 | 0.4737 | no |
| FCX | 2023-09-11 | 38.85 | 0.3077 | 0.5934 | no |
| FDX | 2023-09-11 | 193.57 | 0.4587 | 0.4893 | no |
| FE | 2023-09-11 | 31.47 | 0.2375 | 0.4708 | no |
| FTNT | 2023-09-11 | 64.82 | 0.4363 | 0.5266 | no |
| GM | 2023-09-11 | 32.10 | 0.2783 | 0.4896 | no |
| GNRC | 2023-09-11 | 115.71 | 0.5857 | 0.4492 | no |
| HAL | 2023-09-11 | 38.89 | 0.4043 | 0.4998 | no |
| HD | 2023-09-11 | 304.89 | 0.2973 | 0.5528 | no |
| IFF | 2023-09-11 | 64.82 | 0.4754 | 0.4600 | no |
| ISRG | 2023-09-11 | 300.00 | 0.4337 | 0.4705 | no |
| KR | 2023-09-11 | 43.82 | 0.2715 | 0.5935 | no |
| LNC | 2023-09-11 | 21.93 | 0.2881 | 0.4568 | no |
| LRCX | 2023-09-11 | 65.58 | 0.4702 | 0.5566 | no |
| MCD | 2023-09-11 | 260.16 | 0.2584 | 0.4644 | no |
| MCHP | 2023-09-11 | 74.17 | 0.5690 | 0.5519 | no |
| MCO | 2023-09-11 | 333.04 | 0.2677 | 0.4820 | no |
| MHK | 2023-09-11 | 94.09 | 0.2625 | 0.4635 | no |
| MKTX | 2023-09-11 | 218.11 | 0.3508 | 0.4766 | no |
| MOS | 2023-09-11 | 34.48 | 0.3170 | 0.4530 | no |
| MSCI | 2023-09-11 | 516.00 | 0.2448 | 0.4788 | no |
| NDSN | 2023-09-11 | 224.82 | 0.2533 | 0.5137 | no |
| NEM | 2023-09-11 | 36.93 | 0.6098 | 0.4250 | no |
| NOC | 2023-09-11 | 402.67 | 0.4146 | 0.5573 | no |
| NWS | 2023-09-11 | 21.18 | 0.2394 | — | no |
| PAYC | 2023-09-11 | 279.30 | 0.2849 | 0.4459 | no |
| PFE | 2023-09-11 | 28.23 | 0.3103 | 0.5764 | no |
| REGN | 2023-09-11 | 816.77 | 0.4066 | 0.5339 | no |
| RL | 2023-09-11 | 112.29 | 0.2963 | 0.4620 | no |
| SCHW | 2023-09-11 | 57.47 | 0.3108 | 0.4529 | no |
| TGT | 2023-09-11 | 111.41 | 0.2861 | 0.5307 | no |
| TRV | 2023-09-11 | 152.15 | 0.2416 | 0.4679 | no |
| TT | 2023-09-11 | 201.28 | 0.2425 | 0.4898 | no |
| ULTA | 2023-09-11 | 416.63 | 0.3724 | 0.4737 | no |
| WEC | 2023-09-11 | 75.67 | 0.2956 | 0.4671 | no |
| WMT | 2023-09-11 | 52.97 | 0.3248 | 0.5448 | no |