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 | 2.78% | 2.78% | 2023-12-11 | -9.98% |
| buy & hold | participation factor overlay | 6 months | complete | 11.27% | 11.52% | 2024-03-07 | -9.98% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.89% | 2.89% | 2023-12-11 | -10.89% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.65% | 10.74% | 2024-03-07 | -10.89% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.66% | 0.66% | 2023-12-11 | -9.53% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.19% | 8.57% | 2024-03-07 | -9.53% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.51% | 0.51% | 2023-12-11 | -10.30% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.43% | 8.55% | 2024-03-08 | -10.30% |
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 | 0.5623 | 0.5552 | no |
| ABBV | 2023-09-11 | 134.21 | 0.2855 | 0.5569 | no |
| ADI | 2023-09-11 | 171.33 | 0.5819 | 0.5479 | no |
| ADM | 2023-09-11 | 71.56 | 0.3167 | 0.4969 | no |
| AKAM | 2023-09-11 | 105.87 | 0.4549 | 0.5226 | no |
| ALB | 2023-09-11 | 177.33 | 0.3052 | 0.5021 | no |
| ALL | 2023-09-11 | 100.69 | 0.2841 | 0.4630 | no |
| AMP | 2023-09-11 | 334.58 | 0.2782 | 0.4355 | no |
| ANET | 2023-09-11 | 49.60 | 0.4933 | 0.4612 | no |
| AWK | 2023-09-11 | 127.74 | 0.3434 | 0.4421 | no |
| BBY | 2023-09-11 | 62.94 | 0.4235 | 0.5965 | no |
| BEN | 2023-09-11 | 22.29 | 0.3054 | 0.4326 | no |
| BKR | 2023-09-11 | 35.06 | 0.2699 | 0.4990 | no |
| BMY | 2023-09-11 | 52.75 | 0.2959 | 0.5716 | no |
| CMG | 2023-09-11 | 39.07 | 0.3029 | 0.4479 | no |
| DGX | 2023-09-11 | 119.65 | 0.3670 | 0.4866 | no |
| EL | 2023-09-11 | 147.09 | 0.2992 | 0.4737 | no |
| FCX | 2023-09-11 | 38.85 | 0.2989 | 0.5934 | no |
| FE | 2023-09-11 | 31.47 | 0.3642 | 0.4708 | no |
| FTNT | 2023-09-11 | 64.82 | 0.3451 | 0.5266 | no |
| GM | 2023-09-11 | 32.10 | 0.2786 | 0.4896 | no |
| GNRC | 2023-09-11 | 115.71 | 0.5523 | 0.4492 | no |
| HAL | 2023-09-11 | 38.89 | 0.4423 | 0.4998 | no |
| HLT | 2023-09-11 | 153.86 | 0.3387 | 0.4217 | no |
| IFF | 2023-09-11 | 64.82 | 0.5460 | 0.4600 | no |
| IR | 2023-09-11 | 69.62 | 0.3697 | 0.5146 | no |
| ISRG | 2023-09-11 | 300.00 | 0.3976 | 0.4705 | no |
| KEYS | 2023-09-11 | 133.15 | 0.2816 | 0.4759 | no |
| LEN | 2023-09-11 | 109.48 | 0.3030 | 0.4357 | no |
| LRCX | 2023-09-11 | 65.58 | 0.5096 | 0.5566 | no |
| MCHP | 2023-09-11 | 74.17 | 0.4924 | 0.5519 | no |
| MCO | 2023-09-11 | 333.04 | 0.2796 | 0.4820 | no |
| MGM | 2023-09-11 | 44.21 | 0.3234 | 0.4514 | no |
| MHK | 2023-09-11 | 94.09 | 0.3060 | 0.4635 | no |
| MKTX | 2023-09-11 | 218.11 | 0.2759 | 0.4766 | no |
| NDSN | 2023-09-11 | 224.82 | 0.3012 | 0.5137 | no |
| NEM | 2023-09-11 | 36.93 | 0.4108 | 0.4250 | no |
| NOC | 2023-09-11 | 402.67 | 0.3339 | 0.5573 | no |
| ODFL | 2023-09-11 | 208.44 | 0.2962 | 0.4940 | no |
| PFE | 2023-09-11 | 28.23 | 0.3100 | 0.5764 | no |
| PPL | 2023-09-11 | 22.38 | 0.3593 | 0.4724 | no |
| PRU | 2023-09-11 | 82.67 | 0.2823 | 0.4687 | no |
| REGN | 2023-09-11 | 816.77 | 0.3739 | 0.5339 | no |
| RJF | 2023-09-11 | 102.63 | 0.2918 | 0.4481 | no |
| SCHW | 2023-09-11 | 57.47 | 0.6036 | 0.4529 | no |
| SYY | 2023-09-11 | 64.43 | 0.2858 | 0.5263 | no |
| TGT | 2023-09-11 | 111.41 | 0.2755 | 0.5307 | no |
| TT | 2023-09-11 | 201.28 | 0.3607 | 0.4898 | no |
| ULTA | 2023-09-11 | 416.63 | 0.3260 | 0.4737 | no |
| UPS | 2023-09-11 | 136.12 | 0.2729 | 0.4917 | no |