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 | 2.59% | 2.59% | 2023-12-11 | -10.99% |
| buy & hold | participation factor overlay | 6 months | complete | 11.22% | 12.06% | 2024-03-07 | -10.99% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.94% | 2.94% | 2023-12-11 | -11.76% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.60% | 9.85% | 2024-03-07 | -11.76% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.38% | 1.38% | 2023-12-11 | -9.65% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.09% | 11.72% | 2024-03-07 | -9.65% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.60% | 1.60% | 2023-12-11 | -10.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.30% | 16.67% | 2024-03-07 | -10.03% |
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 | 0.5639 | 0.5552 | no |
| ADI | 2023-09-11 | 171.33 | 0.5560 | 0.5479 | no |
| ADM | 2023-09-11 | 71.56 | 0.3565 | 0.4969 | no |
| AKAM | 2023-09-11 | 105.87 | 0.3422 | 0.5226 | no |
| ALB | 2023-09-11 | 177.33 | 0.2793 | 0.5021 | no |
| AMP | 2023-09-11 | 334.58 | 0.2758 | 0.4355 | no |
| ANET | 2023-09-11 | 49.60 | 0.4110 | 0.4612 | no |
| APTV | 2023-09-11 | 102.13 | 0.3022 | 0.4961 | no |
| AVGO | 2023-09-11 | 83.80 | 0.2756 | 0.5266 | no |
| BA | 2023-09-11 | 213.76 | 0.3631 | 0.5467 | no |
| BBY | 2023-09-11 | 62.94 | 0.4868 | 0.5965 | no |
| BEN | 2023-09-11 | 22.29 | 0.3158 | 0.4326 | no |
| CARR | 2023-09-11 | 56.69 | 0.3020 | 0.4872 | no |
| CPB | 2023-09-11 | 36.85 | 0.2577 | 0.4577 | no |
| DLTR | 2023-09-11 | 116.53 | 0.3771 | 0.5700 | no |
| EL | 2023-09-11 | 147.09 | 0.4239 | 0.4737 | no |
| FE | 2023-09-11 | 31.47 | 0.3105 | 0.4708 | no |
| FTNT | 2023-09-11 | 64.82 | 0.2986 | 0.5266 | no |
| GEN | 2023-09-11 | 18.88 | 0.2692 | 0.4550 | no |
| GM | 2023-09-11 | 32.10 | 0.3018 | 0.4896 | no |
| GNRC | 2023-09-11 | 115.71 | 0.4808 | 0.4492 | no |
| HCA | 2023-09-11 | 266.99 | 0.3117 | 0.4776 | no |
| HD | 2023-09-11 | 304.89 | 0.2695 | 0.5528 | no |
| IFF | 2023-09-11 | 64.82 | 0.2879 | 0.4600 | no |
| IR | 2023-09-11 | 69.62 | 0.3593 | 0.5146 | no |
| ISRG | 2023-09-11 | 300.00 | 0.3942 | 0.4705 | no |
| KEYS | 2023-09-11 | 133.15 | 0.2835 | 0.4759 | no |
| LNC | 2023-09-11 | 21.93 | 0.2761 | 0.4568 | no |
| LOW | 2023-09-11 | 219.14 | 0.2639 | 0.5323 | no |
| LRCX | 2023-09-11 | 65.58 | 0.4992 | 0.5566 | no |
| MCHP | 2023-09-11 | 74.17 | 0.5166 | 0.5519 | no |
| MCK | 2023-09-11 | 415.20 | 0.2559 | 0.4750 | no |
| MCO | 2023-09-11 | 333.04 | 0.2613 | 0.4820 | no |
| MKTX | 2023-09-11 | 218.11 | 0.3529 | 0.4766 | no |
| MOS | 2023-09-11 | 34.48 | 0.2860 | 0.4530 | no |
| MSCI | 2023-09-11 | 516.00 | 0.4121 | 0.4788 | no |
| NEM | 2023-09-11 | 36.93 | 0.5383 | 0.4250 | no |
| NOC | 2023-09-11 | 402.67 | 0.3965 | 0.5573 | no |
| NWS | 2023-09-11 | 21.18 | 0.3545 | — | no |
| OTIS | 2023-09-11 | 78.75 | 0.3273 | 0.4982 | no |
| PAYC | 2023-09-11 | 279.30 | 0.3171 | 0.4459 | no |
| QRVO | 2023-09-11 | 100.48 | 0.2592 | — | no |
| REGN | 2023-09-11 | 816.77 | 0.3180 | 0.5339 | no |
| RL | 2023-09-11 | 112.29 | 0.2915 | 0.4620 | no |
| SCHW | 2023-09-11 | 57.47 | 0.3526 | 0.4529 | no |
| SYY | 2023-09-11 | 64.43 | 0.3103 | 0.5263 | no |
| TGT | 2023-09-11 | 111.41 | 0.3594 | 0.5307 | no |
| TT | 2023-09-11 | 201.28 | 0.2664 | 0.4898 | no |
| ULTA | 2023-09-11 | 416.63 | 0.3504 | 0.4737 | no |
| ZBH | 2023-09-11 | 117.88 | 0.3879 | 0.4717 | no |