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 | 6.71% | 7.62% | 2023-12-14 | -7.25% |
| buy & hold | participation factor overlay | 6 months | complete | 11.74% | 12.19% | 2024-03-13 | -7.25% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.64% | 7.82% | 2023-12-14 | -8.50% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.37% | 9.92% | 2024-03-13 | -8.50% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.62% | 4.62% | 2023-12-14 | -9.72% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.64% | 6.15% | 2024-03-13 | -9.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.03% | 7.01% | 2023-12-14 | -9.43% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.34% | 10.12% | 2024-03-13 | -9.43% |
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 | 2023-09-18 | 56.00 | 0.2810 | 0.5552 | no |
| ABBV | 2023-09-18 | 138.01 | 0.4534 | 0.5569 | no |
| ADI | 2023-09-18 | 169.96 | 0.3585 | 0.5479 | no |
| ADM | 2023-09-18 | 72.08 | 0.3834 | 0.4969 | no |
| AFL | 2023-09-18 | 71.77 | 0.3341 | 0.4325 | no |
| AIG | 2023-09-18 | 57.32 | 0.3188 | 0.4609 | no |
| AKAM | 2023-09-18 | 103.92 | 0.2496 | 0.5226 | no |
| AMD | 2023-09-18 | 100.82 | 0.2379 | 0.5278 | no |
| AOS | 2023-09-18 | 63.12 | 0.2608 | 0.4715 | no |
| BA | 2023-09-18 | 207.91 | 0.2702 | 0.5465 | no |
| BBY | 2023-09-18 | 61.60 | 0.2982 | 0.5965 | no |
| BEN | 2023-09-18 | 22.29 | 0.3482 | 0.4335 | no |
| BRK.B | 2023-09-18 | 369.33 | 0.2396 | — | no |
| CB | 2023-09-18 | 205.38 | 0.4347 | 0.4743 | no |
| CME | 2023-09-18 | 182.45 | 0.3859 | 0.5107 | no |
| CPB | 2023-09-18 | 37.55 | 0.2618 | 0.4546 | no |
| DGX | 2023-09-18 | 119.23 | 0.3866 | 0.4866 | no |
| DHI | 2023-09-18 | 108.93 | 0.2397 | 0.4696 | no |
| DTE | 2023-09-18 | 97.23 | 0.3450 | 0.4460 | no |
| ED | 2023-09-18 | 82.50 | 0.2685 | — | no |
| ES | 2023-09-18 | 55.99 | 0.2432 | 0.4761 | no |
| F | 2023-09-18 | 10.35 | 0.3206 | 0.4789 | no |
| FTNT | 2023-09-18 | 60.83 | 0.2410 | 0.5266 | no |
| HAL | 2023-09-18 | 39.66 | 0.2955 | 0.4998 | no |
| HUM | 2023-09-18 | 457.73 | 0.2846 | 0.4694 | no |
| IEX | 2023-09-18 | 205.67 | 0.2333 | 0.5123 | no |
| IFF | 2023-09-18 | 63.75 | 0.3288 | 0.4599 | no |
| IR | 2023-09-18 | 65.69 | 0.3478 | 0.5146 | no |
| ISRG | 2023-09-18 | 296.13 | 0.3798 | 0.4705 | no |
| KEYS | 2023-09-18 | 131.46 | 0.5547 | 0.4759 | no |
| L | 2023-09-18 | 63.86 | 0.2482 | — | no |
| LDOS | 2023-09-18 | 91.22 | 0.3153 | 0.5574 | no |
| LEN | 2023-09-18 | 106.09 | 0.2540 | 0.4538 | no |
| LKQ | 2023-09-18 | 45.03 | 0.2539 | 0.5198 | no |
| MHK | 2023-09-18 | 93.55 | 0.2795 | 0.4635 | no |
| MOS | 2023-09-18 | 35.20 | 0.4148 | 0.4530 | no |
| NEE | 2023-09-18 | 62.94 | 0.3110 | 0.4931 | no |
| NSC | 2023-09-18 | 191.82 | 0.3817 | 0.5058 | no |
| OTIS | 2023-09-18 | 76.80 | 0.2568 | 0.4981 | no |
| PEG | 2023-09-18 | 55.72 | 0.2666 | 0.4746 | no |
| RL | 2023-09-18 | 111.56 | 0.2568 | 0.4620 | no |
| ROL | 2023-09-18 | 35.60 | 0.3172 | 0.4499 | no |
| STE | 2023-09-18 | 222.86 | 0.3265 | 0.4584 | no |
| SYY | 2023-09-18 | 65.38 | 0.2735 | 0.5263 | no |
| TFX | 2023-09-18 | 207.22 | 0.4256 | 0.5002 | no |
| TSLA | 2023-09-18 | 271.16 | 0.2727 | 0.4790 | no |
| VRSK | 2023-09-18 | 239.63 | 0.3000 | 0.4758 | no |
| WEC | 2023-09-18 | 77.68 | 0.4168 | 0.4671 | no |
| WTW | 2023-09-18 | 197.42 | 0.2756 | 0.4759 | no |
| XEL | 2023-09-18 | 52.38 | 0.3695 | 0.4906 | no |