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 | 6.17% | 6.62% | 2023-12-14 | -7.00% |
| buy & hold | participation factor overlay | 6 months | complete | 9.46% | 9.82% | 2024-03-13 | -7.00% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.81% | 8.71% | 2023-12-14 | -8.63% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.83% | 9.52% | 2024-03-13 | -8.63% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.85% | 6.73% | 2023-12-14 | -8.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.41% | 10.18% | 2024-03-13 | -8.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.61% | 8.59% | 2023-12-14 | -8.54% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.39% | 13.31% | 2024-03-13 | -8.54% |
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 |
|---|---|---|---|---|---|
| ABBV | 2023-09-18 | 138.01 | 0.3962 | 0.5569 | no |
| ADI | 2023-09-18 | 169.96 | 0.4339 | 0.5479 | no |
| ADM | 2023-09-18 | 72.08 | 0.3098 | 0.4969 | no |
| AFL | 2023-09-18 | 71.77 | 0.2326 | 0.4325 | no |
| AIG | 2023-09-18 | 57.32 | 0.2221 | 0.4609 | no |
| AIZ | 2023-09-18 | 132.46 | 0.2769 | 0.4568 | no |
| AKAM | 2023-09-18 | 103.92 | 0.2822 | 0.5226 | no |
| AMP | 2023-09-18 | 332.45 | 0.2082 | 0.4361 | no |
| ANET | 2023-09-18 | 45.75 | 0.2297 | 0.4612 | no |
| APTV | 2023-09-18 | 101.56 | 0.2544 | 0.4961 | no |
| BA | 2023-09-18 | 207.91 | 0.2864 | 0.5465 | no |
| BALL | 2023-09-18 | 49.39 | 0.2204 | 0.4627 | no |
| BBY | 2023-09-18 | 61.60 | 0.3362 | 0.5965 | no |
| CB | 2023-09-18 | 205.38 | 0.3119 | 0.4743 | no |
| CME | 2023-09-18 | 182.45 | 0.3046 | 0.5107 | no |
| DD | 2023-09-18 | 88.30 | 0.2145 | 0.4911 | no |
| DGX | 2023-09-18 | 119.23 | 0.3358 | 0.4866 | no |
| EMR | 2023-09-18 | 93.79 | 0.2273 | 0.4902 | no |
| ES | 2023-09-18 | 55.99 | 0.3049 | 0.4761 | no |
| FDX | 2023-09-18 | 192.57 | 0.2421 | 0.4881 | no |
| FFIV | 2023-09-18 | 158.50 | 0.2746 | 0.4556 | no |
| FTNT | 2023-09-18 | 60.83 | 0.2094 | 0.5266 | no |
| GM | 2023-09-18 | 32.75 | 0.2364 | 0.4896 | no |
| HAL | 2023-09-18 | 39.66 | 0.3436 | 0.4998 | no |
| HLT | 2023-09-18 | 152.89 | 0.2320 | 0.4214 | no |
| HPE | 2023-09-18 | 15.78 | 0.2036 | 0.4921 | no |
| HUM | 2023-09-18 | 457.73 | 0.2352 | 0.4694 | no |
| IFF | 2023-09-18 | 63.75 | 0.5454 | 0.4599 | no |
| ISRG | 2023-09-18 | 296.13 | 0.3379 | 0.4705 | no |
| KEYS | 2023-09-18 | 131.46 | 0.3513 | 0.4759 | no |
| LKQ | 2023-09-18 | 45.03 | 0.3407 | 0.5198 | no |
| MET | 2023-09-18 | 60.06 | 0.2071 | 0.4468 | no |
| MOS | 2023-09-18 | 35.20 | 0.2499 | 0.4530 | no |
| NEE | 2023-09-18 | 62.94 | 0.2149 | 0.4931 | no |
| NOC | 2023-09-18 | 414.61 | 0.2102 | 0.5571 | no |
| NSC | 2023-09-18 | 191.82 | 0.2094 | 0.5058 | no |
| OTIS | 2023-09-18 | 76.80 | 0.2687 | 0.4981 | no |
| RL | 2023-09-18 | 111.56 | 0.3307 | 0.4620 | no |
| ROL | 2023-09-18 | 35.60 | 0.2143 | 0.4499 | no |
| SYY | 2023-09-18 | 65.38 | 0.3697 | 0.5263 | no |
| TEL | 2023-09-18 | 120.73 | 0.2356 | — | no |
| TER | 2023-09-18 | 94.11 | 0.4561 | 0.5495 | no |
| TFX | 2023-09-18 | 207.22 | 0.3719 | 0.5002 | no |
| TRV | 2023-09-18 | 156.76 | 0.2497 | 0.4679 | no |
| TSLA | 2023-09-18 | 271.16 | 0.3364 | 0.4790 | no |
| UPS | 2023-09-18 | 134.69 | 0.2478 | 0.4915 | no |
| VRSK | 2023-09-18 | 239.63 | 0.2508 | 0.4758 | no |
| WEC | 2023-09-18 | 77.68 | 0.3128 | 0.4671 | no |
| WTW | 2023-09-18 | 197.42 | 0.2314 | 0.4759 | no |
| XEL | 2023-09-18 | 52.38 | 0.2075 | 0.4906 | no |