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 | 6.37% | 6.87% | 2023-12-14 | -7.78% |
| buy & hold | participation factor overlay | 6 months | complete | 10.46% | 10.81% | 2024-03-13 | -7.78% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.66% | 8.62% | 2023-12-14 | -8.54% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.35% | 10.02% | 2024-03-13 | -8.54% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.93% | 5.91% | 2023-12-14 | -8.43% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.62% | 10.30% | 2024-03-13 | -8.43% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.98% | 6.01% | 2023-12-14 | -9.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.06% | 10.04% | 2024-03-13 | -9.34% |
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 | 0.4360 | 0.5569 | no |
| ADI | 2023-09-18 | 169.96 | 0.2857 | 0.5479 | no |
| ADM | 2023-09-18 | 72.08 | 0.3499 | 0.4969 | no |
| AFL | 2023-09-18 | 71.77 | 0.2827 | 0.4325 | no |
| AIG | 2023-09-18 | 57.32 | 0.2943 | 0.4609 | no |
| AKAM | 2023-09-18 | 103.92 | 0.4082 | 0.5226 | no |
| AMP | 2023-09-18 | 332.45 | 0.2435 | 0.4361 | no |
| BA | 2023-09-18 | 207.91 | 0.2980 | 0.5465 | no |
| BBWI | 2023-09-18 | 32.98 | 0.2593 | 0.4212 | no |
| BBY | 2023-09-18 | 61.60 | 0.3544 | 0.5965 | no |
| BEN | 2023-09-18 | 22.29 | 0.2963 | 0.4335 | no |
| BRK.B | 2023-09-18 | 369.33 | 0.2593 | — | no |
| CB | 2023-09-18 | 205.38 | 0.2940 | 0.4743 | no |
| CME | 2023-09-18 | 182.45 | 0.3585 | 0.5107 | no |
| COST | 2023-09-18 | 536.43 | 0.3064 | 0.5840 | no |
| CTVA | 2023-09-18 | 50.79 | 0.2519 | 0.4885 | no |
| D | 2023-09-18 | 42.17 | 0.2618 | 0.4771 | no |
| DGX | 2023-09-18 | 119.23 | 0.4392 | 0.4866 | no |
| ED | 2023-09-18 | 82.50 | 0.2924 | — | no |
| F | 2023-09-18 | 10.35 | 0.4130 | 0.4789 | no |
| FTNT | 2023-09-18 | 60.83 | 0.3427 | 0.5266 | no |
| GM | 2023-09-18 | 32.75 | 0.2553 | 0.4896 | no |
| HAL | 2023-09-18 | 39.66 | 0.3857 | 0.4998 | no |
| HUM | 2023-09-18 | 457.73 | 0.2935 | 0.4694 | no |
| IFF | 2023-09-18 | 63.75 | 0.4630 | 0.4599 | no |
| ISRG | 2023-09-18 | 296.13 | 0.3211 | 0.4705 | no |
| J | 2023-09-18 | 106.86 | 0.2658 | 0.5316 | no |
| KEYS | 2023-09-18 | 131.46 | 0.3489 | 0.4759 | no |
| L | 2023-09-18 | 63.86 | 0.2864 | — | no |
| LKQ | 2023-09-18 | 45.03 | 0.3284 | 0.5198 | no |
| LNC | 2023-09-18 | 21.87 | 0.2901 | 0.4568 | no |
| LRCX | 2023-09-18 | 60.61 | 0.3264 | 0.5566 | no |
| MET | 2023-09-18 | 60.06 | 0.2753 | 0.4468 | no |
| MOS | 2023-09-18 | 35.20 | 0.3021 | 0.4530 | no |
| NEE | 2023-09-18 | 62.94 | 0.3351 | 0.4931 | no |
| NEM | 2023-09-18 | 38.07 | 0.2970 | 0.4250 | no |
| OTIS | 2023-09-18 | 76.80 | 0.2933 | 0.4981 | no |
| PPG | 2023-09-18 | 124.49 | 0.2548 | 0.4798 | no |
| RJF | 2023-09-18 | 102.76 | 0.3241 | 0.4483 | no |
| RL | 2023-09-18 | 111.56 | 0.4689 | 0.4620 | no |
| ROL | 2023-09-18 | 35.60 | 0.3028 | 0.4499 | no |
| ROP | 2023-09-18 | 486.72 | 0.2465 | 0.4933 | no |
| SCHW | 2023-09-18 | 55.64 | 0.3823 | 0.4536 | no |
| SYY | 2023-09-18 | 65.38 | 0.3082 | 0.5263 | no |
| TEL | 2023-09-18 | 120.73 | 0.2861 | — | no |
| TFX | 2023-09-18 | 207.22 | 0.6256 | 0.5002 | no |
| TRV | 2023-09-18 | 156.76 | 0.2707 | 0.4679 | no |
| ULTA | 2023-09-18 | 411.01 | 0.2492 | 0.4737 | no |
| WEC | 2023-09-18 | 77.68 | 0.3574 | 0.4671 | no |
| XEL | 2023-09-18 | 52.38 | 0.5020 | 0.4906 | no |