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 | 5.72% | 6.36% | 2023-12-14 | -8.45% |
| buy & hold | participation factor overlay | 6 months | complete | 10.22% | 10.96% | 2024-03-07 | -8.45% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.72% | 8.84% | 2023-12-14 | -9.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 10.31% | 11.18% | 2024-03-07 | -9.72% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.75% | 7.74% | 2023-12-14 | -7.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.74% | 14.17% | 2024-03-13 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.83% | 7.77% | 2023-12-14 | -8.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 18.08% | 18.63% | 2024-03-13 | -8.66% |
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 | 0.4275 | 0.5569 | no |
| ADI | 2023-09-18 | 169.96 | 0.2444 | 0.5479 | no |
| ADM | 2023-09-18 | 72.08 | 0.2282 | 0.4969 | no |
| ADP | 2023-09-18 | 229.09 | 0.2181 | 0.4258 | no |
| AFL | 2023-09-18 | 71.77 | 0.3300 | 0.4325 | no |
| AIG | 2023-09-18 | 57.32 | 0.3653 | 0.4609 | no |
| AIZ | 2023-09-18 | 132.46 | 0.2402 | 0.4568 | no |
| AMP | 2023-09-18 | 332.45 | 0.3042 | 0.4361 | no |
| BA | 2023-09-18 | 207.91 | 0.5281 | 0.5465 | no |
| BBY | 2023-09-18 | 61.60 | 0.3517 | 0.5965 | no |
| BEN | 2023-09-18 | 22.29 | 0.2748 | 0.4335 | no |
| BMY | 2023-09-18 | 51.27 | 0.2222 | 0.5716 | no |
| CB | 2023-09-18 | 205.38 | 0.3746 | 0.4743 | no |
| CME | 2023-09-18 | 182.45 | 0.2871 | 0.5107 | no |
| DGX | 2023-09-18 | 119.23 | 0.5439 | 0.4866 | no |
| ES | 2023-09-18 | 55.99 | 0.3171 | 0.4761 | no |
| F | 2023-09-18 | 10.35 | 0.2730 | 0.4789 | no |
| FE | 2023-09-18 | 32.69 | 0.3682 | 0.4708 | no |
| HAL | 2023-09-18 | 39.66 | 0.2748 | 0.4998 | no |
| HD | 2023-09-18 | 296.43 | 0.2110 | 0.5528 | no |
| IEX | 2023-09-18 | 205.67 | 0.2506 | 0.5123 | no |
| IFF | 2023-09-18 | 63.75 | 0.3631 | 0.4599 | no |
| IR | 2023-09-18 | 65.69 | 0.2241 | 0.5146 | no |
| ISRG | 2023-09-18 | 296.13 | 0.2694 | 0.4705 | no |
| KEYS | 2023-09-18 | 131.46 | 0.3114 | 0.4759 | no |
| L | 2023-09-18 | 63.86 | 0.2502 | — | no |
| LDOS | 2023-09-18 | 91.22 | 0.3081 | 0.5574 | no |
| LKQ | 2023-09-18 | 45.03 | 0.3178 | 0.5198 | no |
| LRCX | 2023-09-18 | 60.61 | 0.2951 | 0.5566 | no |
| MCD | 2023-09-18 | 259.26 | 0.2298 | 0.4641 | no |
| MET | 2023-09-18 | 60.06 | 0.2129 | 0.4468 | no |
| MOS | 2023-09-18 | 35.20 | 0.3330 | 0.4530 | no |
| NEE | 2023-09-18 | 62.94 | 0.2826 | 0.4931 | no |
| OTIS | 2023-09-18 | 76.80 | 0.4698 | 0.4981 | no |
| PEG | 2023-09-18 | 55.72 | 0.2820 | 0.4746 | no |
| PH | 2023-09-18 | 380.85 | 0.3015 | 0.4995 | no |
| ROP | 2023-09-18 | 486.72 | 0.2718 | 0.4933 | no |
| SCHW | 2023-09-18 | 55.64 | 0.2567 | 0.4536 | no |
| STE | 2023-09-18 | 222.86 | 0.3729 | 0.4584 | no |
| SYY | 2023-09-18 | 65.38 | 0.4379 | 0.5263 | no |
| TEL | 2023-09-18 | 120.73 | 0.2416 | — | no |
| TER | 2023-09-18 | 94.11 | 0.2789 | 0.5495 | no |
| TFX | 2023-09-18 | 207.22 | 0.3756 | 0.5002 | no |
| TRV | 2023-09-18 | 156.76 | 0.3468 | 0.4679 | no |
| TSLA | 2023-09-18 | 271.16 | 0.3959 | 0.4790 | no |
| TT | 2023-09-18 | 196.87 | 0.2589 | 0.4897 | no |
| VRSK | 2023-09-18 | 239.63 | 0.3568 | 0.4758 | no |
| WDC | 2023-09-18 | 32.81 | 0.2111 | 0.5395 | no |
| WEC | 2023-09-18 | 77.68 | 0.4111 | 0.4671 | no |
| XRAY | 2023-09-18 | 32.64 | 0.2372 | 0.5243 | no |