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 | 8.07% | 8.37% | 2023-12-14 | -5.75% |
| buy & hold | participation factor overlay | 6 months | complete | 13.31% | 14.00% | 2024-03-21 | -5.75% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.09% | 10.13% | 2023-12-14 | -6.15% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.24% | 12.14% | 2024-03-21 | -6.15% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.48% | 7.14% | 2023-12-14 | -7.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.60% | 10.32% | 2024-03-21 | -7.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.93% | 10.24% | 2023-12-19 | -7.10% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.57% | 14.43% | 2024-03-21 | -7.10% |
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 | 2023-09-25 | 137.44 | 0.5003 | 0.5568 | no |
| ADM | 2023-09-25 | 69.34 | 0.3268 | 0.4969 | no |
| ADP | 2023-09-25 | 223.23 | 0.3425 | 0.4260 | no |
| AEE | 2023-09-25 | 72.55 | 0.3144 | 0.4560 | no |
| AFL | 2023-09-25 | 71.40 | 0.3568 | 0.4349 | no |
| AKAM | 2023-09-25 | 107.29 | 0.3549 | 0.5239 | no |
| AMT | 2023-09-25 | 148.57 | 0.3368 | 0.4229 | no |
| AOS | 2023-09-25 | 60.76 | 0.4575 | 0.4715 | no |
| APA | 2023-09-25 | 35.88 | 0.4459 | 0.6345 | no |
| BEN | 2023-09-25 | 21.18 | 0.6308 | 0.4369 | no |
| BIO | 2023-09-25 | 351.61 | 0.3489 | 0.5101 | no |
| BMY | 2023-09-25 | 51.09 | 0.4182 | 0.5715 | no |
| CB | 2023-09-25 | 204.94 | 0.3831 | 0.4778 | no |
| COO | 2023-09-25 | 82.00 | 0.3301 | 0.4738 | no |
| CVX | 2023-09-25 | 146.72 | 0.3087 | 0.5277 | no |
| DGX | 2023-09-25 | 115.98 | 0.4704 | 0.4863 | no |
| DRI | 2023-09-25 | 129.33 | 0.4280 | 0.4300 | no |
| ED | 2023-09-25 | 81.31 | 0.4202 | — | no |
| EMN | 2023-09-25 | 66.74 | 0.4396 | 0.4751 | no |
| ES | 2023-09-25 | 54.67 | 0.4052 | 0.4761 | no |
| ISRG | 2023-09-25 | 286.40 | 0.2801 | 0.4702 | no |
| KEYS | 2023-09-25 | 130.20 | 0.3459 | 0.4761 | no |
| L | 2023-09-25 | 63.60 | 0.2846 | — | no |
| LEN | 2023-09-25 | 103.91 | 0.4223 | 0.4511 | no |
| LNC | 2023-09-25 | 20.71 | 0.3150 | 0.4583 | no |
| MAS | 2023-09-25 | 50.01 | 0.3039 | 0.4625 | no |
| MCD | 2023-09-25 | 251.56 | 0.2965 | 0.4648 | no |
| MHK | 2023-09-25 | 86.25 | 0.4577 | 0.4616 | no |
| MOS | 2023-09-25 | 32.41 | 0.3245 | 0.4522 | no |
| NEM | 2023-09-25 | 38.33 | 0.4281 | 0.4239 | no |
| NSC | 2023-09-25 | 188.91 | 0.6036 | 0.5035 | no |
| OTIS | 2023-09-25 | 76.13 | 0.3925 | 0.4984 | no |
| PGR | 2023-09-25 | 130.57 | 0.3926 | 0.4651 | no |
| PNW | 2023-09-25 | 67.76 | 0.3575 | 0.4480 | no |
| PPL | 2023-09-25 | 22.61 | 0.4047 | 0.4724 | no |
| ROL | 2023-09-25 | 35.76 | 0.2880 | 0.4499 | no |
| SBUX | 2023-09-25 | 86.14 | 0.3525 | 0.4623 | no |
| SWK | 2023-09-25 | 73.75 | 0.4896 | 0.4966 | no |
| SYK | 2023-09-25 | 276.63 | 0.3073 | 0.4776 | no |
| SYY | 2023-09-25 | 62.80 | 0.3150 | 0.5268 | no |
| TECH | 2023-09-25 | 67.93 | 0.4732 | 0.4278 | no |
| TER | 2023-09-25 | 93.98 | 0.3123 | 0.5498 | no |
| TROW | 2023-09-25 | 90.59 | 0.2735 | 0.4216 | no |
| VLO | 2023-09-25 | 133.77 | 0.3169 | 0.5355 | no |
| WDC | 2023-09-25 | 33.69 | 0.6493 | 0.5398 | no |
| WEC | 2023-09-25 | 76.35 | 0.3781 | 0.4671 | no |
| WRB | 2023-09-25 | 40.18 | 0.2774 | 0.4715 | no |
| WTW | 2023-09-25 | 204.02 | 0.3244 | 0.4791 | no |
| XEL | 2023-09-25 | 53.53 | 0.3563 | 0.4906 | no |
| YUM | 2023-09-25 | 117.49 | 0.3010 | 0.4476 | no |