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 | 8.92% | 9.14% | 2023-12-19 | -7.06% |
| buy & hold | participation factor overlay | 6 months | complete | 14.24% | 14.93% | 2024-03-21 | -7.06% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.74% | 12.27% | 2023-12-14 | -7.35% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 14.41% | 15.49% | 2024-03-21 | -7.35% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.87% | 9.15% | 2023-12-19 | -6.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.62% | 14.60% | 2024-03-21 | -6.95% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.52% | 11.91% | 2023-12-19 | -6.31% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.89% | 18.14% | 2024-03-21 | -6.31% |
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 | 0.3868 | 0.5568 | no |
| ADP | 2023-09-25 | 223.23 | 0.2646 | 0.4260 | no |
| AEE | 2023-09-25 | 72.55 | 0.2854 | 0.4560 | no |
| AFL | 2023-09-25 | 71.40 | 0.4160 | 0.4349 | no |
| AKAM | 2023-09-25 | 107.29 | 0.3161 | 0.5239 | no |
| ALB | 2023-09-25 | 158.72 | 0.4656 | 0.4996 | no |
| AOS | 2023-09-25 | 60.76 | 0.5938 | 0.4715 | no |
| APA | 2023-09-25 | 35.88 | 0.3756 | 0.6345 | no |
| AVY | 2023-09-25 | 170.69 | 0.2888 | 0.4663 | no |
| BA | 2023-09-25 | 196.84 | 0.3439 | 0.5448 | no |
| BALL | 2023-09-25 | 47.46 | 0.2600 | 0.4622 | no |
| BBY | 2023-09-25 | 59.62 | 0.3668 | 0.5960 | no |
| BEN | 2023-09-25 | 21.18 | 0.4822 | 0.4369 | no |
| BIO | 2023-09-25 | 351.61 | 0.3675 | 0.5101 | no |
| BMY | 2023-09-25 | 51.09 | 0.3630 | 0.5715 | no |
| CB | 2023-09-25 | 204.94 | 0.3457 | 0.4778 | no |
| DGX | 2023-09-25 | 115.98 | 0.3196 | 0.4863 | no |
| ED | 2023-09-25 | 81.31 | 0.3178 | — | no |
| EMN | 2023-09-25 | 66.74 | 0.3732 | 0.4751 | no |
| ES | 2023-09-25 | 54.67 | 0.2895 | 0.4761 | no |
| ETN | 2023-09-25 | 204.86 | 0.4552 | 0.4985 | no |
| FFIV | 2023-09-25 | 158.06 | 0.2948 | 0.4557 | no |
| FTV | 2023-09-25 | 55.14 | 0.2503 | 0.4854 | no |
| HRL | 2023-09-25 | 34.25 | 0.3270 | 0.4839 | no |
| KEYS | 2023-09-25 | 130.20 | 0.3203 | 0.4761 | no |
| L | 2023-09-25 | 63.60 | 0.3183 | — | no |
| LEN | 2023-09-25 | 103.91 | 0.4673 | 0.4511 | no |
| MAS | 2023-09-25 | 50.01 | 0.3666 | 0.4625 | no |
| MHK | 2023-09-25 | 86.25 | 0.3446 | 0.4616 | no |
| MOS | 2023-09-25 | 32.41 | 0.5590 | 0.4522 | no |
| NEE | 2023-09-25 | 61.49 | 0.2822 | 0.4931 | no |
| NEM | 2023-09-25 | 38.33 | 0.2950 | 0.4239 | no |
| NSC | 2023-09-25 | 188.91 | 0.3893 | 0.5035 | no |
| NVR | 2023-09-25 | 5948.00 | 0.2992 | — | no |
| OTIS | 2023-09-25 | 76.13 | 0.2510 | 0.4984 | no |
| PGR | 2023-09-25 | 130.57 | 0.4468 | 0.4651 | no |
| PODD | 2023-09-25 | 155.01 | 0.4463 | 0.4691 | no |
| PPG | 2023-09-25 | 120.59 | 0.3550 | 0.4798 | no |
| PPL | 2023-09-25 | 22.61 | 0.3575 | 0.4724 | no |
| RJF | 2023-09-25 | 96.30 | 0.2592 | 0.4428 | no |
| SBUX | 2023-09-25 | 86.14 | 0.3400 | 0.4623 | no |
| SYK | 2023-09-25 | 276.63 | 0.3043 | 0.4776 | no |
| TECH | 2023-09-25 | 67.93 | 0.5044 | 0.4278 | no |
| TER | 2023-09-25 | 93.98 | 0.3300 | 0.5498 | no |
| TRV | 2023-09-25 | 158.13 | 0.3615 | 0.4709 | no |
| TT | 2023-09-25 | 193.88 | 0.2938 | 0.4901 | no |
| UPS | 2023-09-25 | 128.81 | 0.3693 | 0.4899 | no |
| WDC | 2023-09-25 | 33.69 | 0.7530 | 0.5398 | no |
| WEC | 2023-09-25 | 76.35 | 0.3509 | 0.4671 | no |
| WTW | 2023-09-25 | 204.02 | 0.4220 | 0.4791 | no |