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 | 8.31% | 8.31% | 2023-12-22 | -6.71% |
| buy & hold | participation factor overlay | 6 months | complete | 13.81% | 14.49% | 2024-03-21 | -6.71% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.41% | 11.32% | 2023-12-14 | -7.51% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 15.30% | 16.30% | 2024-03-21 | -7.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.25% | 8.56% | 2023-12-19 | -6.61% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.49% | 14.43% | 2024-03-21 | -6.61% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.17% | 9.49% | 2023-12-19 | -7.10% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.79% | 14.34% | 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 |
|---|---|---|---|---|---|
| AAP | 2023-09-25 | 53.98 | 0.4302 | 0.5551 | no |
| ABBV | 2023-09-25 | 137.44 | 0.3796 | 0.5568 | no |
| ADM | 2023-09-25 | 69.34 | 0.3161 | 0.4969 | no |
| ADP | 2023-09-25 | 223.23 | 0.3399 | 0.4260 | no |
| AFL | 2023-09-25 | 71.40 | 0.4383 | 0.4349 | no |
| AKAM | 2023-09-25 | 107.29 | 0.4962 | 0.5239 | no |
| ALB | 2023-09-25 | 158.72 | 0.2977 | 0.4996 | no |
| AOS | 2023-09-25 | 60.76 | 0.4732 | 0.4715 | no |
| APA | 2023-09-25 | 35.88 | 0.5216 | 0.6345 | no |
| BBY | 2023-09-25 | 59.62 | 0.3727 | 0.5960 | no |
| BEN | 2023-09-25 | 21.18 | 0.6944 | 0.4369 | no |
| BIO | 2023-09-25 | 351.61 | 0.3287 | 0.5101 | no |
| BMY | 2023-09-25 | 51.09 | 0.4185 | 0.5715 | no |
| CB | 2023-09-25 | 204.94 | 0.4049 | 0.4778 | no |
| CHRW | 2023-09-25 | 80.21 | 0.2761 | 0.5110 | no |
| CME | 2023-09-25 | 177.32 | 0.2533 | 0.5101 | no |
| DGX | 2023-09-25 | 115.98 | 0.2733 | 0.4863 | no |
| DRI | 2023-09-25 | 129.33 | 0.3264 | 0.4300 | no |
| ED | 2023-09-25 | 81.31 | 0.3117 | — | no |
| EMN | 2023-09-25 | 66.74 | 0.3961 | 0.4751 | no |
| ES | 2023-09-25 | 54.67 | 0.3103 | 0.4761 | no |
| ETN | 2023-09-25 | 204.86 | 0.4323 | 0.4985 | no |
| FCX | 2023-09-25 | 35.35 | 0.3408 | 0.5867 | no |
| HRL | 2023-09-25 | 34.25 | 0.4381 | 0.4839 | no |
| IFF | 2023-09-25 | 63.29 | 0.2809 | 0.4572 | no |
| INCY | 2023-09-25 | 58.05 | 0.2836 | 0.5209 | no |
| L | 2023-09-25 | 63.60 | 0.2656 | — | no |
| LEN | 2023-09-25 | 103.91 | 0.3354 | 0.4511 | no |
| LNC | 2023-09-25 | 20.71 | 0.4585 | 0.4583 | no |
| MHK | 2023-09-25 | 86.25 | 0.4295 | 0.4616 | no |
| MOS | 2023-09-25 | 32.41 | 0.3581 | 0.4522 | no |
| MRNA | 2023-09-25 | 99.52 | 0.2686 | 0.4790 | no |
| NEM | 2023-09-25 | 38.33 | 0.4069 | 0.4239 | no |
| NSC | 2023-09-25 | 188.91 | 0.5114 | 0.5035 | no |
| OTIS | 2023-09-25 | 76.13 | 0.4174 | 0.4984 | no |
| PGR | 2023-09-25 | 130.57 | 0.3955 | 0.4651 | no |
| PODD | 2023-09-25 | 155.01 | 0.3600 | 0.4691 | no |
| PPG | 2023-09-25 | 120.59 | 0.3196 | 0.4798 | no |
| PPL | 2023-09-25 | 22.61 | 0.3186 | 0.4724 | no |
| RL | 2023-09-25 | 106.52 | 0.2935 | 0.4620 | no |
| SYK | 2023-09-25 | 276.63 | 0.3513 | 0.4776 | no |
| SYY | 2023-09-25 | 62.80 | 0.2683 | 0.5268 | no |
| TEL | 2023-09-25 | 117.02 | 0.3310 | — | no |
| TER | 2023-09-25 | 93.98 | 0.3739 | 0.5498 | no |
| TRV | 2023-09-25 | 158.13 | 0.3399 | 0.4709 | no |
| UPS | 2023-09-25 | 128.81 | 0.2629 | 0.4899 | no |
| WDC | 2023-09-25 | 33.69 | 0.4949 | 0.5398 | no |
| WEC | 2023-09-25 | 76.35 | 0.4073 | 0.4671 | no |
| WTW | 2023-09-25 | 204.02 | 0.4478 | 0.4791 | no |
| XEL | 2023-09-25 | 53.53 | 0.2730 | 0.4906 | no |