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 | 10.57% | 10.82% | 2023-12-19 | -5.71% |
| buy & hold | participation factor overlay | 6 months | complete | 15.12% | 15.82% | 2024-03-21 | -5.71% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.37% | 12.35% | 2023-12-14 | -6.42% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 15.74% | 16.84% | 2024-03-21 | -6.42% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.59% | 10.87% | 2023-12-19 | -5.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | 18.29% | 19.20% | 2024-03-21 | -5.95% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.91% | 12.12% | 2023-12-19 | -6.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 23.35% | 24.55% | 2024-03-21 | -6.02% |
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 | 0.4207 | 0.5568 | no |
| AEE | 2023-09-25 | 72.55 | 0.2703 | 0.4560 | no |
| AFL | 2023-09-25 | 71.40 | 0.3423 | 0.4349 | no |
| AKAM | 2023-09-25 | 107.29 | 0.3775 | 0.5239 | no |
| AMT | 2023-09-25 | 148.57 | 0.2889 | 0.4229 | no |
| AOS | 2023-09-25 | 60.76 | 0.5602 | 0.4715 | no |
| AZO | 2023-09-25 | 2563.91 | 0.2629 | 0.5925 | no |
| BA | 2023-09-25 | 196.84 | 0.2628 | 0.5448 | no |
| BBY | 2023-09-25 | 59.62 | 0.4388 | 0.5960 | no |
| BEN | 2023-09-25 | 21.18 | 0.4922 | 0.4369 | no |
| BMY | 2023-09-25 | 51.09 | 0.4448 | 0.5715 | no |
| CB | 2023-09-25 | 204.94 | 0.3304 | 0.4778 | no |
| CDW | 2023-09-25 | 195.85 | 0.2801 | 0.5052 | no |
| DGX | 2023-09-25 | 115.98 | 0.4775 | 0.4863 | no |
| DRI | 2023-09-25 | 129.33 | 0.4450 | 0.4300 | no |
| EL | 2023-09-25 | 138.36 | 0.4625 | 0.4717 | no |
| EMN | 2023-09-25 | 66.74 | 0.4836 | 0.4751 | no |
| ETN | 2023-09-25 | 204.86 | 0.3445 | 0.4985 | no |
| FCX | 2023-09-25 | 35.35 | 0.3520 | 0.5867 | no |
| FTNT | 2023-09-25 | 57.84 | 0.2682 | 0.5266 | no |
| HPQ | 2023-09-25 | 23.14 | 0.2811 | 0.5275 | no |
| HRL | 2023-09-25 | 34.25 | 0.3640 | 0.4839 | no |
| KEYS | 2023-09-25 | 130.20 | 0.2677 | 0.4761 | no |
| LEN | 2023-09-25 | 103.91 | 0.3456 | 0.4511 | no |
| LNC | 2023-09-25 | 20.71 | 0.3184 | 0.4583 | no |
| MCD | 2023-09-25 | 251.56 | 0.3602 | 0.4648 | no |
| MHK | 2023-09-25 | 86.25 | 0.3125 | 0.4616 | no |
| MOS | 2023-09-25 | 32.41 | 0.3177 | 0.4522 | no |
| NDSN | 2023-09-25 | 215.43 | 0.2752 | 0.5140 | no |
| NEE | 2023-09-25 | 61.49 | 0.3377 | 0.4931 | no |
| NEM | 2023-09-25 | 38.33 | 0.2937 | 0.4239 | no |
| NSC | 2023-09-25 | 188.91 | 0.5027 | 0.5035 | no |
| OTIS | 2023-09-25 | 76.13 | 0.5708 | 0.4984 | no |
| PGR | 2023-09-25 | 130.57 | 0.3684 | 0.4651 | no |
| PNW | 2023-09-25 | 67.76 | 0.3584 | 0.4480 | no |
| PODD | 2023-09-25 | 155.01 | 0.2902 | 0.4691 | no |
| PPG | 2023-09-25 | 120.59 | 0.3441 | 0.4798 | no |
| PPL | 2023-09-25 | 22.61 | 0.3253 | 0.4724 | no |
| ROL | 2023-09-25 | 35.76 | 0.3336 | 0.4499 | no |
| SBUX | 2023-09-25 | 86.14 | 0.2897 | 0.4623 | no |
| STLD | 2023-09-25 | 97.56 | 0.3348 | 0.5257 | no |
| SYY | 2023-09-25 | 62.80 | 0.4754 | 0.5268 | no |
| TECH | 2023-09-25 | 67.93 | 0.3863 | 0.4278 | no |
| TEL | 2023-09-25 | 117.02 | 0.2940 | — | no |
| TER | 2023-09-25 | 93.98 | 0.3916 | 0.5498 | no |
| UPS | 2023-09-25 | 128.81 | 0.3073 | 0.4899 | no |
| VMC | 2023-09-25 | 195.59 | 0.3138 | 0.4953 | no |
| WDC | 2023-09-25 | 33.69 | 0.4974 | 0.5398 | no |
| WEC | 2023-09-25 | 76.35 | 0.4168 | 0.4671 | no |
| WTW | 2023-09-25 | 204.02 | 0.4860 | 0.4791 | no |