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 | 9.36% | 10.01% | 2023-12-28 | -5.95% |
| buy & hold | participation factor overlay | 6 months | complete | 10.61% | 12.23% | 2024-03-28 | -5.95% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.28% | 11.85% | 2023-12-28 | -6.32% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.08% | 15.06% | 2024-03-28 | -6.32% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.94% | 8.86% | 2023-12-14 | -6.06% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.69% | 13.22% | 2024-03-28 | -6.06% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.68% | 12.44% | 2023-12-28 | -5.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.03% | 17.69% | 2024-03-28 | -5.37% |
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 |
|---|---|---|---|---|---|
| ADP | 2023-10-02 | 223.90 | 0.2621 | 0.4266 | no |
| AEE | 2023-10-02 | 68.02 | 0.4871 | 0.4505 | no |
| AFL | 2023-10-02 | 71.90 | 0.3529 | 0.4400 | no |
| AIZ | 2023-10-02 | 137.00 | 0.3094 | 0.4671 | no |
| AOS | 2023-10-02 | 62.20 | 0.5779 | 0.4678 | no |
| APA | 2023-10-02 | 36.66 | 0.3688 | 0.6410 | no |
| APTV | 2023-10-02 | 98.12 | 0.2802 | 0.4836 | no |
| BA | 2023-10-02 | 191.47 | 0.3012 | 0.5443 | no |
| BEN | 2023-10-02 | 21.04 | 0.3800 | 0.4401 | no |
| BKR | 2023-10-02 | 33.05 | 0.3173 | 0.5495 | no |
| BMY | 2023-10-02 | 50.37 | 0.3896 | 0.5735 | no |
| CHRW | 2023-10-02 | 80.15 | 0.2834 | 0.5042 | no |
| CME | 2023-10-02 | 175.68 | 0.2907 | 0.5086 | no |
| DGX | 2023-10-02 | 114.34 | 0.4560 | 0.4819 | no |
| DRI | 2023-10-02 | 129.43 | 0.2709 | 0.4271 | no |
| ED | 2023-10-02 | 76.77 | 0.3667 | — | no |
| EMN | 2023-10-02 | 67.47 | 0.5859 | 0.4698 | no |
| EMR | 2023-10-02 | 91.41 | 0.3477 | 0.4892 | no |
| ENPH | 2023-10-02 | 119.20 | 0.4293 | 0.5061 | no |
| ETSY | 2023-10-02 | 64.34 | 0.2718 | — | no |
| FFIV | 2023-10-02 | 160.71 | 0.2647 | 0.4575 | no |
| IBM | 2023-10-02 | 127.67 | 0.4276 | 0.4902 | no |
| ISRG | 2023-10-02 | 291.96 | 0.3307 | 0.4614 | no |
| IVZ | 2023-10-02 | 12.67 | 0.3368 | 0.4380 | no |
| J | 2023-10-02 | 109.48 | 0.2944 | 0.5302 | no |
| KEYS | 2023-10-02 | 131.91 | 0.3017 | 0.4708 | no |
| KO | 2023-10-02 | 51.29 | 0.3028 | 0.4309 | no |
| LYB | 2023-10-02 | 77.57 | 0.2663 | 0.4820 | no |
| MCO | 2023-10-02 | 306.40 | 0.3349 | 0.4813 | no |
| MGM | 2023-10-02 | 36.73 | 0.5361 | 0.4481 | no |
| MHK | 2023-10-02 | 85.30 | 0.3829 | 0.4530 | no |
| NWL | 2023-10-02 | 7.77 | 0.3799 | 0.4221 | no |
| ODFL | 2023-10-02 | 199.66 | 0.3353 | 0.4862 | no |
| PAYC | 2023-10-02 | 252.36 | 0.2671 | 0.4483 | no |
| PEG | 2023-10-02 | 51.29 | 0.2639 | 0.4689 | no |
| PFE | 2023-10-02 | 27.17 | 0.4198 | 0.5726 | no |
| PODD | 2023-10-02 | 163.88 | 0.5592 | 0.4533 | no |
| PPL | 2023-10-02 | 21.23 | 0.3574 | 0.4617 | no |
| SPGI | 2023-10-02 | 339.15 | 0.3318 | 0.4759 | no |
| STLD | 2023-10-02 | 103.46 | 0.3381 | 0.5171 | no |
| SWK | 2023-10-02 | 73.68 | 0.4203 | 0.4851 | no |
| SYY | 2023-10-02 | 60.74 | 0.3615 | 0.5199 | no |
| TECH | 2023-10-02 | 66.85 | 0.3083 | 0.4282 | no |
| TEL | 2023-10-02 | 117.44 | 0.4051 | — | no |
| TER | 2023-10-02 | 99.43 | 0.4250 | 0.5489 | no |
| UPS | 2023-10-02 | 130.68 | 0.3760 | 0.4859 | no |
| WBD | 2023-10-02 | 10.80 | 0.4828 | 0.4261 | no |
| WDC | 2023-10-02 | 34.49 | 0.5186 | 0.5382 | no |
| WEC | 2023-10-02 | 71.88 | 0.4767 | 0.4598 | no |
| WTW | 2023-10-02 | 202.00 | 0.4078 | 0.4931 | no |