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 | 8.88% | 9.22% | 2023-12-28 | -5.58% |
| buy & hold | participation factor overlay | 6 months | complete | 15.15% | 16.21% | 2024-03-28 | -5.58% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.54% | 10.04% | 2023-12-28 | -6.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.42% | 14.89% | 2024-03-28 | -6.11% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.17% | 10.94% | 2023-12-27 | -5.70% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.46% | 17.35% | 2024-03-28 | -5.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.34% | 12.83% | 2023-12-27 | -6.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 18.28% | 20.26% | 2024-03-28 | -6.03% |
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 |
|---|---|---|---|---|---|
| AEE | 2023-10-02 | 68.02 | 0.3794 | 0.4505 | no |
| AKAM | 2023-10-02 | 106.73 | 0.2947 | 0.5263 | no |
| AOS | 2023-10-02 | 62.20 | 0.5529 | 0.4678 | no |
| APA | 2023-10-02 | 36.66 | 0.2772 | 0.6410 | no |
| APTV | 2023-10-02 | 98.12 | 0.2684 | 0.4836 | no |
| CEG | 2023-10-02 | 106.24 | 0.2725 | 0.4519 | no |
| CHRW | 2023-10-02 | 80.15 | 0.3358 | 0.5042 | no |
| CME | 2023-10-02 | 175.68 | 0.2673 | 0.5086 | no |
| CNC | 2023-10-02 | 68.67 | 0.2495 | 0.4559 | no |
| DGX | 2023-10-02 | 114.34 | 0.4952 | 0.4819 | no |
| EMN | 2023-10-02 | 67.47 | 0.2973 | 0.4698 | no |
| EMR | 2023-10-02 | 91.41 | 0.2508 | 0.4892 | no |
| ETN | 2023-10-02 | 205.61 | 0.2454 | 0.4962 | no |
| FFIV | 2023-10-02 | 160.71 | 0.3382 | 0.4575 | no |
| FTNT | 2023-10-02 | 58.79 | 0.2889 | 0.5313 | no |
| HRL | 2023-10-02 | 33.47 | 0.2828 | 0.4817 | no |
| IFF | 2023-10-02 | 63.47 | 0.2481 | 0.4531 | no |
| INCY | 2023-10-02 | 57.61 | 0.4101 | 0.5205 | no |
| INTU | 2023-10-02 | 498.90 | 0.2541 | 0.4655 | no |
| ISRG | 2023-10-02 | 291.96 | 0.2772 | 0.4614 | no |
| J | 2023-10-02 | 109.48 | 0.3703 | 0.5302 | no |
| KEYS | 2023-10-02 | 131.91 | 0.3198 | 0.4708 | no |
| MCK | 2023-10-02 | 427.84 | 0.2754 | 0.4739 | no |
| MCO | 2023-10-02 | 306.40 | 0.2931 | 0.4813 | no |
| MET | 2023-10-02 | 57.16 | 0.3151 | 0.4560 | no |
| MGM | 2023-10-02 | 36.73 | 0.3979 | 0.4481 | no |
| MKC | 2023-10-02 | 69.60 | 0.2508 | 0.4296 | no |
| MMM | 2023-10-02 | 71.34 | 0.2544 | 0.4993 | no |
| NSC | 2023-10-02 | 177.54 | 0.2683 | 0.5015 | no |
| ODFL | 2023-10-02 | 199.66 | 0.3098 | 0.4862 | no |
| ORCL | 2023-10-02 | 102.14 | 0.3618 | 0.5302 | no |
| PAYC | 2023-10-02 | 252.36 | 0.3743 | 0.4483 | no |
| PFE | 2023-10-02 | 27.17 | 0.3402 | 0.5726 | no |
| PGR | 2023-10-02 | 126.96 | 0.2739 | 0.4793 | no |
| PODD | 2023-10-02 | 163.88 | 0.6351 | 0.4533 | no |
| PPL | 2023-10-02 | 21.23 | 0.3377 | 0.4617 | no |
| PRU | 2023-10-02 | 81.36 | 0.3804 | 0.4753 | no |
| RJF | 2023-10-02 | 96.26 | 0.4417 | 0.4517 | no |
| SPGI | 2023-10-02 | 339.15 | 0.3197 | 0.4759 | no |
| STLD | 2023-10-02 | 103.46 | 0.2846 | 0.5171 | no |
| SWK | 2023-10-02 | 73.68 | 0.4143 | 0.4851 | no |
| SYY | 2023-10-02 | 60.74 | 0.3818 | 0.5199 | no |
| TECH | 2023-10-02 | 66.85 | 0.3481 | 0.4282 | no |
| TEL | 2023-10-02 | 117.44 | 0.2877 | — | no |
| TER | 2023-10-02 | 99.43 | 0.2915 | 0.5489 | no |
| VTRS | 2023-10-02 | 9.07 | 0.2533 | 0.4670 | no |
| WBD | 2023-10-02 | 10.80 | 0.4147 | 0.4261 | no |
| WDC | 2023-10-02 | 34.49 | 0.3733 | 0.5382 | no |
| WEC | 2023-10-02 | 71.88 | 0.3974 | 0.4598 | no |
| WTW | 2023-10-02 | 202.00 | 0.3734 | 0.4931 | no |