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 | 10.01% | 10.44% | 2023-12-28 | -6.50% |
| buy & hold | participation factor overlay | 6 months | complete | 14.59% | 15.91% | 2024-03-28 | -6.50% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.84% | 11.01% | 2023-12-28 | -6.50% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.81% | 15.67% | 2024-03-28 | -6.50% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.50% | 9.89% | 2023-12-26 | -6.05% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.22% | 16.73% | 2024-03-28 | -6.05% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 10.68% | 11.00% | 2023-12-28 | -6.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 14.70% | 16.17% | 2024-03-28 | -6.35% |
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 | 0.4657 | 0.4505 | no |
| AKAM | 2023-10-02 | 106.73 | 0.3223 | 0.5263 | no |
| AOS | 2023-10-02 | 62.20 | 0.5900 | 0.4678 | no |
| APA | 2023-10-02 | 36.66 | 0.3190 | 0.6410 | no |
| AXON | 2023-10-02 | 197.29 | 0.2708 | 0.4594 | no |
| BEN | 2023-10-02 | 21.04 | 0.4201 | 0.4401 | no |
| BMY | 2023-10-02 | 50.37 | 0.2922 | 0.5735 | no |
| CHRW | 2023-10-02 | 80.15 | 0.3852 | 0.5042 | no |
| CME | 2023-10-02 | 175.68 | 0.2973 | 0.5086 | no |
| CNC | 2023-10-02 | 68.67 | 0.3586 | 0.4559 | no |
| CNP | 2023-10-02 | 24.69 | 0.2971 | 0.4580 | no |
| CSX | 2023-10-02 | 29.34 | 0.3104 | 0.5150 | no |
| CTVA | 2023-10-02 | 49.34 | 0.2891 | 0.4826 | no |
| DGX | 2023-10-02 | 114.34 | 0.5563 | 0.4819 | no |
| ED | 2023-10-02 | 76.77 | 0.4312 | — | no |
| EMN | 2023-10-02 | 67.47 | 0.5227 | 0.4698 | no |
| EMR | 2023-10-02 | 91.41 | 0.3969 | 0.4892 | no |
| ETN | 2023-10-02 | 205.61 | 0.2617 | 0.4962 | no |
| FTV | 2023-10-02 | 55.00 | 0.3214 | 0.4851 | no |
| GOOGL | 2023-10-02 | 129.97 | 0.2885 | 0.4448 | no |
| HII | 2023-10-02 | 192.10 | 0.2663 | 0.5704 | no |
| IBM | 2023-10-02 | 127.67 | 0.3780 | 0.4902 | no |
| IDXX | 2023-10-02 | 435.00 | 0.3420 | 0.4665 | no |
| INCY | 2023-10-02 | 57.61 | 0.3802 | 0.5205 | no |
| INTU | 2023-10-02 | 498.90 | 0.3903 | 0.4655 | no |
| IVZ | 2023-10-02 | 12.67 | 0.3456 | 0.4380 | no |
| J | 2023-10-02 | 109.48 | 0.4640 | 0.5302 | no |
| MCO | 2023-10-02 | 306.40 | 0.3624 | 0.4813 | no |
| MGM | 2023-10-02 | 36.73 | 0.3346 | 0.4481 | no |
| MPWR | 2023-10-02 | 452.14 | 0.2633 | 0.5218 | no |
| MSI | 2023-10-02 | 262.83 | 0.2678 | 0.5330 | no |
| NSC | 2023-10-02 | 177.54 | 0.3252 | 0.5015 | no |
| NWL | 2023-10-02 | 7.77 | 0.3206 | 0.4221 | no |
| ODFL | 2023-10-02 | 199.66 | 0.3250 | 0.4862 | no |
| ORCL | 2023-10-02 | 102.14 | 0.2905 | 0.5302 | no |
| PAYC | 2023-10-02 | 252.36 | 0.3813 | 0.4483 | no |
| PFE | 2023-10-02 | 27.17 | 0.2952 | 0.5726 | no |
| PODD | 2023-10-02 | 163.88 | 0.7133 | 0.4533 | no |
| PPL | 2023-10-02 | 21.23 | 0.5218 | 0.4617 | no |
| RJF | 2023-10-02 | 96.26 | 0.3227 | 0.4517 | no |
| SPGI | 2023-10-02 | 339.15 | 0.2677 | 0.4759 | no |
| STLD | 2023-10-02 | 103.46 | 0.4377 | 0.5171 | no |
| SYY | 2023-10-02 | 60.74 | 0.4297 | 0.5199 | no |
| TEL | 2023-10-02 | 117.44 | 0.3882 | — | no |
| UPS | 2023-10-02 | 130.68 | 0.2616 | 0.4859 | no |
| VTRS | 2023-10-02 | 9.07 | 0.2792 | 0.4670 | no |
| WBD | 2023-10-02 | 10.80 | 0.4364 | 0.4261 | no |
| WDC | 2023-10-02 | 34.49 | 0.4042 | 0.5382 | no |
| WEC | 2023-10-02 | 71.88 | 0.4645 | 0.4598 | no |
| YUM | 2023-10-02 | 117.50 | 0.2816 | 0.4454 | no |