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 | 10.75% | 11.08% | 2023-12-28 | -5.33% |
| buy & hold | participation factor overlay | 6 months | complete | 18.43% | 19.42% | 2024-03-28 | -5.33% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.36% | 12.74% | 2023-12-28 | -5.92% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 19.38% | 20.81% | 2024-03-28 | -5.92% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.30% | 12.77% | 2023-12-27 | -5.36% |
| weekly rebalance | participation factor overlay | 6 months | complete | 20.39% | 21.82% | 2024-03-28 | -5.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 13.78% | 14.07% | 2023-12-28 | -5.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 26.13% | 27.55% | 2024-03-28 | -5.71% |
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 |
|---|---|---|---|---|---|
| ABT | 2023-10-02 | 89.96 | 0.3467 | 0.4524 | no |
| AEE | 2023-10-02 | 68.02 | 0.2947 | 0.4505 | no |
| AIZ | 2023-10-02 | 137.00 | 0.2837 | 0.4671 | no |
| AOS | 2023-10-02 | 62.20 | 0.7227 | 0.4678 | no |
| APA | 2023-10-02 | 36.66 | 0.2666 | 0.6410 | no |
| BBY | 2023-10-02 | 60.10 | 0.2709 | 0.5930 | no |
| BEN | 2023-10-02 | 21.04 | 0.3783 | 0.4401 | no |
| BMY | 2023-10-02 | 50.37 | 0.4229 | 0.5735 | no |
| CME | 2023-10-02 | 175.68 | 0.2669 | 0.5086 | no |
| DGX | 2023-10-02 | 114.34 | 0.4723 | 0.4819 | no |
| ED | 2023-10-02 | 76.77 | 0.3311 | — | no |
| EL | 2023-10-02 | 135.56 | 0.3097 | 0.4698 | no |
| EMN | 2023-10-02 | 67.47 | 0.4764 | 0.4698 | no |
| EMR | 2023-10-02 | 91.41 | 0.4192 | 0.4892 | no |
| EOG | 2023-10-02 | 114.28 | 0.2730 | 0.6122 | no |
| ETN | 2023-10-02 | 205.61 | 0.4470 | 0.4962 | no |
| FTNT | 2023-10-02 | 58.79 | 0.2846 | 0.5313 | no |
| GOOGL | 2023-10-02 | 129.97 | 0.3257 | 0.4448 | no |
| IBM | 2023-10-02 | 127.67 | 0.3567 | 0.4902 | no |
| IDXX | 2023-10-02 | 435.00 | 0.4607 | 0.4665 | no |
| IEX | 2023-10-02 | 199.19 | 0.2951 | 0.5107 | no |
| INCY | 2023-10-02 | 57.61 | 0.4927 | 0.5205 | no |
| J | 2023-10-02 | 109.48 | 0.3256 | 0.5302 | no |
| LMT | 2023-10-02 | 377.54 | 0.2763 | 0.5587 | no |
| MCK | 2023-10-02 | 427.84 | 0.3520 | 0.4739 | no |
| MCO | 2023-10-02 | 306.40 | 0.2831 | 0.4813 | no |
| MDLZ | 2023-10-02 | 63.83 | 0.2708 | 0.4699 | no |
| MGM | 2023-10-02 | 36.73 | 0.3318 | 0.4481 | no |
| MHK | 2023-10-02 | 85.30 | 0.4784 | 0.4530 | no |
| MPC | 2023-10-02 | 142.38 | 0.2818 | 0.5072 | no |
| MPWR | 2023-10-02 | 452.14 | 0.4326 | 0.5218 | no |
| NSC | 2023-10-02 | 177.54 | 0.3283 | 0.5015 | no |
| ODFL | 2023-10-02 | 199.66 | 0.3813 | 0.4862 | no |
| ORCL | 2023-10-02 | 102.14 | 0.4084 | 0.5302 | no |
| OTIS | 2023-10-02 | 75.82 | 0.2701 | 0.5033 | no |
| PODD | 2023-10-02 | 163.88 | 0.6628 | 0.4533 | no |
| PPL | 2023-10-02 | 21.23 | 0.3582 | 0.4617 | no |
| PRU | 2023-10-02 | 81.36 | 0.2603 | 0.4753 | no |
| PSX | 2023-10-02 | 108.78 | 0.4654 | 0.5216 | no |
| RJF | 2023-10-02 | 96.26 | 0.3071 | 0.4517 | no |
| SPGI | 2023-10-02 | 339.15 | 0.3441 | 0.4759 | no |
| STLD | 2023-10-02 | 103.46 | 0.3883 | 0.5171 | no |
| SYY | 2023-10-02 | 60.74 | 0.3252 | 0.5199 | no |
| TECH | 2023-10-02 | 66.85 | 0.3294 | 0.4282 | no |
| TEL | 2023-10-02 | 117.44 | 0.4498 | — | no |
| ULTA | 2023-10-02 | 402.09 | 0.3250 | 0.4727 | no |
| UNH | 2023-10-02 | 474.74 | 0.2994 | 0.4770 | no |
| UPS | 2023-10-02 | 130.68 | 0.2797 | 0.4859 | no |
| WDC | 2023-10-02 | 34.49 | 0.3112 | 0.5382 | no |
| WTW | 2023-10-02 | 202.00 | 0.3500 | 0.4931 | no |