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 | 12.82% | 13.43% | 2023-12-28 | -5.75% |
| buy & hold | participation factor overlay | 6 months | complete | 18.95% | 20.41% | 2024-03-28 | -5.75% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 16.36% | 17.55% | 2023-12-28 | -6.06% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 21.18% | 22.76% | 2024-03-28 | -6.06% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.82% | 10.83% | 2023-12-14 | -5.99% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.41% | 15.27% | 2024-03-28 | -5.99% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.88% | 14.70% | 2023-12-28 | -5.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 18.47% | 20.06% | 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 |
|---|---|---|---|---|---|
| ABBV | 2023-10-09 | 133.68 | 0.2996 | 0.5569 | no |
| ADM | 2023-10-09 | 65.91 | 0.2814 | 0.4851 | no |
| AFL | 2023-10-09 | 72.81 | 0.3271 | 0.4537 | no |
| AMCR | 2023-10-09 | 37.63 | 0.4808 | 0.4438 | no |
| AMP | 2023-10-09 | 309.79 | 0.3844 | 0.4458 | no |
| AOS | 2023-10-09 | 62.80 | 0.9599 | 0.4674 | no |
| BAC | 2023-10-09 | 23.97 | 0.3444 | 0.4171 | no |
| BIO | 2023-10-09 | 354.85 | 0.4891 | 0.4514 | no |
| BLK | 2023-10-09 | 600.03 | 0.4104 | — | no |
| BMY | 2023-10-09 | 49.21 | 0.4102 | 0.5689 | no |
| CB | 2023-10-09 | 202.94 | 0.5401 | 0.4975 | no |
| CHRW | 2023-10-09 | 78.87 | 0.3041 | 0.4874 | no |
| CSX | 2023-10-09 | 29.49 | 0.5660 | 0.5077 | no |
| DAL | 2023-10-09 | 34.54 | 0.3026 | 0.4242 | no |
| DVA | 2023-10-09 | 89.39 | 0.3704 | 0.4740 | no |
| DXCM | 2023-10-09 | 82.49 | 0.4155 | 0.4313 | no |
| F | 2023-10-09 | 9.77 | 0.2925 | 0.4648 | no |
| FANG | 2023-10-09 | 139.60 | 0.2883 | 0.6069 | no |
| FICO | 2023-10-09 | 865.73 | 0.2827 | 0.4661 | no |
| GEN | 2023-10-09 | 16.23 | 0.6408 | 0.4605 | no |
| HSY | 2023-10-09 | 177.94 | 0.3028 | 0.4157 | no |
| IBM | 2023-10-09 | 129.73 | 0.3571 | 0.4905 | no |
| IQV | 2023-10-09 | 197.07 | 0.2800 | 0.4437 | no |
| J | 2023-10-09 | 110.37 | 0.3453 | 0.5293 | no |
| KHC | 2023-10-09 | 27.15 | 0.2767 | 0.4328 | no |
| KMI | 2023-10-09 | 14.29 | 0.3910 | 0.4810 | no |
| L | 2023-10-09 | 62.49 | 0.3447 | — | no |
| MAS | 2023-10-09 | 49.20 | 0.3195 | 0.4407 | no |
| MCO | 2023-10-09 | 307.58 | 0.5279 | 0.4815 | no |
| MDLZ | 2023-10-09 | 58.85 | 0.3607 | 0.4606 | no |
| MDT | 2023-10-09 | 69.14 | 0.3481 | 0.4355 | no |
| MET | 2023-10-09 | 55.84 | 0.3040 | 0.4594 | no |
| MGM | 2023-10-09 | 36.19 | 0.2952 | 0.4421 | no |
| MPWR | 2023-10-09 | 457.98 | 0.4621 | 0.5093 | no |
| MS | 2023-10-09 | 72.61 | 0.4367 | 0.4190 | no |
| NRG | 2023-10-09 | 36.89 | 0.3252 | 0.4737 | no |
| NTRS | 2023-10-09 | 60.82 | 0.3119 | 0.4243 | no |
| ON | 2023-10-09 | 89.80 | 0.4678 | 0.5186 | no |
| PAYC | 2023-10-09 | 260.77 | 0.3047 | 0.4438 | no |
| PEP | 2023-10-09 | 143.58 | 0.3348 | 0.4213 | no |
| PFE | 2023-10-09 | 27.26 | 0.5599 | 0.5716 | no |
| PFG | 2023-10-09 | 62.12 | 0.2815 | 0.4677 | no |
| PODD | 2023-10-09 | 144.96 | 0.5316 | 0.4274 | no |
| SBUX | 2023-10-09 | 85.73 | 0.4457 | 0.4468 | no |
| STZ | 2023-10-09 | 220.65 | 0.3718 | 0.4236 | no |
| SWK | 2023-10-09 | 68.45 | 0.4328 | 0.4822 | no |
| SYY | 2023-10-09 | 58.08 | 0.5388 | 0.5161 | no |
| TEL | 2023-10-09 | 117.37 | 0.3519 | — | no |
| WBD | 2023-10-09 | 10.13 | 0.3141 | 0.4226 | no |
| YUM | 2023-10-09 | 112.01 | 0.3029 | 0.4354 | no |