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 | 12.18% | 12.85% | 2023-12-28 | -5.07% |
| buy & hold | participation factor overlay | 6 months | complete | 19.05% | 20.12% | 2024-03-28 | -5.07% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 14.38% | 14.97% | 2024-01-08 | -5.93% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 20.10% | 21.11% | 2024-03-28 | -5.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.82% | 12.45% | 2023-12-27 | -5.70% |
| weekly rebalance | participation factor overlay | 6 months | complete | 17.12% | 18.95% | 2024-03-28 | -5.70% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 13.24% | 14.33% | 2023-12-27 | -6.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 19.83% | 21.86% | 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 |
|---|---|---|---|---|---|
| ABT | 2023-10-09 | 90.57 | 0.2835 | 0.4318 | no |
| AIZ | 2023-10-09 | 138.66 | 0.2818 | 0.4624 | no |
| AJG | 2023-10-09 | 224.23 | 0.2922 | 0.5247 | no |
| AKAM | 2023-10-09 | 105.20 | 0.2996 | 0.5261 | no |
| AMCR | 2023-10-09 | 37.63 | 0.4831 | 0.4438 | no |
| AOS | 2023-10-09 | 62.80 | 0.8823 | 0.4674 | no |
| BAC | 2023-10-09 | 23.97 | 0.3844 | 0.4171 | no |
| BIO | 2023-10-09 | 354.85 | 0.3923 | 0.4514 | no |
| BLK | 2023-10-09 | 600.03 | 0.3097 | — | no |
| BMY | 2023-10-09 | 49.21 | 0.3522 | 0.5689 | no |
| CB | 2023-10-09 | 202.94 | 0.3834 | 0.4975 | no |
| CHRW | 2023-10-09 | 78.87 | 0.3096 | 0.4874 | no |
| COP | 2023-10-09 | 108.89 | 0.3019 | 0.5612 | no |
| DAL | 2023-10-09 | 34.54 | 0.3918 | 0.4242 | no |
| DVA | 2023-10-09 | 89.39 | 0.4716 | 0.4740 | no |
| DXCM | 2023-10-09 | 82.49 | 0.3555 | 0.4313 | no |
| FANG | 2023-10-09 | 139.60 | 0.3157 | 0.6069 | no |
| FICO | 2023-10-09 | 865.73 | 0.2575 | 0.4661 | no |
| GEN | 2023-10-09 | 16.23 | 0.5229 | 0.4605 | no |
| J | 2023-10-09 | 110.37 | 0.2956 | 0.5293 | no |
| KMI | 2023-10-09 | 14.29 | 0.3778 | 0.4810 | no |
| L | 2023-10-09 | 62.49 | 0.2720 | — | no |
| LYB | 2023-10-09 | 74.61 | 0.3116 | 0.4788 | no |
| MAS | 2023-10-09 | 49.20 | 0.4924 | 0.4407 | no |
| MCO | 2023-10-09 | 307.58 | 0.2768 | 0.4815 | no |
| MDLZ | 2023-10-09 | 58.85 | 0.2954 | 0.4606 | no |
| MET | 2023-10-09 | 55.84 | 0.2854 | 0.4594 | no |
| MGM | 2023-10-09 | 36.19 | 0.3245 | 0.4421 | no |
| MPC | 2023-10-09 | 137.15 | 0.3182 | 0.5077 | no |
| MPWR | 2023-10-09 | 457.98 | 0.4507 | 0.5093 | no |
| NRG | 2023-10-09 | 36.89 | 0.2806 | 0.4737 | no |
| ON | 2023-10-09 | 89.80 | 0.2588 | 0.5186 | no |
| PAYC | 2023-10-09 | 260.77 | 0.2754 | 0.4438 | no |
| PCG | 2023-10-09 | 15.16 | 0.4525 | 0.4727 | no |
| PEP | 2023-10-09 | 143.58 | 0.3202 | 0.4213 | no |
| PFE | 2023-10-09 | 27.26 | 0.4461 | 0.5716 | no |
| PFG | 2023-10-09 | 62.12 | 0.2821 | 0.4677 | no |
| PNW | 2023-10-09 | 63.50 | 0.3336 | 0.4344 | no |
| PODD | 2023-10-09 | 144.96 | 0.4914 | 0.4274 | no |
| POOL | 2023-10-09 | 315.87 | 0.2682 | 0.4199 | no |
| PPG | 2023-10-09 | 122.80 | 0.3018 | 0.4636 | no |
| PPL | 2023-10-09 | 21.22 | 0.3590 | 0.4517 | no |
| ROP | 2023-10-09 | 483.19 | 0.2632 | 0.4930 | no |
| SBUX | 2023-10-09 | 85.73 | 0.4449 | 0.4468 | no |
| STZ | 2023-10-09 | 220.65 | 0.3858 | 0.4236 | no |
| SWK | 2023-10-09 | 68.45 | 0.5212 | 0.4822 | no |
| SYY | 2023-10-09 | 58.08 | 0.4565 | 0.5161 | no |
| TEL | 2023-10-09 | 117.37 | 0.3350 | — | no |
| TROW | 2023-10-09 | 88.12 | 0.2808 | 0.4329 | no |
| YUM | 2023-10-09 | 112.01 | 0.2771 | 0.4354 | no |