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 | 13.21% | 13.65% | 2024-01-08 | -5.55% |
| buy & hold | participation factor overlay | 6 months | complete | 20.35% | 21.26% | 2024-03-28 | -5.55% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 16.18% | 17.00% | 2023-12-28 | -5.95% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 21.86% | 22.91% | 2024-03-28 | -5.95% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.84% | 10.88% | 2023-12-26 | -6.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 16.52% | 17.78% | 2024-03-28 | -6.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.61% | 12.59% | 2023-12-28 | -6.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 17.00% | 17.84% | 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 |
|---|---|---|---|---|---|
| ABT | 2023-10-09 | 90.57 | 0.3774 | 0.4318 | no |
| AFL | 2023-10-09 | 72.81 | 0.3255 | 0.4537 | no |
| AJG | 2023-10-09 | 224.23 | 0.4098 | 0.5247 | no |
| AMCR | 2023-10-09 | 37.63 | 0.5059 | 0.4438 | no |
| AMP | 2023-10-09 | 309.79 | 0.5007 | 0.4458 | no |
| AOS | 2023-10-09 | 62.80 | 0.8348 | 0.4674 | no |
| BAC | 2023-10-09 | 23.97 | 0.3825 | 0.4171 | no |
| BIO | 2023-10-09 | 354.85 | 0.4592 | 0.4514 | no |
| BLK | 2023-10-09 | 600.03 | 0.2636 | — | no |
| BMY | 2023-10-09 | 49.21 | 0.4497 | 0.5689 | no |
| CB | 2023-10-09 | 202.94 | 0.3875 | 0.4975 | no |
| CHRW | 2023-10-09 | 78.87 | 0.2629 | 0.4874 | no |
| COP | 2023-10-09 | 108.89 | 0.3424 | 0.5612 | no |
| CSX | 2023-10-09 | 29.49 | 0.3375 | 0.5077 | no |
| DAL | 2023-10-09 | 34.54 | 0.4893 | 0.4242 | no |
| DVA | 2023-10-09 | 89.39 | 0.3688 | 0.4740 | no |
| DXCM | 2023-10-09 | 82.49 | 0.4455 | 0.4313 | no |
| FICO | 2023-10-09 | 865.73 | 0.3104 | 0.4661 | no |
| GEN | 2023-10-09 | 16.23 | 0.6998 | 0.4605 | no |
| HRL | 2023-10-09 | 32.43 | 0.2903 | 0.4720 | no |
| HSY | 2023-10-09 | 177.94 | 0.2893 | 0.4157 | no |
| IBM | 2023-10-09 | 129.73 | 0.2872 | 0.4905 | no |
| IQV | 2023-10-09 | 197.07 | 0.3067 | 0.4437 | no |
| IR | 2023-10-09 | 63.09 | 0.2595 | 0.5070 | no |
| KHC | 2023-10-09 | 27.15 | 0.3349 | 0.4328 | no |
| KMI | 2023-10-09 | 14.29 | 0.3079 | 0.4810 | no |
| L | 2023-10-09 | 62.49 | 0.3393 | — | no |
| LYB | 2023-10-09 | 74.61 | 0.3418 | 0.4788 | no |
| MAS | 2023-10-09 | 49.20 | 0.4561 | 0.4407 | no |
| MCO | 2023-10-09 | 307.58 | 0.4422 | 0.4815 | no |
| MDLZ | 2023-10-09 | 58.85 | 0.3089 | 0.4606 | no |
| MDT | 2023-10-09 | 69.14 | 0.2979 | 0.4355 | no |
| META | 2023-10-09 | 309.78 | 0.2811 | 0.4525 | no |
| MMM | 2023-10-09 | 67.81 | 0.4940 | 0.4942 | no |
| MPC | 2023-10-09 | 137.15 | 0.2923 | 0.5077 | no |
| MPWR | 2023-10-09 | 457.98 | 0.4889 | 0.5093 | no |
| MS | 2023-10-09 | 72.61 | 0.4983 | 0.4190 | no |
| NSC | 2023-10-09 | 179.73 | 0.3037 | 0.4959 | no |
| PAYC | 2023-10-09 | 260.77 | 0.3814 | 0.4438 | no |
| PCG | 2023-10-09 | 15.16 | 0.2995 | 0.4727 | no |
| PFE | 2023-10-09 | 27.26 | 0.4331 | 0.5716 | no |
| PFG | 2023-10-09 | 62.12 | 0.4069 | 0.4677 | no |
| PODD | 2023-10-09 | 144.96 | 0.6898 | 0.4274 | no |
| PPL | 2023-10-09 | 21.22 | 0.2984 | 0.4517 | no |
| ROK | 2023-10-09 | 274.51 | 0.2585 | 0.4852 | no |
| SBUX | 2023-10-09 | 85.73 | 0.4414 | 0.4468 | no |
| STZ | 2023-10-09 | 220.65 | 0.3786 | 0.4236 | no |
| SWK | 2023-10-09 | 68.45 | 0.3525 | 0.4822 | no |
| SYY | 2023-10-09 | 58.08 | 0.3647 | 0.5161 | no |
| TEL | 2023-10-09 | 117.37 | 0.4377 | — | no |