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 | 14.22% | 15.22% | 2023-12-28 | -5.54% |
| buy & hold | participation factor overlay | 6 months | complete | 21.47% | 22.81% | 2024-03-28 | -5.54% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 15.84% | 17.23% | 2023-12-28 | -6.51% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 22.94% | 24.02% | 2024-03-28 | -6.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.09% | 13.69% | 2023-12-27 | -5.36% |
| weekly rebalance | participation factor overlay | 6 months | complete | 21.06% | 22.81% | 2024-03-28 | -5.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 14.01% | 15.14% | 2023-12-28 | -5.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 27.18% | 28.75% | 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 | 2023-10-09 | 90.57 | 0.3345 | 0.4318 | no |
| AEP | 2023-10-09 | 65.06 | 0.3455 | 0.4468 | no |
| AFL | 2023-10-09 | 72.81 | 0.3350 | 0.4537 | no |
| AJG | 2023-10-09 | 224.23 | 0.2673 | 0.5247 | no |
| AMCR | 2023-10-09 | 37.63 | 0.5320 | 0.4438 | no |
| AMP | 2023-10-09 | 309.79 | 0.3281 | 0.4458 | no |
| AOS | 2023-10-09 | 62.80 | 0.8786 | 0.4674 | no |
| BAC | 2023-10-09 | 23.97 | 0.4296 | 0.4171 | no |
| BIO | 2023-10-09 | 354.85 | 0.4122 | 0.4514 | no |
| BLK | 2023-10-09 | 600.03 | 0.4059 | — | no |
| BMY | 2023-10-09 | 49.21 | 0.5454 | 0.5689 | no |
| CB | 2023-10-09 | 202.94 | 0.4036 | 0.4975 | no |
| CHRW | 2023-10-09 | 78.87 | 0.4247 | 0.4874 | no |
| CME | 2023-10-09 | 186.29 | 0.3144 | 0.5154 | no |
| COP | 2023-10-09 | 108.89 | 0.3997 | 0.5612 | no |
| CZR | 2023-10-09 | 43.65 | 0.2946 | 0.4546 | no |
| DAL | 2023-10-09 | 34.54 | 0.3072 | 0.4242 | no |
| DHI | 2023-10-09 | 100.13 | 0.2948 | 0.4451 | no |
| DRI | 2023-10-09 | 124.46 | 0.2804 | 0.4153 | no |
| DVA | 2023-10-09 | 89.39 | 0.4993 | 0.4740 | no |
| DXCM | 2023-10-09 | 82.49 | 0.2744 | 0.4313 | no |
| EMN | 2023-10-09 | 64.85 | 0.2892 | 0.4580 | no |
| GEN | 2023-10-09 | 16.23 | 0.5386 | 0.4605 | no |
| GOOGL | 2023-10-09 | 135.65 | 0.2671 | 0.4422 | no |
| IBM | 2023-10-09 | 129.73 | 0.5715 | 0.4905 | no |
| J | 2023-10-09 | 110.37 | 0.2979 | 0.5293 | no |
| KMI | 2023-10-09 | 14.29 | 0.4724 | 0.4810 | no |
| MAS | 2023-10-09 | 49.20 | 0.4408 | 0.4407 | no |
| MDT | 2023-10-09 | 69.14 | 0.2833 | 0.4355 | no |
| MMM | 2023-10-09 | 67.81 | 0.3285 | 0.4942 | no |
| MPC | 2023-10-09 | 137.15 | 0.3839 | 0.5077 | no |
| MPWR | 2023-10-09 | 457.98 | 0.4578 | 0.5093 | no |
| MS | 2023-10-09 | 72.61 | 0.3454 | 0.4190 | no |
| NSC | 2023-10-09 | 179.73 | 0.4507 | 0.4959 | no |
| NVR | 2023-10-09 | 6030.00 | 0.3110 | — | no |
| ON | 2023-10-09 | 89.80 | 0.3207 | 0.5186 | no |
| OTIS | 2023-10-09 | 74.92 | 0.2722 | 0.5018 | no |
| PCG | 2023-10-09 | 15.16 | 0.4341 | 0.4727 | no |
| PFE | 2023-10-09 | 27.26 | 0.4809 | 0.5716 | no |
| PFG | 2023-10-09 | 62.12 | 0.3810 | 0.4677 | no |
| PODD | 2023-10-09 | 144.96 | 0.4233 | 0.4274 | no |
| POOL | 2023-10-09 | 315.87 | 0.3304 | 0.4199 | no |
| PPL | 2023-10-09 | 21.22 | 0.3240 | 0.4517 | no |
| SBUX | 2023-10-09 | 85.73 | 0.5133 | 0.4468 | no |
| SCHW | 2023-10-09 | 48.80 | 0.4137 | 0.4755 | no |
| STZ | 2023-10-09 | 220.65 | 0.2662 | 0.4236 | no |
| SWK | 2023-10-09 | 68.45 | 0.4518 | 0.4822 | no |
| SYY | 2023-10-09 | 58.08 | 0.3737 | 0.5161 | no |
| TEL | 2023-10-09 | 117.37 | 0.4669 | — | no |
| URI | 2023-10-09 | 417.87 | 0.4908 | 0.5125 | no |