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 | 10.71% | 12.70% | 2023-12-28 | -4.63% |
| buy & hold | participation factor overlay | 6 months | complete | 12.73% | 18.95% | 2024-03-28 | -5.23% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.38% | 14.20% | 2023-12-19 | -4.81% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.59% | 18.86% | 2024-03-28 | -5.27% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.37% | 10.52% | 2023-12-14 | -5.52% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.41% | 14.94% | 2024-03-28 | -5.68% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 10.08% | 14.05% | 2023-12-28 | -5.11% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.10% | 19.38% | 2024-03-28 | -6.10% |
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 |
|---|---|---|---|---|---|
| ADM | 2023-10-16 | 66.94 | 0.2982 | 0.4777 | no |
| ADSK | 2023-10-16 | 211.02 | 0.2666 | 0.4999 | no |
| AFL | 2023-10-16 | 75.60 | 0.3676 | 0.4547 | no |
| AIZ | 2023-10-16 | 142.36 | 0.2742 | 0.4586 | no |
| AJG | 2023-10-16 | 228.19 | 0.3316 | 0.5257 | no |
| AMCR | 2023-10-16 | 37.33 | 0.6033 | 0.4440 | no |
| AMP | 2023-10-16 | 316.16 | 0.5260 | 0.4475 | no |
| AMT | 2023-10-16 | 151.29 | 0.2875 | 0.4110 | no |
| AOS | 2023-10-16 | 67.01 | 0.6193 | 0.4622 | no |
| ATO | 2023-10-16 | 104.74 | 0.3779 | 0.5321 | no |
| BAC | 2023-10-16 | 25.28 | 0.5520 | 0.4176 | no |
| BEN | 2023-10-16 | 19.76 | 0.4423 | 0.4498 | no |
| CAG | 2023-10-16 | 23.13 | 0.3294 | 0.4546 | no |
| CCI | 2023-10-16 | 79.90 | 0.2832 | 0.4229 | no |
| CME | 2023-10-16 | 193.97 | 0.4071 | 0.5110 | no |
| CZR | 2023-10-16 | 42.89 | 0.3526 | 0.4467 | no |
| DOW | 2023-10-16 | 42.34 | 0.2954 | 0.4705 | no |
| DUK | 2023-10-16 | 79.50 | 0.2645 | 0.4578 | no |
| DXCM | 2023-10-16 | 77.58 | 0.6077 | 0.4123 | no |
| ECL | 2023-10-16 | 161.04 | 0.2632 | 0.4730 | no |
| ED | 2023-10-16 | 76.88 | 0.2795 | — | no |
| EMN | 2023-10-16 | 65.10 | 0.3270 | 0.4575 | no |
| FANG | 2023-10-16 | 150.44 | 0.2972 | 0.6017 | no |
| FDX | 2023-10-16 | 185.34 | 0.4227 | 0.4738 | no |
| GEN | 2023-10-16 | 16.26 | 0.6074 | 0.4612 | no |
| GPC | 2023-10-16 | 135.07 | 0.2770 | 0.5422 | no |
| INTU | 2023-10-16 | 528.15 | 0.2996 | 0.4617 | no |
| IQV | 2023-10-16 | 200.73 | 0.3760 | 0.4298 | no |
| J | 2023-10-16 | 111.79 | 0.3005 | 0.5300 | no |
| KMI | 2023-10-16 | 14.87 | 0.3038 | 0.4817 | no |
| L | 2023-10-16 | 63.78 | 0.2720 | — | no |
| LYB | 2023-10-16 | 76.93 | 0.4721 | 0.4768 | no |
| MAS | 2023-10-16 | 49.32 | 0.4501 | 0.4337 | no |
| MCO | 2023-10-16 | 312.64 | 0.3784 | 0.4789 | no |
| MMM | 2023-10-16 | 68.47 | 0.4399 | 0.4940 | no |
| MPC | 2023-10-16 | 140.84 | 0.3439 | 0.5012 | no |
| NOW | 2023-10-16 | 109.93 | 0.3735 | 0.4693 | no |
| NVR | 2023-10-16 | 5981.32 | 0.3242 | — | no |
| ON | 2023-10-16 | 89.83 | 0.5249 | 0.5092 | no |
| PFE | 2023-10-16 | 27.07 | 0.2692 | 0.5687 | no |
| PG | 2023-10-16 | 134.78 | 0.2945 | 0.4232 | no |
| PNW | 2023-10-16 | 67.01 | 0.2816 | 0.4344 | no |
| PODD | 2023-10-16 | 134.52 | 0.5581 | 0.4188 | no |
| RCL | 2023-10-16 | 83.80 | 0.3995 | 0.4836 | no |
| SBUX | 2023-10-16 | 85.47 | 0.2793 | 0.4327 | no |
| SLB | 2023-10-16 | 55.00 | 0.4382 | 0.5509 | no |
| SYY | 2023-10-16 | 58.98 | 0.3124 | 0.5070 | no |
| TEL | 2023-10-16 | 117.93 | 0.3615 | — | no |
| TSN | 2023-10-16 | 42.14 | 0.4613 | 0.4664 | no |
| VTRS | 2023-10-16 | 8.26 | 0.4556 | 0.4432 | no |