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 | 11.02% | 13.41% | 2023-12-28 | -4.90% |
| buy & hold | participation factor overlay | 6 months | complete | 13.06% | 19.56% | 2024-03-28 | -5.44% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.20% | 15.32% | 2023-12-28 | -5.03% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.44% | 20.53% | 2024-03-28 | -5.88% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.22% | 11.65% | 2023-12-27 | -5.43% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.76% | 18.10% | 2024-03-28 | -6.22% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 10.58% | 13.40% | 2023-12-27 | -6.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.81% | 20.86% | 2024-03-28 | -6.66% |
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 | 0.3730 | 0.4777 | no |
| AFL | 2023-10-16 | 75.60 | 0.3515 | 0.4547 | no |
| AIZ | 2023-10-16 | 142.36 | 0.2885 | 0.4586 | no |
| AKAM | 2023-10-16 | 106.93 | 0.2453 | 0.5216 | no |
| AMCR | 2023-10-16 | 37.33 | 0.4647 | 0.4440 | no |
| AMP | 2023-10-16 | 316.16 | 0.4756 | 0.4475 | no |
| AMT | 2023-10-16 | 151.29 | 0.2925 | 0.4110 | no |
| AOS | 2023-10-16 | 67.01 | 0.4674 | 0.4622 | no |
| ATO | 2023-10-16 | 104.74 | 0.3091 | 0.5321 | no |
| BA | 2023-10-16 | 185.91 | 0.2893 | 0.5345 | no |
| BEN | 2023-10-16 | 19.76 | 0.2811 | 0.4498 | no |
| CME | 2023-10-16 | 193.97 | 0.3273 | 0.5110 | no |
| CVX | 2023-10-16 | 145.84 | 0.2579 | 0.5458 | no |
| CZR | 2023-10-16 | 42.89 | 0.3304 | 0.4467 | no |
| DUK | 2023-10-16 | 79.50 | 0.3090 | 0.4578 | no |
| DXC | 2023-10-16 | 21.89 | 0.2910 | 0.4575 | no |
| DXCM | 2023-10-16 | 77.58 | 0.4855 | 0.4123 | no |
| ECL | 2023-10-16 | 161.04 | 0.3549 | 0.4730 | no |
| FDX | 2023-10-16 | 185.34 | 0.2961 | 0.4738 | no |
| GEN | 2023-10-16 | 16.26 | 0.5774 | 0.4612 | no |
| GPC | 2023-10-16 | 135.07 | 0.2785 | 0.5422 | no |
| IQV | 2023-10-16 | 200.73 | 0.3349 | 0.4298 | no |
| J | 2023-10-16 | 111.79 | 0.2452 | 0.5300 | no |
| LYB | 2023-10-16 | 76.93 | 0.4108 | 0.4768 | no |
| MAS | 2023-10-16 | 49.32 | 0.2825 | 0.4337 | no |
| MCO | 2023-10-16 | 312.64 | 0.3465 | 0.4789 | no |
| MDLZ | 2023-10-16 | 57.07 | 0.3378 | 0.4618 | no |
| MPC | 2023-10-16 | 140.84 | 0.4595 | 0.5012 | no |
| NOW | 2023-10-16 | 109.93 | 0.3542 | 0.4693 | no |
| NUE | 2023-10-16 | 143.73 | 0.2786 | 0.4513 | no |
| NVR | 2023-10-16 | 5981.32 | 0.2502 | — | no |
| ON | 2023-10-16 | 89.83 | 0.4452 | 0.5092 | no |
| PEP | 2023-10-16 | 144.48 | 0.2485 | 0.4333 | no |
| PFE | 2023-10-16 | 27.07 | 0.3492 | 0.5687 | no |
| PFG | 2023-10-16 | 63.31 | 0.2589 | 0.4691 | no |
| PG | 2023-10-16 | 134.78 | 0.3320 | 0.4232 | no |
| PNR | 2023-10-16 | 61.08 | 0.3520 | 0.4734 | no |
| PODD | 2023-10-16 | 134.52 | 0.5882 | 0.4188 | no |
| PPL | 2023-10-16 | 21.70 | 0.2914 | 0.4501 | no |
| RCL | 2023-10-16 | 83.80 | 0.4126 | 0.4836 | no |
| SBUX | 2023-10-16 | 85.47 | 0.3596 | 0.4327 | no |
| SLB | 2023-10-16 | 55.00 | 0.4886 | 0.5509 | no |
| SYY | 2023-10-16 | 58.98 | 0.3272 | 0.5070 | no |
| TAP | 2023-10-16 | 52.93 | 0.3479 | 0.4243 | no |
| TEL | 2023-10-16 | 117.93 | 0.3437 | — | no |
| TSN | 2023-10-16 | 42.14 | 0.4321 | 0.4664 | no |
| URI | 2023-10-16 | 428.98 | 0.3091 | 0.5097 | no |
| VMC | 2023-10-16 | 207.06 | 0.2904 | 0.4854 | no |
| VTRS | 2023-10-16 | 8.26 | 0.3243 | 0.4432 | no |
| WDC | 2023-10-16 | 34.44 | 0.3210 | 0.5346 | no |