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 | 9.80% | 11.97% | 2023-12-28 | -4.98% |
| buy & hold | participation factor overlay | 6 months | complete | 14.00% | 19.15% | 2024-03-28 | -4.98% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.07% | 13.92% | 2023-12-28 | -5.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.52% | 18.66% | 2024-03-28 | -5.38% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.57% | 10.81% | 2023-12-26 | -5.23% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.39% | 17.70% | 2024-03-28 | -5.36% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.42% | 11.69% | 2023-12-28 | -6.32% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.26% | 16.89% | 2024-03-28 | -6.32% |
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 | 0.2868 | 0.4777 | no |
| AIZ | 2023-10-16 | 142.36 | 0.2756 | 0.4586 | no |
| AJG | 2023-10-16 | 228.19 | 0.4097 | 0.5257 | no |
| AMCR | 2023-10-16 | 37.33 | 0.5337 | 0.4440 | no |
| AMP | 2023-10-16 | 316.16 | 0.5395 | 0.4475 | no |
| AMT | 2023-10-16 | 151.29 | 0.2935 | 0.4110 | no |
| AOS | 2023-10-16 | 67.01 | 0.2711 | 0.4622 | no |
| APH | 2023-10-16 | 20.25 | 0.3052 | 0.4582 | no |
| BAC | 2023-10-16 | 25.28 | 0.4378 | 0.4176 | no |
| BMY | 2023-10-16 | 49.81 | 0.2622 | 0.5684 | no |
| CAG | 2023-10-16 | 23.13 | 0.2680 | 0.4546 | no |
| CCI | 2023-10-16 | 79.90 | 0.4155 | 0.4229 | no |
| CME | 2023-10-16 | 193.97 | 0.4783 | 0.5110 | no |
| COP | 2023-10-16 | 114.95 | 0.2583 | 0.5580 | no |
| CVX | 2023-10-16 | 145.84 | 0.2762 | 0.5458 | no |
| CZR | 2023-10-16 | 42.89 | 0.2495 | 0.4467 | no |
| DOW | 2023-10-16 | 42.34 | 0.3292 | 0.4705 | no |
| DXCM | 2023-10-16 | 77.58 | 0.5067 | 0.4123 | no |
| ECL | 2023-10-16 | 161.04 | 0.2504 | 0.4730 | no |
| ED | 2023-10-16 | 76.88 | 0.3948 | — | no |
| FANG | 2023-10-16 | 150.44 | 0.2497 | 0.6017 | no |
| FDX | 2023-10-16 | 185.34 | 0.2862 | 0.4738 | no |
| GEN | 2023-10-16 | 16.26 | 0.6587 | 0.4612 | no |
| GPC | 2023-10-16 | 135.07 | 0.2815 | 0.5422 | no |
| GS | 2023-10-16 | 292.93 | 0.2645 | 0.4142 | no |
| INCY | 2023-10-16 | 57.97 | 0.3146 | 0.4606 | no |
| IQV | 2023-10-16 | 200.73 | 0.5435 | 0.4298 | no |
| J | 2023-10-16 | 111.79 | 0.3013 | 0.5300 | no |
| LYB | 2023-10-16 | 76.93 | 0.5513 | 0.4768 | no |
| MCK | 2023-10-16 | 457.45 | 0.2448 | 0.4445 | no |
| MCO | 2023-10-16 | 312.64 | 0.3781 | 0.4789 | no |
| MMM | 2023-10-16 | 68.47 | 0.4087 | 0.4940 | no |
| MPC | 2023-10-16 | 140.84 | 0.4671 | 0.5012 | no |
| NOW | 2023-10-16 | 109.93 | 0.3136 | 0.4693 | no |
| NUE | 2023-10-16 | 143.73 | 0.3209 | 0.4513 | no |
| NVR | 2023-10-16 | 5981.32 | 0.3449 | — | no |
| ON | 2023-10-16 | 89.83 | 0.4819 | 0.5092 | no |
| PFE | 2023-10-16 | 27.07 | 0.3277 | 0.5687 | no |
| PNW | 2023-10-16 | 67.01 | 0.3494 | 0.4344 | no |
| PODD | 2023-10-16 | 134.52 | 0.5948 | 0.4188 | no |
| PPL | 2023-10-16 | 21.70 | 0.3524 | 0.4501 | no |
| QCOM | 2023-10-16 | 102.38 | 0.2369 | 0.5076 | no |
| RCL | 2023-10-16 | 83.80 | 0.4436 | 0.4836 | no |
| SBUX | 2023-10-16 | 85.47 | 0.3000 | 0.4327 | no |
| SLB | 2023-10-16 | 55.00 | 0.3776 | 0.5509 | no |
| SYY | 2023-10-16 | 58.98 | 0.2613 | 0.5070 | no |
| TEL | 2023-10-16 | 117.93 | 0.2941 | — | no |
| TSN | 2023-10-16 | 42.14 | 0.5354 | 0.4664 | no |
| VTRS | 2023-10-16 | 8.26 | 0.4710 | 0.4432 | no |
| WDC | 2023-10-16 | 34.44 | 0.3447 | 0.5346 | no |