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 | 11.55% | 13.87% | 2024-01-02 | -4.74% |
| buy & hold | participation factor overlay | 6 months | complete | 14.26% | 20.27% | 2024-03-28 | -4.99% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.59% | 13.57% | 2023-12-28 | -5.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.61% | 18.85% | 2024-03-28 | -5.72% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.98% | 13.25% | 2023-12-27 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.54% | 22.34% | 2024-03-28 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 11.44% | 13.97% | 2023-12-28 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 19.95% | 27.45% | 2024-03-28 | -5.88% |
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 | 0.4016 | 0.4777 | no |
| AIZ | 2023-10-16 | 142.36 | 0.3062 | 0.4586 | no |
| AMCR | 2023-10-16 | 37.33 | 0.4078 | 0.4440 | no |
| AMP | 2023-10-16 | 316.16 | 0.4961 | 0.4475 | no |
| AMT | 2023-10-16 | 151.29 | 0.3355 | 0.4110 | no |
| AOS | 2023-10-16 | 67.01 | 0.3317 | 0.4622 | no |
| BAC | 2023-10-16 | 25.28 | 0.4601 | 0.4176 | no |
| BMY | 2023-10-16 | 49.81 | 0.3418 | 0.5684 | no |
| CAG | 2023-10-16 | 23.13 | 0.3043 | 0.4546 | no |
| CCI | 2023-10-16 | 79.90 | 0.3629 | 0.4229 | no |
| CME | 2023-10-16 | 193.97 | 0.4807 | 0.5110 | no |
| CVX | 2023-10-16 | 145.84 | 0.3122 | 0.5458 | no |
| CZR | 2023-10-16 | 42.89 | 0.3599 | 0.4467 | no |
| DOW | 2023-10-16 | 42.34 | 0.2953 | 0.4705 | no |
| DXCM | 2023-10-16 | 77.58 | 0.4965 | 0.4123 | no |
| ECL | 2023-10-16 | 161.04 | 0.4273 | 0.4730 | no |
| ETR | 2023-10-16 | 42.88 | 0.3258 | 0.4629 | no |
| FCX | 2023-10-16 | 34.57 | 0.3186 | 0.5794 | no |
| GEN | 2023-10-16 | 16.26 | 0.5890 | 0.4612 | no |
| INCY | 2023-10-16 | 57.97 | 0.2841 | 0.4606 | no |
| IQV | 2023-10-16 | 200.73 | 0.3068 | 0.4298 | no |
| J | 2023-10-16 | 111.79 | 0.2882 | 0.5300 | no |
| KMI | 2023-10-16 | 14.87 | 0.4249 | 0.4817 | no |
| LH | 2023-10-16 | 195.38 | 0.2907 | 0.4711 | no |
| LYB | 2023-10-16 | 76.93 | 0.3904 | 0.4768 | no |
| MAS | 2023-10-16 | 49.32 | 0.5006 | 0.4337 | no |
| MCK | 2023-10-16 | 457.45 | 0.2969 | 0.4445 | no |
| MDLZ | 2023-10-16 | 57.07 | 0.2786 | 0.4618 | no |
| MMM | 2023-10-16 | 68.47 | 0.4499 | 0.4940 | no |
| MPC | 2023-10-16 | 140.84 | 0.4928 | 0.5012 | no |
| MS | 2023-10-16 | 71.87 | 0.2918 | 0.4196 | no |
| NOW | 2023-10-16 | 109.93 | 0.2813 | 0.4693 | no |
| NVR | 2023-10-16 | 5981.32 | 0.3203 | — | no |
| ODFL | 2023-10-16 | 201.23 | 0.3224 | 0.4714 | no |
| ON | 2023-10-16 | 89.83 | 0.2990 | 0.5092 | no |
| PCAR | 2023-10-16 | 76.13 | 0.2802 | 0.5217 | no |
| PFE | 2023-10-16 | 27.07 | 0.3507 | 0.5687 | no |
| PFG | 2023-10-16 | 63.31 | 0.4066 | 0.4691 | no |
| PG | 2023-10-16 | 134.78 | 0.3068 | 0.4232 | no |
| PODD | 2023-10-16 | 134.52 | 0.4034 | 0.4188 | no |
| PPL | 2023-10-16 | 21.70 | 0.3438 | 0.4501 | no |
| RCL | 2023-10-16 | 83.80 | 0.3657 | 0.4836 | no |
| SBUX | 2023-10-16 | 85.47 | 0.4053 | 0.4327 | no |
| SHW | 2023-10-16 | 243.46 | 0.2710 | 0.4583 | no |
| SYY | 2023-10-16 | 58.98 | 0.2661 | 0.5070 | no |
| TEL | 2023-10-16 | 117.93 | 0.3704 | — | no |
| TSN | 2023-10-16 | 42.14 | 0.4712 | 0.4664 | no |
| URI | 2023-10-16 | 428.98 | 0.2814 | 0.5097 | no |
| VTRS | 2023-10-16 | 8.26 | 0.2740 | 0.4432 | no |
| WEC | 2023-10-16 | 74.32 | 0.3432 | 0.4524 | no |