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 | 16.85% | 17.22% | 2023-12-28 | -2.36% |
| buy & hold | participation factor overlay | 6 months | complete | 19.72% | 26.09% | 2024-03-28 | -6.70% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 19.88% | 20.42% | 2023-12-28 | -2.50% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 22.96% | 29.26% | 2024-03-28 | -6.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.59% | 14.08% | 2023-12-14 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.40% | 18.65% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 14.08% | 17.15% | 2023-12-28 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 15.83% | 22.62% | 2024-03-28 | -6.38% |
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 |
|---|---|---|---|---|---|
| ADSK | 2023-10-23 | 201.62 | 0.2794 | 0.5028 | no |
| AEP | 2023-10-23 | 65.19 | 0.3660 | 0.4480 | no |
| AFL | 2023-10-23 | 72.95 | 0.2765 | 0.4547 | no |
| AMCR | 2023-10-23 | 36.06 | 0.3870 | 0.4434 | no |
| AMGN | 2023-10-23 | 256.04 | 0.3489 | 0.5271 | no |
| AMP | 2023-10-23 | 298.20 | 0.3199 | 0.4475 | no |
| AOS | 2023-10-23 | 62.85 | 0.3139 | 0.4622 | no |
| APH | 2023-10-23 | 19.45 | 0.3082 | 0.4579 | no |
| CCI | 2023-10-23 | 72.57 | 0.3702 | 0.4186 | no |
| COO | 2023-10-23 | 81.11 | 0.3114 | 0.4388 | no |
| CPB | 2023-10-23 | 34.92 | 0.3015 | 0.4441 | no |
| CVX | 2023-10-23 | 144.05 | 0.2896 | 0.5458 | no |
| CZR | 2023-10-23 | 41.10 | 0.3534 | 0.4467 | no |
| DGX | 2023-10-23 | 116.23 | 0.4063 | 0.4606 | no |
| DOW | 2023-10-23 | 41.03 | 0.4069 | 0.4705 | no |
| DPZ | 2023-10-23 | 329.33 | 0.3302 | 0.4177 | no |
| EXC | 2023-10-23 | 34.49 | 0.2966 | 0.4387 | no |
| FDX | 2023-10-23 | 181.88 | 0.6050 | 0.4738 | no |
| FICO | 2023-10-23 | 909.07 | 0.3654 | 0.4649 | no |
| GEN | 2023-10-23 | 16.04 | 0.3428 | 0.4620 | no |
| ICE | 2023-10-23 | 103.59 | 0.2799 | 0.4883 | no |
| IEX | 2023-10-23 | 185.41 | 0.3228 | 0.5048 | no |
| J | 2023-10-23 | 106.11 | 0.2769 | 0.5300 | no |
| JPM | 2023-10-23 | 134.80 | 0.4306 | 0.4094 | no |
| LYB | 2023-10-23 | 75.25 | 0.2849 | 0.4768 | no |
| MAS | 2023-10-23 | 46.63 | 0.4307 | 0.4337 | no |
| MCD | 2023-10-23 | 238.69 | 0.4128 | 0.4409 | no |
| MDLZ | 2023-10-23 | 58.96 | 0.5126 | 0.4612 | no |
| MLM | 2023-10-23 | 400.73 | 0.2983 | 0.4843 | no |
| MOS | 2023-10-23 | 30.86 | 0.4840 | 0.4429 | no |
| MPWR | 2023-10-23 | 407.76 | 0.6121 | 0.5060 | no |
| MSCI | 2023-10-23 | 468.99 | 0.2880 | 0.4761 | no |
| NVDA | 2023-10-23 | 41.11 | 0.3422 | 0.5127 | no |
| NXPI | 2023-10-23 | 174.40 | 0.4564 | 0.5362 | no |
| ON | 2023-10-23 | 84.07 | 0.3563 | 0.5098 | no |
| PAYC | 2023-10-23 | 251.23 | 0.4255 | 0.4481 | no |
| PG | 2023-10-23 | 137.49 | 0.3764 | 0.4211 | no |
| PHM | 2023-10-23 | 67.98 | 0.3259 | 0.4414 | no |
| PODD | 2023-10-23 | 143.03 | 0.7485 | 0.4188 | no |
| PPG | 2023-10-23 | 115.59 | 0.5476 | 0.4661 | no |
| SHW | 2023-10-23 | 230.13 | 0.4592 | 0.4582 | no |
| SLB | 2023-10-23 | 54.05 | 0.3450 | 0.5527 | no |
| SYY | 2023-10-23 | 60.27 | 0.5561 | 0.5009 | no |
| TDG | 2023-10-23 | 702.62 | 0.3232 | 0.5560 | no |
| TFC | 2023-10-23 | 23.31 | 0.3987 | 0.4165 | no |
| TGT | 2023-10-23 | 96.84 | 0.4018 | 0.5173 | no |
| TSN | 2023-10-23 | 41.55 | 0.2961 | 0.4656 | no |
| URI | 2023-10-23 | 396.01 | 0.4130 | 0.5101 | no |
| WEC | 2023-10-23 | 72.11 | 0.3218 | 0.4524 | no |
| ZTS | 2023-10-23 | 159.89 | 0.2867 | 0.4704 | no |