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 | 14.44% | 15.18% | 2023-12-28 | -2.40% |
| buy & hold | participation factor overlay | 6 months | complete | 16.34% | 21.13% | 2024-03-28 | -5.49% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 15.55% | 16.24% | 2023-12-28 | -2.47% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 15.06% | 20.12% | 2024-03-28 | -6.26% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.83% | 15.22% | 2023-12-27 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 14.72% | 21.87% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 14.33% | 16.48% | 2023-12-27 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.18% | 24.15% | 2024-03-28 | -7.49% |
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 |
|---|---|---|---|---|---|
| ABT | 2023-10-23 | 91.52 | 0.3018 | 0.4163 | no |
| AMCR | 2023-10-23 | 36.06 | 0.2735 | 0.4434 | no |
| AMP | 2023-10-23 | 298.20 | 0.2601 | 0.4475 | no |
| AOS | 2023-10-23 | 62.85 | 0.2600 | 0.4622 | no |
| BKR | 2023-10-23 | 32.53 | 0.3548 | 0.5312 | no |
| CARR | 2023-10-23 | 46.47 | 0.2598 | 0.4851 | no |
| CNP | 2023-10-23 | 24.84 | 0.2460 | 0.4475 | no |
| CPB | 2023-10-23 | 34.92 | 0.3728 | 0.4441 | no |
| CZR | 2023-10-23 | 41.10 | 0.3835 | 0.4467 | no |
| DGX | 2023-10-23 | 116.23 | 0.3562 | 0.4606 | no |
| DOW | 2023-10-23 | 41.03 | 0.3962 | 0.4705 | no |
| DUK | 2023-10-23 | 77.00 | 0.3972 | 0.4575 | no |
| EIX | 2023-10-23 | 54.37 | 0.2439 | 0.5012 | no |
| EMN | 2023-10-23 | 62.38 | 0.2448 | 0.4575 | no |
| EXC | 2023-10-23 | 34.49 | 0.4025 | 0.4387 | no |
| FDX | 2023-10-23 | 181.88 | 0.3690 | 0.4738 | no |
| FICO | 2023-10-23 | 909.07 | 0.2766 | 0.4649 | no |
| GEN | 2023-10-23 | 16.04 | 0.4632 | 0.4620 | no |
| HAS | 2023-10-23 | 49.12 | 0.3651 | 0.4567 | no |
| ICE | 2023-10-23 | 103.59 | 0.2746 | 0.4883 | no |
| IR | 2023-10-23 | 60.17 | 0.2539 | 0.5065 | no |
| J | 2023-10-23 | 106.11 | 0.4201 | 0.5300 | no |
| KDP | 2023-10-23 | 26.42 | 0.2514 | 0.4482 | no |
| KHC | 2023-10-23 | 26.49 | 0.2788 | 0.4345 | no |
| LH | 2023-10-23 | 192.31 | 0.2899 | 0.4712 | no |
| MAS | 2023-10-23 | 46.63 | 0.2668 | 0.4337 | no |
| MCD | 2023-10-23 | 238.69 | 0.2804 | 0.4409 | no |
| MDLZ | 2023-10-23 | 58.96 | 0.5007 | 0.4612 | no |
| MPC | 2023-10-23 | 142.11 | 0.2425 | 0.5012 | no |
| MPWR | 2023-10-23 | 407.76 | 0.4936 | 0.5060 | no |
| MSCI | 2023-10-23 | 468.99 | 0.2793 | 0.4761 | no |
| NDAQ | 2023-10-23 | 48.31 | 0.4048 | 0.4639 | no |
| NFLX | 2023-10-23 | 40.33 | 0.2785 | 0.4225 | no |
| NXPI | 2023-10-23 | 174.40 | 0.2632 | 0.5362 | no |
| OTIS | 2023-10-23 | 73.22 | 0.2527 | 0.5027 | no |
| PAYC | 2023-10-23 | 251.23 | 0.3400 | 0.4481 | no |
| PFE | 2023-10-23 | 25.37 | 0.3622 | 0.5687 | no |
| PG | 2023-10-23 | 137.49 | 0.3939 | 0.4211 | no |
| PODD | 2023-10-23 | 143.03 | 0.6442 | 0.4188 | no |
| SBUX | 2023-10-23 | 87.11 | 0.2776 | 0.4289 | no |
| SHW | 2023-10-23 | 230.13 | 0.2693 | 0.4582 | no |
| SLB | 2023-10-23 | 54.05 | 0.3212 | 0.5527 | no |
| STZ | 2023-10-23 | 215.22 | 0.4109 | 0.4183 | no |
| SYY | 2023-10-23 | 60.27 | 0.4502 | 0.5009 | no |
| TFC | 2023-10-23 | 23.31 | 0.3151 | 0.4165 | no |
| UNP | 2023-10-23 | 196.84 | 0.3207 | 0.4859 | no |
| URI | 2023-10-23 | 396.01 | 0.3016 | 0.5101 | no |
| VTRS | 2023-10-23 | 7.94 | 0.2892 | 0.4432 | no |
| WEC | 2023-10-23 | 72.11 | 0.3177 | 0.4524 | no |
| ZTS | 2023-10-23 | 159.89 | 0.3559 | 0.4704 | no |