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 | 13.03% | 14.78% | 2023-12-28 | -3.26% |
| buy & hold | participation factor overlay | 6 months | complete | 14.27% | 20.28% | 2024-03-28 | -6.29% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 14.37% | 15.07% | 2023-12-28 | -2.49% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 15.50% | 21.43% | 2024-03-28 | -6.32% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.22% | 14.39% | 2023-12-26 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.67% | 21.51% | 2024-03-28 | -5.91% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.99% | 15.40% | 2023-12-28 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 14.84% | 20.78% | 2024-03-28 | -5.96% |
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 |
|---|---|---|---|---|---|
| ALB | 2023-10-23 | 130.27 | 0.2894 | 0.4801 | no |
| AMCR | 2023-10-23 | 36.06 | 0.4416 | 0.4434 | no |
| AMP | 2023-10-23 | 298.20 | 0.3123 | 0.4475 | no |
| APH | 2023-10-23 | 19.45 | 0.3014 | 0.4579 | no |
| ATO | 2023-10-23 | 100.10 | 0.2733 | 0.5321 | no |
| BBY | 2023-10-23 | 59.24 | 0.3992 | 0.5736 | no |
| CARR | 2023-10-23 | 46.47 | 0.2773 | 0.4851 | no |
| CCI | 2023-10-23 | 72.57 | 0.4243 | 0.4186 | no |
| CDW | 2023-10-23 | 190.52 | 0.2746 | 0.4980 | no |
| CPB | 2023-10-23 | 34.92 | 0.3411 | 0.4441 | no |
| DE | 2023-10-23 | 359.40 | 0.2672 | 0.4996 | no |
| DGX | 2023-10-23 | 116.23 | 0.4122 | 0.4606 | no |
| DOW | 2023-10-23 | 41.03 | 0.3572 | 0.4705 | no |
| DUK | 2023-10-23 | 77.00 | 0.4383 | 0.4575 | no |
| EIX | 2023-10-23 | 54.37 | 0.3059 | 0.5012 | no |
| EXC | 2023-10-23 | 34.49 | 0.5772 | 0.4387 | no |
| FDX | 2023-10-23 | 181.88 | 0.4317 | 0.4738 | no |
| GEN | 2023-10-23 | 16.04 | 0.5535 | 0.4620 | no |
| HAS | 2023-10-23 | 49.12 | 0.3818 | 0.4567 | no |
| J | 2023-10-23 | 106.11 | 0.4011 | 0.5300 | no |
| JPM | 2023-10-23 | 134.80 | 0.3310 | 0.4094 | no |
| KO | 2023-10-23 | 49.88 | 0.2647 | 0.4261 | no |
| LH | 2023-10-23 | 192.31 | 0.2597 | 0.4712 | no |
| LKQ | 2023-10-23 | 43.66 | 0.3170 | 0.5062 | no |
| LYB | 2023-10-23 | 75.25 | 0.3785 | 0.4768 | no |
| MAS | 2023-10-23 | 46.63 | 0.2780 | 0.4337 | no |
| MCD | 2023-10-23 | 238.69 | 0.4080 | 0.4409 | no |
| MDLZ | 2023-10-23 | 58.96 | 0.5502 | 0.4612 | no |
| MPC | 2023-10-23 | 142.11 | 0.3323 | 0.5012 | no |
| MPWR | 2023-10-23 | 407.76 | 0.4071 | 0.5060 | no |
| MSCI | 2023-10-23 | 468.99 | 0.4074 | 0.4761 | no |
| NDAQ | 2023-10-23 | 48.31 | 0.3299 | 0.4639 | no |
| NXPI | 2023-10-23 | 174.40 | 0.2731 | 0.5362 | no |
| ON | 2023-10-23 | 84.07 | 0.4070 | 0.5098 | no |
| PFE | 2023-10-23 | 25.37 | 0.3698 | 0.5687 | no |
| PG | 2023-10-23 | 137.49 | 0.3763 | 0.4211 | no |
| PNW | 2023-10-23 | 64.58 | 0.3375 | 0.4344 | no |
| PODD | 2023-10-23 | 143.03 | 0.7701 | 0.4188 | no |
| SBUX | 2023-10-23 | 87.11 | 0.3514 | 0.4289 | no |
| SHW | 2023-10-23 | 230.13 | 0.3072 | 0.4582 | no |
| SLB | 2023-10-23 | 54.05 | 0.3534 | 0.5527 | no |
| SPGI | 2023-10-23 | 321.27 | 0.2914 | 0.4745 | no |
| STZ | 2023-10-23 | 215.22 | 0.2997 | 0.4183 | no |
| SYY | 2023-10-23 | 60.27 | 0.5430 | 0.5009 | no |
| TFC | 2023-10-23 | 23.31 | 0.3190 | 0.4165 | no |
| ULTA | 2023-10-23 | 371.35 | 0.3113 | 0.4505 | no |
| URI | 2023-10-23 | 396.01 | 0.3922 | 0.5101 | no |
| WAB | 2023-10-23 | 97.97 | 0.3285 | 0.5347 | no |
| WEC | 2023-10-23 | 72.11 | 0.2982 | 0.4524 | no |
| ZTS | 2023-10-23 | 159.89 | 0.3686 | 0.4704 | no |