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 | 16.58% | 17.18% | 2023-12-28 | -2.16% |
| buy & hold | participation factor overlay | 6 months | complete | 19.51% | 25.50% | 2024-03-28 | -6.11% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 16.63% | 17.06% | 2024-01-08 | -1.94% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 18.37% | 24.17% | 2024-03-28 | -6.29% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.35% | 16.76% | 2023-12-27 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 20.35% | 26.13% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 17.23% | 18.06% | 2023-12-28 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 24.92% | 32.02% | 2024-03-28 | -6.66% |
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 |
|---|---|---|---|---|---|
| AMCR | 2023-10-23 | 36.06 | 0.4424 | 0.4434 | no |
| AMP | 2023-10-23 | 298.20 | 0.3236 | 0.4475 | no |
| AOS | 2023-10-23 | 62.85 | 0.3479 | 0.4622 | no |
| BA | 2023-10-23 | 179.44 | 0.2584 | 0.5348 | no |
| BKR | 2023-10-23 | 32.53 | 0.3742 | 0.5312 | no |
| CB | 2023-10-23 | 200.11 | 0.3273 | 0.4973 | no |
| CCI | 2023-10-23 | 72.57 | 0.3040 | 0.4186 | no |
| COO | 2023-10-23 | 81.11 | 0.3683 | 0.4388 | no |
| CPB | 2023-10-23 | 34.92 | 0.3724 | 0.4441 | no |
| CZR | 2023-10-23 | 41.10 | 0.2618 | 0.4467 | no |
| DGX | 2023-10-23 | 116.23 | 0.4397 | 0.4606 | no |
| DOW | 2023-10-23 | 41.03 | 0.4010 | 0.4705 | no |
| DUK | 2023-10-23 | 77.00 | 0.3510 | 0.4575 | no |
| DXCM | 2023-10-23 | 85.75 | 0.2928 | 0.4123 | no |
| EIX | 2023-10-23 | 54.37 | 0.4123 | 0.5012 | no |
| EMN | 2023-10-23 | 62.38 | 0.2488 | 0.4575 | no |
| EXC | 2023-10-23 | 34.49 | 0.3242 | 0.4387 | no |
| FDX | 2023-10-23 | 181.88 | 0.3139 | 0.4738 | no |
| GEN | 2023-10-23 | 16.04 | 0.5026 | 0.4620 | no |
| ICE | 2023-10-23 | 103.59 | 0.2665 | 0.4883 | no |
| IRM | 2023-10-23 | 53.59 | 0.2761 | 0.4211 | no |
| J | 2023-10-23 | 106.11 | 0.3720 | 0.5300 | no |
| JPM | 2023-10-23 | 134.80 | 0.3739 | 0.4094 | no |
| KO | 2023-10-23 | 49.88 | 0.2735 | 0.4261 | no |
| LKQ | 2023-10-23 | 43.66 | 0.2949 | 0.5062 | no |
| LYB | 2023-10-23 | 75.25 | 0.3334 | 0.4768 | no |
| MAS | 2023-10-23 | 46.63 | 0.3184 | 0.4337 | no |
| MCD | 2023-10-23 | 238.69 | 0.2670 | 0.4409 | no |
| MDLZ | 2023-10-23 | 58.96 | 0.4398 | 0.4612 | no |
| MLM | 2023-10-23 | 400.73 | 0.2775 | 0.4843 | no |
| MPWR | 2023-10-23 | 407.76 | 0.4556 | 0.5060 | no |
| NVDA | 2023-10-23 | 41.11 | 0.2736 | 0.5127 | no |
| PEP | 2023-10-23 | 143.22 | 0.2714 | 0.4325 | no |
| PFE | 2023-10-23 | 25.37 | 0.4181 | 0.5687 | no |
| PG | 2023-10-23 | 137.49 | 0.3474 | 0.4211 | no |
| PGR | 2023-10-23 | 141.78 | 0.2582 | 0.4801 | no |
| PH | 2023-10-23 | 361.87 | 0.3202 | 0.4973 | no |
| PODD | 2023-10-23 | 143.03 | 0.8564 | 0.4188 | no |
| SBUX | 2023-10-23 | 87.11 | 0.2869 | 0.4289 | no |
| SHW | 2023-10-23 | 230.13 | 0.2726 | 0.4582 | no |
| STZ | 2023-10-23 | 215.22 | 0.3458 | 0.4183 | no |
| SYY | 2023-10-23 | 60.27 | 0.5311 | 0.5009 | no |
| TSN | 2023-10-23 | 41.55 | 0.2871 | 0.4656 | no |
| ULTA | 2023-10-23 | 371.35 | 0.3444 | 0.4505 | no |
| UNP | 2023-10-23 | 196.84 | 0.3212 | 0.4859 | no |
| URI | 2023-10-23 | 396.01 | 0.2602 | 0.5101 | no |
| VTRS | 2023-10-23 | 7.94 | 0.3691 | 0.4432 | no |
| WEC | 2023-10-23 | 72.11 | 0.2874 | 0.4524 | no |
| WY | 2023-10-23 | 26.41 | 0.2463 | 0.4819 | no |
| ZTS | 2023-10-23 | 159.89 | 0.2623 | 0.4704 | no |