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 | 17.26% | 17.61% | 2023-12-28 | -3.04% |
| buy & hold | participation factor overlay | 6 months | complete | 19.05% | 23.92% | 2024-03-28 | -5.49% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 18.11% | 18.44% | 2023-12-28 | -3.44% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 18.47% | 23.93% | 2024-03-28 | -5.88% |
| weekly rebalance | participation factor overlay | 3 months | complete | 12.42% | 15.47% | 2023-12-14 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.59% | 20.09% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 15.83% | 18.26% | 2023-12-28 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 17.08% | 23.79% | 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 |
|---|---|---|---|---|---|
| ADI | 2023-10-30 | 150.42 | 0.4551 | 0.5354 | no |
| AMCR | 2023-10-30 | 37.16 | 0.3746 | 0.4434 | no |
| AMGN | 2023-10-30 | 242.22 | 0.2938 | 0.5271 | no |
| AMT | 2023-10-30 | 156.32 | 0.3461 | 0.4189 | no |
| BBWI | 2023-10-30 | 25.96 | 0.4170 | 0.4089 | no |
| BBY | 2023-10-30 | 55.77 | 0.3450 | 0.5618 | no |
| BG | 2023-10-30 | 97.45 | 0.2941 | 0.4661 | no |
| BKR | 2023-10-30 | 32.91 | 0.2951 | 0.5369 | no |
| BMY | 2023-10-30 | 45.38 | 0.4336 | 0.5732 | no |
| BRK.B | 2023-10-30 | 332.96 | 0.3687 | — | no |
| CPB | 2023-10-30 | 35.66 | 0.3235 | 0.4441 | no |
| DOW | 2023-10-30 | 40.94 | 0.4437 | 0.4575 | no |
| DUK | 2023-10-30 | 78.46 | 0.3995 | 0.4575 | no |
| ECL | 2023-10-30 | 153.90 | 0.4173 | 0.4732 | no |
| EIX | 2023-10-30 | 54.46 | 0.4137 | 0.5012 | no |
| EMN | 2023-10-30 | 65.06 | 0.3458 | 0.4466 | no |
| EXC | 2023-10-30 | 34.42 | 0.3895 | 0.4387 | no |
| GEN | 2023-10-30 | 15.59 | 0.2885 | 0.4620 | no |
| HON | 2023-10-30 | 164.94 | 0.3089 | 0.4957 | no |
| IRM | 2023-10-30 | 53.21 | 0.3165 | 0.4201 | no |
| ITW | 2023-10-30 | 209.95 | 0.3804 | 0.4932 | no |
| JCI | 2023-10-30 | 46.67 | 0.4216 | 0.4966 | no |
| KMI | 2023-10-30 | 14.20 | 0.3863 | 0.4879 | no |
| LDOS | 2023-10-30 | 89.27 | 0.2824 | 0.5445 | no |
| LH | 2023-10-30 | 192.32 | 0.2984 | 0.4627 | no |
| MCD | 2023-10-30 | 241.94 | 0.3957 | 0.4409 | no |
| MDLZ | 2023-10-30 | 60.35 | 0.3613 | 0.4608 | no |
| MKTX | 2023-10-30 | 199.27 | 0.4025 | 0.4902 | no |
| MLM | 2023-10-30 | 393.09 | 0.2963 | 0.4843 | no |
| MPWR | 2023-10-30 | 392.00 | 0.5531 | 0.5042 | no |
| MSCI | 2023-10-30 | 461.86 | 0.3553 | 0.4761 | no |
| OTIS | 2023-10-30 | 72.64 | 0.5634 | 0.5107 | no |
| PAYC | 2023-10-30 | 235.17 | 0.3728 | 0.4488 | no |
| PEG | 2023-10-30 | 54.85 | 0.4185 | 0.4579 | no |
| PH | 2023-10-30 | 359.38 | 0.3089 | 0.4972 | no |
| PNW | 2023-10-30 | 65.68 | 0.5952 | 0.4344 | no |
| PODD | 2023-10-30 | 134.61 | 0.8326 | 0.4175 | no |
| PPG | 2023-10-30 | 113.98 | 0.3620 | 0.4661 | no |
| SBUX | 2023-10-30 | 86.35 | 0.3347 | 0.4274 | no |
| SHW | 2023-10-30 | 231.61 | 0.3152 | 0.4580 | no |
| SLB | 2023-10-30 | 52.14 | 0.3544 | 0.5527 | no |
| SPGI | 2023-10-30 | 318.41 | 0.3398 | 0.4745 | no |
| SYY | 2023-10-30 | 59.94 | 0.4315 | 0.4995 | no |
| TT | 2023-10-30 | 182.22 | 0.3056 | 0.4861 | no |
| ULTA | 2023-10-30 | 381.74 | 0.3604 | 0.4440 | no |
| URI | 2023-10-30 | 395.47 | 0.5014 | 0.5177 | no |
| VTRS | 2023-10-30 | 7.80 | 0.4949 | 0.4432 | no |
| WAB | 2023-10-30 | 103.58 | 0.3685 | 0.5245 | no |
| WDC | 2023-10-30 | 32.46 | 0.3791 | 0.5326 | no |
| WEC | 2023-10-30 | 73.65 | 0.3213 | 0.4524 | no |