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 | 17.95% | 18.12% | 2024-01-29 | -2.04% |
| buy & hold | participation factor overlay | 6 months | complete | 21.11% | 26.56% | 2024-03-28 | -5.64% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 19.93% | 19.93% | 2024-01-30 | -2.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 22.20% | 27.10% | 2024-03-28 | -5.58% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.98% | 16.45% | 2023-12-27 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.52% | 23.18% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 17.57% | 18.37% | 2023-12-27 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 17.79% | 26.16% | 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 |
|---|---|---|---|---|---|
| ADI | 2023-10-30 | 150.42 | 0.3004 | 0.5354 | no |
| AEE | 2023-10-30 | 69.00 | 0.3044 | 0.4366 | no |
| AEP | 2023-10-30 | 67.43 | 0.3221 | 0.4480 | no |
| AMD | 2023-10-30 | 96.14 | 0.3282 | 0.5187 | no |
| AME | 2023-10-30 | 137.59 | 0.4247 | 0.4933 | no |
| AOS | 2023-10-30 | 65.16 | 0.2999 | 0.4528 | no |
| ATO | 2023-10-30 | 99.09 | 0.3058 | 0.5321 | no |
| AZO | 2023-10-30 | 2455.43 | 0.3201 | 0.5553 | no |
| BBWI | 2023-10-30 | 25.96 | 0.3512 | 0.4089 | no |
| BKR | 2023-10-30 | 32.91 | 0.4296 | 0.5369 | no |
| BMY | 2023-10-30 | 45.38 | 0.4430 | 0.5732 | no |
| CL | 2023-10-30 | 68.28 | 0.4057 | 0.4180 | no |
| CPB | 2023-10-30 | 35.66 | 0.3935 | 0.4441 | no |
| DOW | 2023-10-30 | 40.94 | 0.5284 | 0.4575 | no |
| DUK | 2023-10-30 | 78.46 | 0.4398 | 0.4575 | no |
| ECL | 2023-10-30 | 153.90 | 0.3185 | 0.4732 | no |
| ED | 2023-10-30 | 79.25 | 0.3805 | — | no |
| EG | 2023-10-30 | 368.42 | 0.3697 | 0.4886 | no |
| EIX | 2023-10-30 | 54.46 | 0.4180 | 0.5012 | no |
| EMN | 2023-10-30 | 65.06 | 0.3930 | 0.4466 | no |
| EPAM | 2023-10-30 | 213.47 | 0.3470 | 0.4569 | no |
| EXC | 2023-10-30 | 34.42 | 0.4748 | 0.4387 | no |
| FFIV | 2023-10-30 | 150.54 | 0.3311 | 0.4652 | no |
| GEN | 2023-10-30 | 15.59 | 0.3154 | 0.4620 | no |
| GOOG | 2023-10-30 | 123.29 | 0.3449 | — | no |
| GOOGL | 2023-10-30 | 122.05 | 0.3052 | 0.4430 | no |
| ITW | 2023-10-30 | 209.95 | 0.3825 | 0.4932 | no |
| JCI | 2023-10-30 | 46.67 | 0.3479 | 0.4966 | no |
| KMI | 2023-10-30 | 14.20 | 0.3462 | 0.4879 | no |
| MSCI | 2023-10-30 | 461.86 | 0.3471 | 0.4761 | no |
| NSC | 2023-10-30 | 174.07 | 0.3290 | 0.4959 | no |
| NVDA | 2023-10-30 | 40.96 | 0.4095 | 0.5115 | no |
| NXPI | 2023-10-30 | 163.48 | 0.3528 | 0.5341 | no |
| OTIS | 2023-10-30 | 72.64 | 0.4963 | 0.5107 | no |
| PCAR | 2023-10-30 | 75.04 | 0.2981 | 0.5203 | no |
| PCG | 2023-10-30 | 15.72 | 0.4038 | 0.4968 | no |
| PEG | 2023-10-30 | 54.85 | 0.3689 | 0.4579 | no |
| PNW | 2023-10-30 | 65.68 | 0.7086 | 0.4344 | no |
| PODD | 2023-10-30 | 134.61 | 0.7684 | 0.4175 | no |
| PPG | 2023-10-30 | 113.98 | 0.4034 | 0.4661 | no |
| SBUX | 2023-10-30 | 86.35 | 0.3140 | 0.4274 | no |
| SLB | 2023-10-30 | 52.14 | 0.2955 | 0.5527 | no |
| SYY | 2023-10-30 | 59.94 | 0.4232 | 0.4995 | no |
| TT | 2023-10-30 | 182.22 | 0.3475 | 0.4861 | no |
| ULTA | 2023-10-30 | 381.74 | 0.2971 | 0.4440 | no |
| URI | 2023-10-30 | 395.47 | 0.4928 | 0.5177 | no |
| VTRS | 2023-10-30 | 7.80 | 0.5793 | 0.4432 | no |
| WDC | 2023-10-30 | 32.46 | 0.3623 | 0.5326 | no |
| WEC | 2023-10-30 | 73.65 | 0.3456 | 0.4524 | no |
| WY | 2023-10-30 | 26.14 | 0.3059 | 0.4819 | no |