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 | 18.16% | 18.16% | 2024-01-30 | -2.44% |
| buy & hold | participation factor overlay | 6 months | complete | 21.82% | 26.50% | 2024-03-28 | -5.44% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 18.91% | 18.91% | 2024-01-30 | -3.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 18.42% | 23.75% | 2024-03-28 | -5.75% |
| weekly rebalance | participation factor overlay | 3 months | complete | 14.15% | 15.75% | 2023-12-26 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.75% | 22.95% | 2024-03-28 | -5.91% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 15.78% | 17.38% | 2023-12-28 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.62% | 22.84% | 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 |
|---|---|---|---|---|---|
| ADI | 2023-10-30 | 150.42 | 0.2976 | 0.5354 | no |
| AME | 2023-10-30 | 137.59 | 0.3681 | 0.4933 | no |
| AMGN | 2023-10-30 | 242.22 | 0.3140 | 0.5271 | no |
| AZO | 2023-10-30 | 2455.43 | 0.3160 | 0.5553 | no |
| BKR | 2023-10-30 | 32.91 | 0.3158 | 0.5369 | no |
| BMY | 2023-10-30 | 45.38 | 0.5799 | 0.5732 | no |
| BRK.B | 2023-10-30 | 332.96 | 0.2924 | — | no |
| CL | 2023-10-30 | 68.28 | 0.2817 | 0.4180 | no |
| CMI | 2023-10-30 | 204.25 | 0.2731 | 0.5274 | no |
| CPB | 2023-10-30 | 35.66 | 0.2976 | 0.4441 | no |
| DOW | 2023-10-30 | 40.94 | 0.4934 | 0.4575 | no |
| DUK | 2023-10-30 | 78.46 | 0.4196 | 0.4575 | no |
| EIX | 2023-10-30 | 54.46 | 0.3649 | 0.5012 | no |
| EMN | 2023-10-30 | 65.06 | 0.3148 | 0.4466 | no |
| EXC | 2023-10-30 | 34.42 | 0.4466 | 0.4387 | no |
| FTNT | 2023-10-30 | 56.51 | 0.2793 | 0.5376 | no |
| GE | 2023-10-30 | 84.48 | 0.3122 | 0.4813 | no |
| GEN | 2023-10-30 | 15.59 | 0.6092 | 0.4620 | no |
| GOOG | 2023-10-30 | 123.29 | 0.2826 | — | no |
| HON | 2023-10-30 | 164.94 | 0.2760 | 0.4957 | no |
| IR | 2023-10-30 | 59.85 | 0.2795 | 0.5065 | no |
| ITW | 2023-10-30 | 209.95 | 0.4651 | 0.4932 | no |
| JBHT | 2023-10-30 | 162.62 | 0.3555 | 0.4831 | no |
| KMI | 2023-10-30 | 14.20 | 0.3104 | 0.4879 | no |
| KR | 2023-10-30 | 41.52 | 0.3121 | 0.5796 | no |
| MCD | 2023-10-30 | 241.94 | 0.3495 | 0.4409 | no |
| MDLZ | 2023-10-30 | 60.35 | 0.3688 | 0.4608 | no |
| MGM | 2023-10-30 | 34.71 | 0.3694 | 0.4347 | no |
| MKTX | 2023-10-30 | 199.27 | 0.3127 | 0.4902 | no |
| MMM | 2023-10-30 | 67.81 | 0.4079 | 0.5022 | no |
| MPWR | 2023-10-30 | 392.00 | 0.2964 | 0.5042 | no |
| MSCI | 2023-10-30 | 461.86 | 0.3438 | 0.4761 | no |
| MU | 2023-10-30 | 65.74 | 0.2765 | 0.5429 | no |
| NSC | 2023-10-30 | 174.07 | 0.3372 | 0.4959 | no |
| NVDA | 2023-10-30 | 40.96 | 0.2796 | 0.5115 | no |
| NXPI | 2023-10-30 | 163.48 | 0.3646 | 0.5341 | no |
| OTIS | 2023-10-30 | 72.64 | 0.4323 | 0.5107 | no |
| PAYC | 2023-10-30 | 235.17 | 0.4740 | 0.4488 | no |
| PCG | 2023-10-30 | 15.72 | 0.3638 | 0.4968 | no |
| PHM | 2023-10-30 | 70.94 | 0.2825 | 0.4506 | no |
| PNW | 2023-10-30 | 65.68 | 0.6681 | 0.4344 | no |
| PODD | 2023-10-30 | 134.61 | 0.9974 | 0.4175 | no |
| SBUX | 2023-10-30 | 86.35 | 0.3758 | 0.4274 | no |
| SLB | 2023-10-30 | 52.14 | 0.3471 | 0.5527 | no |
| SRE | 2023-10-30 | 64.38 | 0.2761 | 0.4880 | no |
| SYY | 2023-10-30 | 59.94 | 0.4697 | 0.4995 | no |
| ULTA | 2023-10-30 | 381.74 | 0.3533 | 0.4440 | no |
| URI | 2023-10-30 | 395.47 | 0.4453 | 0.5177 | no |
| VTRS | 2023-10-30 | 7.80 | 0.4342 | 0.4432 | no |
| WDC | 2023-10-30 | 32.46 | 0.2835 | 0.5326 | no |