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 | 16.86% | 17.41% | 2023-12-28 | -2.78% |
| buy & hold | participation factor overlay | 6 months | complete | 17.69% | 22.88% | 2024-03-28 | -5.69% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 18.07% | 18.75% | 2023-12-28 | -3.20% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 17.47% | 23.41% | 2024-03-28 | -6.65% |
| weekly rebalance | participation factor overlay | 3 months | complete | 16.54% | 17.07% | 2023-12-27 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 19.40% | 26.46% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 20.07% | 20.07% | 2024-01-30 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 25.49% | 32.86% | 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 | 2023-10-30 | 37.16 | 0.3136 | 0.4434 | no |
| AME | 2023-10-30 | 137.59 | 0.3782 | 0.4933 | no |
| BBWI | 2023-10-30 | 25.96 | 0.3042 | 0.4089 | no |
| BKR | 2023-10-30 | 32.91 | 0.3882 | 0.5369 | no |
| BMY | 2023-10-30 | 45.38 | 0.3676 | 0.5732 | no |
| CI | 2023-10-30 | 286.80 | 0.2973 | 0.4641 | no |
| CPB | 2023-10-30 | 35.66 | 0.3233 | 0.4441 | no |
| CVS | 2023-10-30 | 59.89 | 0.2545 | 0.4860 | no |
| DOW | 2023-10-30 | 40.94 | 0.4252 | 0.4575 | no |
| DUK | 2023-10-30 | 78.46 | 0.3717 | 0.4575 | no |
| ED | 2023-10-30 | 79.25 | 0.2718 | — | no |
| EIX | 2023-10-30 | 54.46 | 0.2923 | 0.5012 | no |
| EMN | 2023-10-30 | 65.06 | 0.4034 | 0.4466 | no |
| EPAM | 2023-10-30 | 213.47 | 0.3408 | 0.4569 | no |
| ETR | 2023-10-30 | 41.87 | 0.2841 | 0.4629 | no |
| EXC | 2023-10-30 | 34.42 | 0.5102 | 0.4387 | no |
| GEN | 2023-10-30 | 15.59 | 0.2767 | 0.4620 | no |
| HON | 2023-10-30 | 164.94 | 0.2944 | 0.4957 | no |
| IDXX | 2023-10-30 | 394.10 | 0.3399 | 0.4363 | no |
| ITW | 2023-10-30 | 209.95 | 0.3707 | 0.4932 | no |
| JBHT | 2023-10-30 | 162.62 | 0.3529 | 0.4831 | no |
| KMI | 2023-10-30 | 14.20 | 0.2796 | 0.4879 | no |
| KO | 2023-10-30 | 50.85 | 0.3756 | 0.4248 | no |
| KR | 2023-10-30 | 41.52 | 0.3394 | 0.5796 | no |
| MCD | 2023-10-30 | 241.94 | 0.3226 | 0.4409 | no |
| MDLZ | 2023-10-30 | 60.35 | 0.3320 | 0.4608 | no |
| MKTX | 2023-10-30 | 199.27 | 0.3391 | 0.4902 | no |
| MPWR | 2023-10-30 | 392.00 | 0.4933 | 0.5042 | no |
| NSC | 2023-10-30 | 174.07 | 0.2885 | 0.4959 | no |
| NVR | 2023-10-30 | 5427.00 | 0.2868 | — | no |
| NXPI | 2023-10-30 | 163.48 | 0.3557 | 0.5341 | no |
| OTIS | 2023-10-30 | 72.64 | 0.4075 | 0.5107 | no |
| PCG | 2023-10-30 | 15.72 | 0.2735 | 0.4968 | no |
| PFE | 2023-10-30 | 24.93 | 0.2946 | 0.5687 | no |
| PG | 2023-10-30 | 137.53 | 0.2579 | 0.4185 | no |
| PNW | 2023-10-30 | 65.68 | 0.6037 | 0.4344 | no |
| PODD | 2023-10-30 | 134.61 | 0.9095 | 0.4175 | no |
| PPG | 2023-10-30 | 113.98 | 0.2595 | 0.4661 | no |
| ROK | 2023-10-30 | 252.20 | 0.2860 | 0.4839 | no |
| SHW | 2023-10-30 | 231.61 | 0.3099 | 0.4580 | no |
| SLB | 2023-10-30 | 52.14 | 0.3155 | 0.5527 | no |
| SYY | 2023-10-30 | 59.94 | 0.5601 | 0.4995 | no |
| T | 2023-10-30 | 13.01 | 0.2956 | 0.4080 | no |
| TEL | 2023-10-30 | 111.11 | 0.2669 | — | no |
| TT | 2023-10-30 | 182.22 | 0.3237 | 0.4861 | no |
| URI | 2023-10-30 | 395.47 | 0.4211 | 0.5177 | no |
| VLO | 2023-10-30 | 114.67 | 0.3891 | 0.4997 | no |
| VTRS | 2023-10-30 | 7.80 | 0.5951 | 0.4432 | no |
| WAB | 2023-10-30 | 103.58 | 0.3715 | 0.5245 | no |
| WEC | 2023-10-30 | 73.65 | 0.3310 | 0.4524 | no |