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 | 8.50% | 9.78% | 2024-01-30 | -2.42% |
| buy & hold | participation factor overlay | 6 months | complete | 14.61% | 17.79% | 2024-03-28 | -4.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.76% | 9.94% | 2023-12-28 | -2.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 14.01% | 17.58% | 2024-03-28 | -4.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.61% | 10.02% | 2023-12-14 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.21% | 14.42% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.38% | 12.29% | 2023-12-28 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.28% | 17.54% | 2024-03-28 | -6.48% |
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 |
|---|---|---|---|---|---|
| ABNB | 2023-11-06 | 123.21 | 0.2712 | 0.4274 | no |
| ADI | 2023-11-06 | 159.79 | 0.4750 | 0.5352 | no |
| ADM | 2023-11-06 | 65.95 | 0.2873 | 0.4606 | no |
| AEE | 2023-11-06 | 71.58 | 0.2929 | 0.4366 | no |
| AIG | 2023-11-06 | 59.41 | 0.3318 | 0.4795 | no |
| AIZ | 2023-11-06 | 156.16 | 0.2735 | 0.4586 | no |
| AMCR | 2023-11-06 | 38.56 | 0.5451 | 0.4452 | no |
| AME | 2023-11-06 | 140.96 | 0.3018 | 0.5261 | no |
| AMP | 2023-11-06 | 324.31 | 0.3583 | 0.4371 | no |
| APH | 2023-11-06 | 20.81 | 0.3370 | 0.4683 | no |
| BG | 2023-11-06 | 97.22 | 0.4600 | 0.4645 | no |
| BLK | 2023-11-06 | 614.17 | 0.3072 | — | no |
| CB | 2023-11-06 | 212.85 | 0.2978 | 0.5024 | no |
| CDW | 2023-11-06 | 200.67 | 0.3899 | 0.4995 | no |
| CL | 2023-11-06 | 70.24 | 0.3855 | 0.4181 | no |
| CMG | 2023-11-06 | 40.86 | 0.2842 | 0.4388 | no |
| COP | 2023-11-06 | 110.06 | 0.2816 | 0.5923 | no |
| CPB | 2023-11-06 | 36.13 | 0.3618 | 0.4433 | no |
| DOW | 2023-11-06 | 41.84 | 0.6967 | 0.4575 | no |
| EIX | 2023-11-06 | 55.68 | 0.3451 | 0.4694 | no |
| EMR | 2023-11-06 | 87.42 | 0.3549 | 0.4865 | no |
| EVRG | 2023-11-06 | 45.22 | 0.3191 | 0.4492 | no |
| GIS | 2023-11-06 | 57.79 | 0.3075 | 0.4506 | no |
| HD | 2023-11-06 | 272.91 | 0.3783 | 0.5121 | no |
| HON | 2023-11-06 | 175.28 | 0.3034 | 0.4957 | no |
| ICE | 2023-11-06 | 104.04 | 0.2705 | 0.4627 | no |
| IP | 2023-11-06 | 30.32 | 0.3314 | 0.4604 | no |
| JCI | 2023-11-06 | 49.31 | 0.3995 | 0.4966 | no |
| KHC | 2023-11-06 | 28.20 | 0.4041 | 0.4376 | no |
| MCD | 2023-11-06 | 249.29 | 0.3526 | 0.4242 | no |
| MKC | 2023-11-06 | 60.08 | 0.3086 | 0.4218 | no |
| MMM | 2023-11-06 | 72.25 | 0.3591 | 0.5022 | no |
| MS | 2023-11-06 | 70.80 | 0.3020 | 0.4126 | no |
| MSCI | 2023-11-06 | 479.82 | 0.3901 | 0.4761 | no |
| NDSN | 2023-11-06 | 213.95 | 0.4040 | 0.4934 | no |
| OTIS | 2023-11-06 | 75.43 | 0.3996 | 0.5107 | no |
| PNW | 2023-11-06 | 66.02 | 0.3491 | 0.4788 | no |
| PPG | 2023-11-06 | 119.34 | 0.4638 | 0.4660 | no |
| PRU | 2023-11-06 | 81.43 | 0.3228 | 0.4878 | no |
| RSG | 2023-11-06 | 148.60 | 0.3193 | 0.4973 | no |
| RTX | 2023-11-06 | 77.90 | 0.6016 | 0.5479 | no |
| SHW | 2023-11-06 | 243.82 | 0.4755 | 0.4572 | no |
| STZ | 2023-11-06 | 227.79 | 0.3329 | 0.4172 | no |
| SYY | 2023-11-06 | 62.26 | 0.4929 | 0.5138 | no |
| TEL | 2023-11-06 | 120.40 | 0.5269 | — | no |
| TSN | 2023-11-06 | 41.94 | 0.4396 | 0.4645 | no |
| ULTA | 2023-11-06 | 388.57 | 0.3168 | 0.4434 | no |
| VRSK | 2023-11-06 | 225.52 | 0.2711 | 0.4713 | no |
| WY | 2023-11-06 | 28.08 | 0.2870 | 0.4817 | no |
| ZBH | 2023-11-06 | 105.75 | 0.3934 | 0.4308 | no |