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 | 9.54% | 11.06% | 2023-12-28 | -2.55% |
| buy & hold | participation factor overlay | 6 months | complete | 13.70% | 18.70% | 2024-03-28 | -5.73% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.18% | 11.60% | 2023-12-28 | -2.53% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.55% | 18.80% | 2024-03-28 | -5.97% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.47% | 10.78% | 2023-12-27 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.00% | 17.18% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.61% | 11.77% | 2023-12-27 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.79% | 19.12% | 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 |
|---|---|---|---|---|---|
| ACGL | 2023-11-06 | 81.59 | 0.3074 | 0.5099 | no |
| ADI | 2023-11-06 | 159.79 | 0.4704 | 0.5352 | no |
| ADM | 2023-11-06 | 65.95 | 0.4182 | 0.4606 | no |
| AEE | 2023-11-06 | 71.58 | 0.3097 | 0.4366 | no |
| AIZ | 2023-11-06 | 156.16 | 0.2969 | 0.4586 | no |
| AMCR | 2023-11-06 | 38.56 | 0.3706 | 0.4452 | no |
| AME | 2023-11-06 | 140.96 | 0.3361 | 0.5261 | no |
| AMP | 2023-11-06 | 324.31 | 0.3197 | 0.4371 | no |
| BBY | 2023-11-06 | 58.23 | 0.2913 | 0.5629 | no |
| BG | 2023-11-06 | 97.22 | 0.3627 | 0.4645 | no |
| BLK | 2023-11-06 | 614.17 | 0.2870 | — | no |
| BMY | 2023-11-06 | 46.61 | 0.4812 | 0.5727 | no |
| BR | 2023-11-06 | 168.10 | 0.3472 | 0.4452 | no |
| CB | 2023-11-06 | 212.85 | 0.2924 | 0.5024 | no |
| CDW | 2023-11-06 | 200.67 | 0.3822 | 0.4995 | no |
| CMI | 2023-11-06 | 213.12 | 0.2572 | 0.5229 | no |
| CPB | 2023-11-06 | 36.13 | 0.4711 | 0.4433 | no |
| DHI | 2023-11-06 | 113.22 | 0.2897 | 0.4387 | no |
| DOW | 2023-11-06 | 41.84 | 0.6427 | 0.4575 | no |
| EIX | 2023-11-06 | 55.68 | 0.2891 | 0.4694 | no |
| EMN | 2023-11-06 | 67.91 | 0.2793 | 0.4466 | no |
| EMR | 2023-11-06 | 87.42 | 0.3082 | 0.4865 | no |
| FFIV | 2023-11-06 | 153.73 | 0.3382 | 0.4611 | no |
| HD | 2023-11-06 | 272.91 | 0.2744 | 0.5121 | no |
| ICE | 2023-11-06 | 104.04 | 0.2857 | 0.4627 | no |
| IP | 2023-11-06 | 30.32 | 0.3294 | 0.4604 | no |
| MET | 2023-11-06 | 56.50 | 0.3181 | 0.4608 | no |
| MMM | 2023-11-06 | 72.25 | 0.3547 | 0.5022 | no |
| MSCI | 2023-11-06 | 479.82 | 0.3167 | 0.4761 | no |
| NDSN | 2023-11-06 | 213.95 | 0.5419 | 0.4934 | no |
| OTIS | 2023-11-06 | 75.43 | 0.3764 | 0.5107 | no |
| PCAR | 2023-11-06 | 77.85 | 0.2777 | 0.5203 | no |
| PEP | 2023-11-06 | 148.48 | 0.3222 | 0.4313 | no |
| PODD | 2023-11-06 | 163.36 | 0.2907 | 0.4469 | no |
| PPG | 2023-11-06 | 119.34 | 0.4531 | 0.4660 | no |
| PRU | 2023-11-06 | 81.43 | 0.3849 | 0.4878 | no |
| RCL | 2023-11-06 | 89.30 | 0.3093 | 0.4665 | no |
| RSG | 2023-11-06 | 148.60 | 0.2750 | 0.4973 | no |
| RTX | 2023-11-06 | 77.90 | 0.4556 | 0.5479 | no |
| SHW | 2023-11-06 | 243.82 | 0.2986 | 0.4572 | no |
| SYY | 2023-11-06 | 62.26 | 0.4105 | 0.5138 | no |
| TEL | 2023-11-06 | 120.40 | 0.4563 | — | no |
| TSN | 2023-11-06 | 41.94 | 0.3852 | 0.4645 | no |
| ULTA | 2023-11-06 | 388.57 | 0.2997 | 0.4434 | no |
| UNH | 2023-11-06 | 499.25 | 0.3860 | 0.4873 | no |
| VLO | 2023-11-06 | 117.62 | 0.2904 | 0.4997 | no |
| VRSK | 2023-11-06 | 225.52 | 0.2722 | 0.4713 | no |
| WEC | 2023-11-06 | 75.32 | 0.2706 | 0.4511 | no |
| WY | 2023-11-06 | 28.08 | 0.3686 | 0.4817 | no |
| ZBH | 2023-11-06 | 105.75 | 0.4125 | 0.4308 | no |