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 | 9.46% | 10.26% | 2024-01-30 | -1.97% |
| buy & hold | participation factor overlay | 6 months | complete | 13.01% | 17.87% | 2024-03-28 | -5.48% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.85% | 10.61% | 2024-02-01 | -1.95% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.36% | 17.71% | 2024-03-28 | -5.82% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.28% | 11.19% | 2023-12-26 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.07% | 18.11% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.90% | 11.93% | 2023-12-28 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.89% | 17.15% | 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 |
|---|---|---|---|---|---|
| ABT | 2023-11-06 | 90.26 | 0.3189 | 0.4140 | no |
| ACGL | 2023-11-06 | 81.59 | 0.3085 | 0.5099 | no |
| AIZ | 2023-11-06 | 156.16 | 0.2907 | 0.4586 | no |
| AMCR | 2023-11-06 | 38.56 | 0.3922 | 0.4452 | no |
| AME | 2023-11-06 | 140.96 | 0.3310 | 0.5261 | no |
| AMP | 2023-11-06 | 324.31 | 0.3977 | 0.4371 | no |
| AVY | 2023-11-06 | 171.08 | 0.4274 | 0.5116 | no |
| BBY | 2023-11-06 | 58.23 | 0.4818 | 0.5629 | no |
| BG | 2023-11-06 | 97.22 | 0.3728 | 0.4645 | no |
| BLK | 2023-11-06 | 614.17 | 0.2847 | — | no |
| BMY | 2023-11-06 | 46.61 | 0.4892 | 0.5727 | no |
| BRK.B | 2023-11-06 | 354.03 | 0.3122 | — | no |
| CB | 2023-11-06 | 212.85 | 0.3117 | 0.5024 | no |
| CDW | 2023-11-06 | 200.67 | 0.3357 | 0.4995 | no |
| CMG | 2023-11-06 | 40.86 | 0.3362 | 0.4388 | no |
| CPB | 2023-11-06 | 36.13 | 0.3466 | 0.4433 | no |
| DE | 2023-11-06 | 369.09 | 0.3232 | 0.4996 | no |
| DOW | 2023-11-06 | 41.84 | 0.7038 | 0.4575 | no |
| EIX | 2023-11-06 | 55.68 | 0.3989 | 0.4694 | no |
| FDX | 2023-11-06 | 187.69 | 0.3534 | 0.4741 | no |
| HD | 2023-11-06 | 272.91 | 0.5236 | 0.5121 | no |
| HON | 2023-11-06 | 175.28 | 0.3409 | 0.4957 | no |
| ICE | 2023-11-06 | 104.04 | 0.3249 | 0.4627 | no |
| IP | 2023-11-06 | 30.32 | 0.3495 | 0.4604 | no |
| JCI | 2023-11-06 | 49.31 | 0.4974 | 0.4966 | no |
| KHC | 2023-11-06 | 28.20 | 0.3838 | 0.4376 | no |
| KR | 2023-11-06 | 42.44 | 0.3329 | 0.5809 | no |
| LH | 2023-11-06 | 203.22 | 0.3165 | 0.4627 | no |
| MCD | 2023-11-06 | 249.29 | 0.2905 | 0.4242 | no |
| MMM | 2023-11-06 | 72.25 | 0.4019 | 0.5022 | no |
| MSCI | 2023-11-06 | 479.82 | 0.4492 | 0.4761 | no |
| NDSN | 2023-11-06 | 213.95 | 0.3055 | 0.4934 | no |
| OTIS | 2023-11-06 | 75.43 | 0.3568 | 0.5107 | no |
| PODD | 2023-11-06 | 163.36 | 0.4699 | 0.4469 | no |
| PPG | 2023-11-06 | 119.34 | 0.4665 | 0.4660 | no |
| PRU | 2023-11-06 | 81.43 | 0.3587 | 0.4878 | no |
| RTX | 2023-11-06 | 77.90 | 0.5955 | 0.5479 | no |
| SHW | 2023-11-06 | 243.82 | 0.5886 | 0.4572 | no |
| STZ | 2023-11-06 | 227.79 | 0.3754 | 0.4172 | no |
| SYY | 2023-11-06 | 62.26 | 0.4135 | 0.5138 | no |
| TEL | 2023-11-06 | 120.40 | 0.3862 | — | no |
| TSN | 2023-11-06 | 41.94 | 0.4932 | 0.4645 | no |
| TXN | 2023-11-06 | 138.53 | 0.3955 | 0.5150 | no |
| ULTA | 2023-11-06 | 388.57 | 0.3965 | 0.4434 | no |
| UNH | 2023-11-06 | 499.25 | 0.3125 | 0.4873 | no |
| VLO | 2023-11-06 | 117.62 | 0.2952 | 0.4997 | no |
| VRSK | 2023-11-06 | 225.52 | 0.2926 | 0.4713 | no |
| WRB | 2023-11-06 | 42.20 | 0.3247 | 0.4753 | no |
| WY | 2023-11-06 | 28.08 | 0.3340 | 0.4817 | no |
| ZBH | 2023-11-06 | 105.75 | 0.3329 | 0.4308 | no |