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 | 8.53% | 9.64% | 2023-12-28 | -2.30% |
| buy & hold | participation factor overlay | 6 months | complete | 13.06% | 16.77% | 2024-03-28 | -4.96% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.83% | 10.38% | 2023-12-28 | -2.35% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.84% | 17.53% | 2024-03-28 | -4.97% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.44% | 11.27% | 2023-12-27 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.87% | 20.19% | 2024-03-28 | -6.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 13.42% | 13.92% | 2024-01-30 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 19.44% | 26.05% | 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 |
|---|---|---|---|---|---|
| AAPL | 2023-11-06 | 174.03 | 0.2949 | 0.4838 | no |
| ACGL | 2023-11-06 | 81.59 | 0.4237 | 0.5099 | no |
| ADI | 2023-11-06 | 159.79 | 0.2725 | 0.5352 | no |
| ADM | 2023-11-06 | 65.95 | 0.2912 | 0.4606 | no |
| AMCR | 2023-11-06 | 38.56 | 0.3530 | 0.4452 | no |
| AME | 2023-11-06 | 140.96 | 0.2904 | 0.5261 | no |
| AMP | 2023-11-06 | 324.31 | 0.3500 | 0.4371 | no |
| AVY | 2023-11-06 | 171.08 | 0.3481 | 0.5116 | no |
| BG | 2023-11-06 | 97.22 | 0.3296 | 0.4645 | no |
| BLK | 2023-11-06 | 614.17 | 0.4061 | — | no |
| BR | 2023-11-06 | 168.10 | 0.3214 | 0.4452 | no |
| CB | 2023-11-06 | 212.85 | 0.3862 | 0.5024 | no |
| CDW | 2023-11-06 | 200.67 | 0.3684 | 0.4995 | no |
| CMG | 2023-11-06 | 40.86 | 0.3105 | 0.4388 | no |
| CNC | 2023-11-06 | 69.49 | 0.3177 | 0.4504 | no |
| CPB | 2023-11-06 | 36.13 | 0.4551 | 0.4433 | no |
| DOW | 2023-11-06 | 41.84 | 0.7236 | 0.4575 | no |
| EMR | 2023-11-06 | 87.42 | 0.3668 | 0.4865 | no |
| FANG | 2023-11-06 | 145.51 | 0.2983 | 0.6017 | no |
| FDX | 2023-11-06 | 187.69 | 0.2842 | 0.4741 | no |
| HD | 2023-11-06 | 272.91 | 0.3360 | 0.5121 | no |
| HON | 2023-11-06 | 175.28 | 0.2878 | 0.4957 | no |
| IP | 2023-11-06 | 30.32 | 0.2845 | 0.4604 | no |
| IRM | 2023-11-06 | 56.04 | 0.3168 | 0.4103 | no |
| KHC | 2023-11-06 | 28.20 | 0.3430 | 0.4376 | no |
| LH | 2023-11-06 | 203.22 | 0.2909 | 0.4627 | no |
| MCD | 2023-11-06 | 249.29 | 0.2706 | 0.4242 | no |
| MET | 2023-11-06 | 56.50 | 0.2783 | 0.4608 | no |
| MMM | 2023-11-06 | 72.25 | 0.4432 | 0.5022 | no |
| MSCI | 2023-11-06 | 479.82 | 0.4539 | 0.4761 | no |
| NDSN | 2023-11-06 | 213.95 | 0.4855 | 0.4934 | no |
| OTIS | 2023-11-06 | 75.43 | 0.4391 | 0.5107 | no |
| PCAR | 2023-11-06 | 77.85 | 0.3533 | 0.5203 | no |
| PEP | 2023-11-06 | 148.48 | 0.3343 | 0.4313 | no |
| PNW | 2023-11-06 | 66.02 | 0.3061 | 0.4788 | no |
| PODD | 2023-11-06 | 163.36 | 0.3991 | 0.4469 | no |
| PPG | 2023-11-06 | 119.34 | 0.5475 | 0.4660 | no |
| RTX | 2023-11-06 | 77.90 | 0.5285 | 0.5479 | no |
| SHW | 2023-11-06 | 243.82 | 0.3543 | 0.4572 | no |
| STZ | 2023-11-06 | 227.79 | 0.4077 | 0.4172 | no |
| SYY | 2023-11-06 | 62.26 | 0.3821 | 0.5138 | no |
| T | 2023-11-06 | 13.77 | 0.2866 | 0.4080 | no |
| TEL | 2023-11-06 | 120.40 | 0.4620 | — | no |
| TSN | 2023-11-06 | 41.94 | 0.4331 | 0.4645 | no |
| TXN | 2023-11-06 | 138.53 | 0.3608 | 0.5150 | no |
| TYL | 2023-11-06 | 410.00 | 0.2855 | 0.4703 | no |
| ULTA | 2023-11-06 | 388.57 | 0.3660 | 0.4434 | no |
| UNH | 2023-11-06 | 499.25 | 0.4355 | 0.4873 | no |
| VLO | 2023-11-06 | 117.62 | 0.3600 | 0.4997 | no |
| WY | 2023-11-06 | 28.08 | 0.4013 | 0.4817 | no |