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 | 9.72% | 11.40% | 2024-01-02 | -2.54% |
| buy & hold | participation factor overlay | 6 months | complete | 18.89% | 19.98% | 2024-03-28 | -4.57% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.38% | 13.82% | 2024-01-02 | -2.97% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 18.94% | 20.83% | 2024-04-09 | -5.00% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.51% | 10.68% | 2023-12-14 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.89% | 15.11% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.33% | 13.27% | 2023-12-28 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 14.21% | 18.56% | 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 | 2023-11-13 | 117.51 | 0.4554 | 0.4267 | no |
| ACGL | 2023-11-13 | 81.93 | 0.3613 | 0.5099 | no |
| ADM | 2023-11-13 | 65.56 | 0.3811 | 0.4612 | no |
| AKAM | 2023-11-13 | 110.51 | 0.4847 | 0.4785 | no |
| AMCR | 2023-11-13 | 38.35 | 0.3386 | 0.4452 | no |
| AME | 2023-11-13 | 147.42 | 0.2852 | 0.5251 | no |
| AMP | 2023-11-13 | 322.60 | 0.2976 | 0.4371 | no |
| BBY | 2023-11-13 | 54.97 | 0.4646 | 0.5607 | no |
| BF.B | 2023-11-13 | 52.88 | 0.3317 | — | no |
| BKNG | 2023-11-13 | 120.25 | 0.5073 | 0.4168 | no |
| BLK | 2023-11-13 | 618.10 | 0.3009 | — | no |
| BR | 2023-11-13 | 167.43 | 0.4171 | 0.4452 | no |
| C | 2023-11-13 | 38.78 | 0.2954 | 0.4418 | no |
| CAG | 2023-11-13 | 23.40 | 0.4227 | 0.4550 | no |
| CSX | 2023-11-13 | 29.33 | 0.3344 | 0.4841 | no |
| DE | 2023-11-13 | 359.06 | 0.3660 | 0.4995 | no |
| DHI | 2023-11-13 | 118.01 | 0.2893 | 0.4417 | no |
| DOW | 2023-11-13 | 41.33 | 0.5711 | 0.4575 | no |
| EBAY | 2023-11-13 | 37.71 | 0.2667 | 0.4732 | no |
| EQT | 2023-11-13 | 38.04 | 0.3149 | 0.5960 | no |
| EXC | 2023-11-13 | 35.07 | 0.2878 | 0.4157 | no |
| FFIV | 2023-11-13 | 158.22 | 0.4015 | 0.4611 | no |
| GE | 2023-11-13 | 90.47 | 0.4335 | 0.4814 | no |
| GIS | 2023-11-13 | 57.27 | 0.3606 | 0.4506 | no |
| GRMN | 2023-11-13 | 110.64 | 0.3094 | 0.4613 | no |
| HAS | 2023-11-13 | 38.58 | 0.3280 | 0.4302 | no |
| HON | 2023-11-13 | 174.56 | 0.2876 | 0.4957 | no |
| HSY | 2023-11-13 | 175.13 | 0.2779 | 0.4596 | no |
| IP | 2023-11-13 | 28.98 | 0.2747 | 0.4607 | no |
| JPM | 2023-11-13 | 137.40 | 0.4922 | 0.4094 | no |
| KDP | 2023-11-13 | 28.57 | 0.3709 | 0.4865 | no |
| KHC | 2023-11-13 | 27.84 | 0.3401 | 0.4376 | no |
| LVS | 2023-11-13 | 44.78 | 0.3998 | 0.4266 | no |
| LYB | 2023-11-13 | 76.59 | 0.2965 | 0.4600 | no |
| MCD | 2023-11-13 | 248.73 | 0.2645 | 0.4244 | no |
| MET | 2023-11-13 | 55.64 | 0.2724 | 0.4608 | no |
| MHK | 2023-11-13 | 79.90 | 0.2923 | 0.4303 | no |
| MMM | 2023-11-13 | 71.38 | 0.5515 | 0.5022 | no |
| MRNA | 2023-11-13 | 69.59 | 0.5191 | 0.5418 | no |
| NCLH | 2023-11-13 | 13.09 | 0.2652 | 0.4105 | no |
| PCAR | 2023-11-13 | 79.02 | 0.4520 | 0.5201 | no |
| PPG | 2023-11-13 | 120.18 | 0.3298 | 0.4660 | no |
| ROP | 2023-11-13 | 507.01 | 0.2800 | 0.4805 | no |
| RSG | 2023-11-13 | 152.48 | 0.3027 | 0.4975 | no |
| RTX | 2023-11-13 | 77.48 | 0.6272 | 0.5481 | no |
| TDY | 2023-11-13 | 382.50 | 0.3409 | 0.4681 | no |
| TSN | 2023-11-13 | 41.44 | 0.5540 | 0.4649 | no |
| VLO | 2023-11-13 | 113.01 | 0.3484 | 0.4993 | no |
| VRSK | 2023-11-13 | 232.48 | 0.5648 | 0.4713 | no |
| WM | 2023-11-13 | 164.07 | 0.3269 | 0.5230 | no |