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 | 9.35% | 11.03% | 2024-01-30 | -2.06% |
| buy & hold | participation factor overlay | 6 months | complete | 16.36% | 19.60% | 2024-03-27 | -5.24% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.19% | 13.58% | 2024-01-30 | -2.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 17.99% | 21.32% | 2024-03-28 | -5.28% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.44% | 11.37% | 2023-12-27 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.06% | 17.81% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.78% | 12.61% | 2023-12-27 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 15.08% | 20.02% | 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 | 2023-11-13 | 81.93 | 0.2590 | 0.5099 | no |
| ADM | 2023-11-13 | 65.56 | 0.3377 | 0.4612 | no |
| AKAM | 2023-11-13 | 110.51 | 0.3742 | 0.4785 | no |
| AME | 2023-11-13 | 147.42 | 0.3270 | 0.5251 | no |
| AZO | 2023-11-13 | 2702.34 | 0.2707 | 0.5513 | no |
| BBY | 2023-11-13 | 54.97 | 0.3305 | 0.5607 | no |
| BKNG | 2023-11-13 | 120.25 | 0.4971 | 0.4168 | no |
| BLK | 2023-11-13 | 618.10 | 0.2912 | — | no |
| BMY | 2023-11-13 | 44.25 | 0.3088 | 0.5727 | no |
| BR | 2023-11-13 | 167.43 | 0.2729 | 0.4452 | no |
| CAG | 2023-11-13 | 23.40 | 0.4489 | 0.4550 | no |
| CDW | 2023-11-13 | 201.97 | 0.2903 | 0.4995 | no |
| CINF | 2023-11-13 | 93.10 | 0.2856 | 0.5330 | no |
| CME | 2023-11-13 | 191.62 | 0.2461 | 0.5042 | no |
| DE | 2023-11-13 | 359.06 | 0.2848 | 0.4995 | no |
| DHI | 2023-11-13 | 118.01 | 0.3280 | 0.4417 | no |
| DOW | 2023-11-13 | 41.33 | 0.5018 | 0.4575 | no |
| EBAY | 2023-11-13 | 37.71 | 0.2575 | 0.4732 | no |
| ECL | 2023-11-13 | 171.99 | 0.2543 | 0.4763 | no |
| FFIV | 2023-11-13 | 158.22 | 0.3826 | 0.4611 | no |
| GD | 2023-11-13 | 230.88 | 0.3752 | 0.5336 | no |
| GE | 2023-11-13 | 90.47 | 0.3917 | 0.4814 | no |
| GIS | 2023-11-13 | 57.27 | 0.3638 | 0.4506 | no |
| HD | 2023-11-13 | 266.46 | 0.2897 | 0.5092 | no |
| HON | 2023-11-13 | 174.56 | 0.2855 | 0.4957 | no |
| IBM | 2023-11-13 | 136.88 | 0.3551 | 0.4626 | no |
| IP | 2023-11-13 | 28.98 | 0.3314 | 0.4607 | no |
| JNJ | 2023-11-13 | 135.22 | 0.3551 | 0.4715 | no |
| JPM | 2023-11-13 | 137.40 | 0.3725 | 0.4094 | no |
| KHC | 2023-11-13 | 27.84 | 0.3698 | 0.4376 | no |
| LIN | 2023-11-13 | 381.43 | 0.2661 | 0.4559 | no |
| LNT | 2023-11-13 | 44.21 | 0.2492 | 0.4107 | no |
| LVS | 2023-11-13 | 44.78 | 0.3865 | 0.4266 | no |
| MET | 2023-11-13 | 55.64 | 0.3570 | 0.4608 | no |
| MMM | 2023-11-13 | 71.38 | 0.3365 | 0.5022 | no |
| MRNA | 2023-11-13 | 69.59 | 0.3789 | 0.5418 | no |
| NCLH | 2023-11-13 | 13.09 | 0.4516 | 0.4105 | no |
| NFLX | 2023-11-13 | 44.72 | 0.2429 | 0.4225 | no |
| PCAR | 2023-11-13 | 79.02 | 0.3189 | 0.5201 | no |
| PNW | 2023-11-13 | 63.00 | 0.2706 | 0.4788 | no |
| PPG | 2023-11-13 | 120.18 | 0.4001 | 0.4660 | no |
| ROP | 2023-11-13 | 507.01 | 0.2580 | 0.4805 | no |
| RSG | 2023-11-13 | 152.48 | 0.2846 | 0.4975 | no |
| RTX | 2023-11-13 | 77.48 | 0.6155 | 0.5481 | no |
| TDY | 2023-11-13 | 382.50 | 0.3694 | 0.4681 | no |
| TSN | 2023-11-13 | 41.44 | 0.6089 | 0.4649 | no |
| VLO | 2023-11-13 | 113.01 | 0.3980 | 0.4993 | no |
| VRSK | 2023-11-13 | 232.48 | 0.5105 | 0.4713 | no |
| WEC | 2023-11-13 | 72.19 | 0.3230 | 0.4511 | no |
| WY | 2023-11-13 | 27.25 | 0.3130 | 0.4820 | no |