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 | 10.58% | 12.69% | 2024-01-30 | -2.40% |
| buy & hold | participation factor overlay | 6 months | complete | 19.17% | 20.36% | 2024-04-09 | -4.52% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.19% | 15.13% | 2024-01-29 | -2.78% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 20.92% | 22.16% | 2024-04-09 | -4.84% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.96% | 12.51% | 2024-02-12 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.03% | 18.96% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 10.48% | 13.16% | 2024-02-12 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.97% | 18.38% | 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 |
|---|---|---|---|---|---|
| ACGL | 2023-11-13 | 81.93 | 0.3814 | 0.5099 | no |
| AKAM | 2023-11-13 | 110.51 | 0.4165 | 0.4785 | no |
| AMCR | 2023-11-13 | 38.35 | 0.4557 | 0.4452 | no |
| AMP | 2023-11-13 | 322.60 | 0.3001 | 0.4371 | no |
| BBY | 2023-11-13 | 54.97 | 0.2901 | 0.5607 | no |
| BIIB | 2023-11-13 | 223.24 | 0.3104 | 0.5422 | no |
| BLK | 2023-11-13 | 618.10 | 0.3170 | — | no |
| BMY | 2023-11-13 | 44.25 | 0.2672 | 0.5727 | no |
| BR | 2023-11-13 | 167.43 | 0.3550 | 0.4452 | no |
| C | 2023-11-13 | 38.78 | 0.2628 | 0.4418 | no |
| CAG | 2023-11-13 | 23.40 | 0.5248 | 0.4550 | no |
| CDW | 2023-11-13 | 201.97 | 0.2607 | 0.4995 | no |
| CINF | 2023-11-13 | 93.10 | 0.2574 | 0.5330 | no |
| CNP | 2023-11-13 | 25.12 | 0.2519 | 0.4560 | no |
| DE | 2023-11-13 | 359.06 | 0.4910 | 0.4995 | no |
| DOW | 2023-11-13 | 41.33 | 0.6482 | 0.4575 | no |
| FCX | 2023-11-13 | 32.46 | 0.3426 | 0.5190 | no |
| FFIV | 2023-11-13 | 158.22 | 0.3092 | 0.4611 | no |
| FOX | 2023-11-13 | 27.05 | 0.2750 | — | no |
| GD | 2023-11-13 | 230.88 | 0.3110 | 0.5336 | no |
| GE | 2023-11-13 | 90.47 | 0.5243 | 0.4814 | no |
| GIS | 2023-11-13 | 57.27 | 0.2909 | 0.4506 | no |
| HAS | 2023-11-13 | 38.58 | 0.3995 | 0.4302 | no |
| HD | 2023-11-13 | 266.46 | 0.2986 | 0.5092 | no |
| HSIC | 2023-11-13 | 64.86 | 0.2522 | 0.4583 | no |
| IBM | 2023-11-13 | 136.88 | 0.3846 | 0.4626 | no |
| IP | 2023-11-13 | 28.98 | 0.3761 | 0.4607 | no |
| JNJ | 2023-11-13 | 135.22 | 0.2524 | 0.4715 | no |
| JPM | 2023-11-13 | 137.40 | 0.2521 | 0.4094 | no |
| KHC | 2023-11-13 | 27.84 | 0.3386 | 0.4376 | no |
| LIN | 2023-11-13 | 381.43 | 0.2610 | 0.4559 | no |
| LVS | 2023-11-13 | 44.78 | 0.4252 | 0.4266 | no |
| LYB | 2023-11-13 | 76.59 | 0.2545 | 0.4600 | no |
| MET | 2023-11-13 | 55.64 | 0.2603 | 0.4608 | no |
| MHK | 2023-11-13 | 79.90 | 0.2710 | 0.4303 | no |
| MMM | 2023-11-13 | 71.38 | 0.5254 | 0.5022 | no |
| MRNA | 2023-11-13 | 69.59 | 0.3751 | 0.5418 | no |
| MSI | 2023-11-13 | 301.18 | 0.2552 | 0.5119 | no |
| NFLX | 2023-11-13 | 44.72 | 0.3436 | 0.4225 | no |
| PCAR | 2023-11-13 | 79.02 | 0.3487 | 0.5201 | no |
| PPG | 2023-11-13 | 120.18 | 0.3676 | 0.4660 | no |
| RSG | 2023-11-13 | 152.48 | 0.3028 | 0.4975 | no |
| RTX | 2023-11-13 | 77.48 | 0.8745 | 0.5481 | no |
| TDY | 2023-11-13 | 382.50 | 0.3299 | 0.4681 | no |
| TSN | 2023-11-13 | 41.44 | 0.4254 | 0.4649 | no |
| VLO | 2023-11-13 | 113.01 | 0.3648 | 0.4993 | no |
| VRSK | 2023-11-13 | 232.48 | 0.5005 | 0.4713 | no |
| WEC | 2023-11-13 | 72.19 | 0.2731 | 0.4511 | no |
| WY | 2023-11-13 | 27.25 | 0.3936 | 0.4820 | no |
| ZTS | 2023-11-13 | 162.29 | 0.2882 | 0.4350 | no |