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 | 9.56% | 11.19% | 2024-01-02 | -2.57% |
| buy & hold | participation factor overlay | 6 months | complete | 19.81% | 20.57% | 2024-04-09 | -3.98% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.51% | 13.63% | 2024-01-08 | -2.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 21.89% | 23.09% | 2024-04-09 | -4.60% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.66% | 12.93% | 2024-02-12 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 15.27% | 20.75% | 2024-03-28 | -6.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 15.07% | 17.31% | 2024-02-12 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 21.49% | 27.00% | 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 |
|---|---|---|---|---|---|
| ACGL | 2023-11-13 | 81.93 | 0.3273 | 0.5099 | no |
| ADM | 2023-11-13 | 65.56 | 0.2640 | 0.4612 | no |
| AIG | 2023-11-13 | 59.39 | 0.2777 | 0.4795 | no |
| AKAM | 2023-11-13 | 110.51 | 0.3656 | 0.4785 | no |
| AMCR | 2023-11-13 | 38.35 | 0.3866 | 0.4452 | no |
| AMP | 2023-11-13 | 322.60 | 0.3639 | 0.4371 | no |
| AVY | 2023-11-13 | 169.28 | 0.2638 | 0.5119 | no |
| BBY | 2023-11-13 | 54.97 | 0.3640 | 0.5607 | no |
| BF.B | 2023-11-13 | 52.88 | 0.2657 | — | no |
| BKNG | 2023-11-13 | 120.25 | 0.3888 | 0.4168 | no |
| BLK | 2023-11-13 | 618.10 | 0.3728 | — | no |
| BR | 2023-11-13 | 167.43 | 0.3275 | 0.4452 | no |
| CAG | 2023-11-13 | 23.40 | 0.4798 | 0.4550 | no |
| CMI | 2023-11-13 | 204.29 | 0.2867 | 0.5224 | no |
| CNC | 2023-11-13 | 71.96 | 0.2750 | 0.4504 | no |
| CNP | 2023-11-13 | 25.12 | 0.2541 | 0.4560 | no |
| DE | 2023-11-13 | 359.06 | 0.3039 | 0.4995 | no |
| DOW | 2023-11-13 | 41.33 | 0.4596 | 0.4575 | no |
| EMN | 2023-11-13 | 67.68 | 0.2819 | 0.4466 | no |
| ETN | 2023-11-13 | 214.29 | 0.2475 | 0.4876 | no |
| EXC | 2023-11-13 | 35.07 | 0.3023 | 0.4157 | no |
| FCX | 2023-11-13 | 32.46 | 0.3395 | 0.5190 | no |
| GE | 2023-11-13 | 90.47 | 0.4432 | 0.4814 | no |
| GIS | 2023-11-13 | 57.27 | 0.4174 | 0.4506 | no |
| GRMN | 2023-11-13 | 110.64 | 0.2726 | 0.4613 | no |
| HAS | 2023-11-13 | 38.58 | 0.4379 | 0.4302 | no |
| IBM | 2023-11-13 | 136.88 | 0.3861 | 0.4626 | no |
| IP | 2023-11-13 | 28.98 | 0.3461 | 0.4607 | no |
| JPM | 2023-11-13 | 137.40 | 0.3214 | 0.4094 | no |
| KHC | 2023-11-13 | 27.84 | 0.2625 | 0.4376 | no |
| LIN | 2023-11-13 | 381.43 | 0.2906 | 0.4559 | no |
| LNT | 2023-11-13 | 44.21 | 0.2488 | 0.4107 | no |
| LVS | 2023-11-13 | 44.78 | 0.3643 | 0.4266 | no |
| LYB | 2023-11-13 | 76.59 | 0.2870 | 0.4600 | no |
| MET | 2023-11-13 | 55.64 | 0.3031 | 0.4608 | no |
| MMM | 2023-11-13 | 71.38 | 0.4185 | 0.5022 | no |
| MRK | 2023-11-13 | 92.25 | 0.2895 | 0.5419 | no |
| MRNA | 2023-11-13 | 69.59 | 0.4525 | 0.5418 | no |
| NCLH | 2023-11-13 | 13.09 | 0.3322 | 0.4105 | no |
| PCAR | 2023-11-13 | 79.02 | 0.2986 | 0.5201 | no |
| PPG | 2023-11-13 | 120.18 | 0.4269 | 0.4660 | no |
| QRVO | 2023-11-13 | 90.93 | 0.2712 | — | no |
| RSG | 2023-11-13 | 152.48 | 0.3112 | 0.4975 | no |
| RTX | 2023-11-13 | 77.48 | 0.6219 | 0.5481 | no |
| STZ | 2023-11-13 | 225.45 | 0.3123 | 0.4174 | no |
| TDY | 2023-11-13 | 382.50 | 0.3063 | 0.4681 | no |
| TSN | 2023-11-13 | 41.44 | 0.5988 | 0.4649 | no |
| VLO | 2023-11-13 | 113.01 | 0.3256 | 0.4993 | no |
| VRSK | 2023-11-13 | 232.48 | 0.3552 | 0.4713 | no |
| WY | 2023-11-13 | 27.25 | 0.2535 | 0.4820 | no |