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 | 9.53% | 9.79% | 2024-02-15 | -1.88% |
| buy & hold | participation factor overlay | 6 months | complete | 18.82% | 18.88% | 2024-05-17 | -4.35% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.68% | 11.26% | 2024-02-15 | -2.04% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 18.89% | 19.19% | 2024-05-17 | -4.29% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.44% | 7.43% | 2023-12-14 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.93% | 11.73% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.77% | 9.08% | 2023-12-28 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.82% | 14.18% | 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 |
|---|---|---|---|---|---|
| ABT | 2023-11-20 | 93.47 | 0.2877 | 0.4140 | no |
| ACGL | 2023-11-20 | 79.50 | 0.4053 | 0.5099 | no |
| AIG | 2023-11-20 | 59.85 | 0.4977 | 0.4795 | no |
| AMP | 2023-11-20 | 333.72 | 0.3639 | 0.4371 | no |
| APH | 2023-11-20 | 21.90 | 0.3073 | 0.4672 | no |
| BAX | 2023-11-20 | 33.57 | 0.3573 | 0.4195 | no |
| BR | 2023-11-20 | 173.35 | 0.3423 | 0.4592 | no |
| BRK.B | 2023-11-20 | 359.35 | 0.3072 | — | no |
| CAG | 2023-11-20 | 23.65 | 0.4268 | 0.4550 | no |
| CINF | 2023-11-20 | 94.41 | 0.3643 | 0.5330 | no |
| CMI | 2023-11-20 | 211.74 | 0.3284 | 0.5224 | no |
| COP | 2023-11-20 | 105.79 | 0.3158 | 0.5923 | no |
| CPB | 2023-11-20 | 35.93 | 0.3780 | 0.4433 | no |
| CVS | 2023-11-20 | 61.52 | 0.3140 | 0.4769 | no |
| D | 2023-11-20 | 40.42 | 0.3705 | 0.5064 | no |
| DE | 2023-11-20 | 368.35 | 0.5118 | 0.4995 | no |
| EBAY | 2023-11-20 | 38.07 | 0.3309 | 0.4732 | no |
| GIS | 2023-11-20 | 56.77 | 0.3476 | 0.4506 | no |
| GRMN | 2023-11-20 | 113.31 | 0.3894 | 0.4613 | no |
| GS | 2023-11-20 | 318.01 | 0.3513 | 0.4402 | no |
| HON | 2023-11-20 | 178.18 | 0.2954 | 0.4957 | no |
| IBM | 2023-11-20 | 140.62 | 0.3403 | 0.4626 | no |
| IP | 2023-11-20 | 29.47 | 0.2871 | 0.4607 | no |
| JCI | 2023-11-20 | 50.15 | 0.2969 | 0.4966 | no |
| JNJ | 2023-11-20 | 136.91 | 0.3651 | 0.4715 | no |
| KEYS | 2023-11-20 | 132.82 | 0.3544 | 0.4630 | no |
| MAS | 2023-11-20 | 57.21 | 0.3026 | 0.4603 | no |
| MCD | 2023-11-20 | 256.12 | 0.3011 | 0.4244 | no |
| MDT | 2023-11-20 | 68.82 | 0.6213 | 0.4233 | no |
| MET | 2023-11-20 | 57.41 | 0.3790 | 0.4608 | no |
| MKC | 2023-11-20 | 61.63 | 0.4480 | 0.4218 | no |
| MMM | 2023-11-20 | 74.32 | 0.7097 | 0.5022 | no |
| MRNA | 2023-11-20 | 76.80 | 0.4018 | 0.5418 | no |
| NFLX | 2023-11-20 | 46.54 | 0.3822 | 0.4225 | no |
| ORCL | 2023-11-20 | 112.05 | 0.3333 | 0.5303 | no |
| PCAR | 2023-11-20 | 81.97 | 0.3521 | 0.5201 | no |
| PODD | 2023-11-20 | 173.85 | 0.3448 | 0.4469 | no |
| PRU | 2023-11-20 | 82.23 | 0.3448 | 0.4878 | no |
| ROK | 2023-11-20 | 259.17 | 0.3422 | 0.4852 | no |
| ROP | 2023-11-20 | 518.53 | 0.3016 | 0.4805 | no |
| RSG | 2023-11-20 | 153.58 | 0.3560 | 0.4975 | no |
| RTX | 2023-11-20 | 75.49 | 0.3872 | 0.5481 | no |
| TDY | 2023-11-20 | 390.74 | 0.3965 | 0.4681 | no |
| TRMB | 2023-11-20 | 43.38 | 0.5423 | 0.4998 | no |
| TSCO | 2023-11-20 | 38.13 | 0.2892 | 0.5292 | no |
| TSN | 2023-11-20 | 43.65 | 0.3873 | 0.4676 | no |
| TXN | 2023-11-20 | 142.64 | 0.2812 | 0.5139 | no |
| VLO | 2023-11-20 | 116.14 | 0.3276 | 0.4993 | no |
| VRSK | 2023-11-20 | 231.59 | 0.4064 | 0.4713 | no |
| YUM | 2023-11-20 | 120.72 | 0.3126 | 0.4270 | no |