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 | 9.79% | 10.12% | 2024-02-15 | -2.19% |
| buy & hold | participation factor overlay | 6 months | complete | 17.30% | 17.92% | 2024-03-28 | -5.26% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 12.49% | 12.89% | 2024-02-15 | -2.08% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 19.29% | 20.72% | 2024-03-28 | -5.69% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.45% | 8.63% | 2023-12-27 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.02% | 14.91% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.39% | 9.02% | 2023-12-27 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.63% | 16.19% | 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 |
|---|---|---|---|---|---|
| ABT | 2023-11-20 | 93.47 | 0.2978 | 0.4140 | no |
| ACGL | 2023-11-20 | 79.50 | 0.3576 | 0.5099 | no |
| AIG | 2023-11-20 | 59.85 | 0.4849 | 0.4795 | no |
| ALGN | 2023-11-20 | 206.10 | 0.3341 | 0.4622 | no |
| AMP | 2023-11-20 | 333.72 | 0.3509 | 0.4371 | no |
| APH | 2023-11-20 | 21.90 | 0.3232 | 0.4672 | no |
| BAX | 2023-11-20 | 33.57 | 0.3647 | 0.4195 | no |
| BIIB | 2023-11-20 | 228.13 | 0.3319 | 0.5422 | no |
| BRK.B | 2023-11-20 | 359.35 | 0.4156 | — | no |
| CAG | 2023-11-20 | 23.65 | 0.4647 | 0.4550 | no |
| CB | 2023-11-20 | 214.87 | 0.3125 | 0.5024 | no |
| CDW | 2023-11-20 | 205.57 | 0.2724 | 0.4995 | no |
| CINF | 2023-11-20 | 94.41 | 0.2634 | 0.5330 | no |
| CMI | 2023-11-20 | 211.74 | 0.3705 | 0.5224 | no |
| CPB | 2023-11-20 | 35.93 | 0.2614 | 0.4433 | no |
| CRL | 2023-11-20 | 188.96 | 0.2605 | 0.4328 | no |
| CVS | 2023-11-20 | 61.52 | 0.2851 | 0.4769 | no |
| D | 2023-11-20 | 40.42 | 0.4304 | 0.5064 | no |
| DE | 2023-11-20 | 368.35 | 0.4408 | 0.4995 | no |
| ECL | 2023-11-20 | 177.12 | 0.3967 | 0.4763 | no |
| GIS | 2023-11-20 | 56.77 | 0.2665 | 0.4506 | no |
| GRMN | 2023-11-20 | 113.31 | 0.4115 | 0.4613 | no |
| GS | 2023-11-20 | 318.01 | 0.2711 | 0.4402 | no |
| HON | 2023-11-20 | 178.18 | 0.2781 | 0.4957 | no |
| IBM | 2023-11-20 | 140.62 | 0.2865 | 0.4626 | no |
| IP | 2023-11-20 | 29.47 | 0.3201 | 0.4607 | no |
| JNJ | 2023-11-20 | 136.91 | 0.3393 | 0.4715 | no |
| LNT | 2023-11-20 | 44.76 | 0.2582 | 0.4107 | no |
| LVS | 2023-11-20 | 46.45 | 0.2702 | 0.4266 | no |
| MCO | 2023-11-20 | 347.91 | 0.3196 | 0.4838 | no |
| MDT | 2023-11-20 | 68.82 | 0.4121 | 0.4233 | no |
| MET | 2023-11-20 | 57.41 | 0.4595 | 0.4608 | no |
| MKC | 2023-11-20 | 61.63 | 0.4021 | 0.4218 | no |
| MMM | 2023-11-20 | 74.32 | 0.7498 | 0.5022 | no |
| MRNA | 2023-11-20 | 76.80 | 0.2775 | 0.5418 | no |
| ORCL | 2023-11-20 | 112.05 | 0.4904 | 0.5303 | no |
| PCAR | 2023-11-20 | 81.97 | 0.3545 | 0.5201 | no |
| PODD | 2023-11-20 | 173.85 | 0.3884 | 0.4469 | no |
| PRU | 2023-11-20 | 82.23 | 0.3815 | 0.4878 | no |
| ROK | 2023-11-20 | 259.17 | 0.3268 | 0.4852 | no |
| ROL | 2023-11-20 | 37.96 | 0.2543 | 0.4463 | no |
| ROP | 2023-11-20 | 518.53 | 0.3536 | 0.4805 | no |
| RTX | 2023-11-20 | 75.49 | 0.4784 | 0.5481 | no |
| SNA | 2023-11-20 | 256.58 | 0.3164 | 0.4878 | no |
| TRMB | 2023-11-20 | 43.38 | 0.4027 | 0.4998 | no |
| TSN | 2023-11-20 | 43.65 | 0.4568 | 0.4676 | no |
| VLO | 2023-11-20 | 116.14 | 0.3253 | 0.4993 | no |
| VRSK | 2023-11-20 | 231.59 | 0.3348 | 0.4713 | no |
| WM | 2023-11-20 | 162.02 | 0.2607 | 0.5230 | no |
| YUM | 2023-11-20 | 120.72 | 0.2640 | 0.4270 | no |