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 | 6.87% | 7.77% | 2023-12-28 | -2.74% |
| buy & hold | participation factor overlay | 6 months | complete | 13.69% | 14.34% | 2024-03-28 | -5.57% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.42% | 11.32% | 2024-02-15 | -2.84% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 17.05% | 17.58% | 2024-03-28 | -5.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.17% | 9.27% | 2024-02-12 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.36% | 15.54% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.14% | 9.49% | 2024-02-12 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 11.61% | 14.54% | 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 |
|---|---|---|---|---|---|
| ABT | 2023-11-20 | 93.47 | 0.3085 | 0.4140 | no |
| ACGL | 2023-11-20 | 79.50 | 0.4194 | 0.5099 | no |
| ADM | 2023-11-20 | 67.05 | 0.3017 | 0.4612 | no |
| AIG | 2023-11-20 | 59.85 | 0.4638 | 0.4795 | no |
| AIZ | 2023-11-20 | 153.78 | 0.3683 | 0.4586 | no |
| AKAM | 2023-11-20 | 112.09 | 0.3486 | 0.4794 | no |
| AMP | 2023-11-20 | 333.72 | 0.4720 | 0.4371 | no |
| BA | 2023-11-20 | 211.01 | 0.3093 | 0.5356 | no |
| BF.B | 2023-11-20 | 53.95 | 0.3154 | — | no |
| BIIB | 2023-11-20 | 228.13 | 0.2906 | 0.5422 | no |
| BLK | 2023-11-20 | 668.21 | 0.2538 | — | no |
| BR | 2023-11-20 | 173.35 | 0.2763 | 0.4592 | no |
| CAG | 2023-11-20 | 23.65 | 0.2704 | 0.4550 | no |
| CARR | 2023-11-20 | 51.32 | 0.4754 | 0.4842 | no |
| CHRW | 2023-11-20 | 76.94 | 0.2619 | 0.5035 | no |
| CINF | 2023-11-20 | 94.41 | 0.4348 | 0.5330 | no |
| CMI | 2023-11-20 | 211.74 | 0.4124 | 0.5224 | no |
| CRL | 2023-11-20 | 188.96 | 0.3406 | 0.4328 | no |
| D | 2023-11-20 | 40.42 | 0.4356 | 0.5064 | no |
| DE | 2023-11-20 | 368.35 | 0.3815 | 0.4995 | no |
| EBAY | 2023-11-20 | 38.07 | 0.2747 | 0.4732 | no |
| ECL | 2023-11-20 | 177.12 | 0.2954 | 0.4763 | no |
| GS | 2023-11-20 | 318.01 | 0.3100 | 0.4402 | no |
| HON | 2023-11-20 | 178.18 | 0.2732 | 0.4957 | no |
| JNJ | 2023-11-20 | 136.91 | 0.3162 | 0.4715 | no |
| KEYS | 2023-11-20 | 132.82 | 0.2899 | 0.4630 | no |
| LIN | 2023-11-20 | 392.20 | 0.3680 | 0.4559 | no |
| LVS | 2023-11-20 | 46.45 | 0.2970 | 0.4266 | no |
| MCK | 2023-11-20 | 442.05 | 0.2564 | 0.4260 | no |
| MDT | 2023-11-20 | 68.82 | 0.2681 | 0.4233 | no |
| MET | 2023-11-20 | 57.41 | 0.3819 | 0.4608 | no |
| MKC | 2023-11-20 | 61.63 | 0.4194 | 0.4218 | no |
| MMM | 2023-11-20 | 74.32 | 0.6071 | 0.5022 | no |
| MOS | 2023-11-20 | 32.93 | 0.2626 | 0.4455 | no |
| ORCL | 2023-11-20 | 112.05 | 0.4050 | 0.5303 | no |
| PCAR | 2023-11-20 | 81.97 | 0.3218 | 0.5201 | no |
| PKG | 2023-11-20 | 143.35 | 0.2546 | 0.4554 | no |
| PODD | 2023-11-20 | 173.85 | 0.3159 | 0.4469 | no |
| PRU | 2023-11-20 | 82.23 | 0.3237 | 0.4878 | no |
| ROK | 2023-11-20 | 259.17 | 0.2824 | 0.4852 | no |
| ROL | 2023-11-20 | 37.96 | 0.3045 | 0.4463 | no |
| ROP | 2023-11-20 | 518.53 | 0.3139 | 0.4805 | no |
| RTX | 2023-11-20 | 75.49 | 0.4670 | 0.5481 | no |
| STX | 2023-11-20 | 71.54 | 0.3402 | 0.5272 | no |
| TRMB | 2023-11-20 | 43.38 | 0.5303 | 0.4998 | no |
| TSN | 2023-11-20 | 43.65 | 0.4228 | 0.4676 | no |
| TXN | 2023-11-20 | 142.64 | 0.3898 | 0.5139 | no |
| VLO | 2023-11-20 | 116.14 | 0.3969 | 0.4993 | no |
| VRSK | 2023-11-20 | 231.59 | 0.3356 | 0.4713 | no |
| WM | 2023-11-20 | 162.02 | 0.2549 | 0.5230 | no |