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 | 8.68% | 9.06% | 2024-02-15 | -1.98% |
| buy & hold | participation factor overlay | 6 months | complete | 18.67% | 18.77% | 2024-05-17 | -4.43% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 11.52% | 11.96% | 2024-02-15 | -2.00% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 22.23% | 22.23% | 2024-05-20 | -4.43% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.01% | 9.88% | 2024-02-15 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.84% | 17.32% | 2024-03-28 | -6.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.91% | 13.93% | 2024-02-15 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 19.01% | 22.59% | 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 |
|---|---|---|---|---|---|
| ABT | 2023-11-20 | 93.47 | 0.2974 | 0.4140 | no |
| ACGL | 2023-11-20 | 79.50 | 0.3181 | 0.5099 | no |
| AIG | 2023-11-20 | 59.85 | 0.4716 | 0.4795 | no |
| AMP | 2023-11-20 | 333.72 | 0.5363 | 0.4371 | no |
| APH | 2023-11-20 | 21.90 | 0.3366 | 0.4672 | no |
| BA | 2023-11-20 | 211.01 | 0.3134 | 0.5356 | no |
| BR | 2023-11-20 | 173.35 | 0.2741 | 0.4592 | no |
| BRK.B | 2023-11-20 | 359.35 | 0.2815 | — | no |
| BRO | 2023-11-20 | 71.40 | 0.2921 | 0.5415 | no |
| CAG | 2023-11-20 | 23.65 | 0.3002 | 0.4550 | no |
| CINF | 2023-11-20 | 94.41 | 0.3782 | 0.5330 | no |
| CMI | 2023-11-20 | 211.74 | 0.3375 | 0.5224 | no |
| CPB | 2023-11-20 | 35.93 | 0.3692 | 0.4433 | no |
| CVS | 2023-11-20 | 61.52 | 0.2696 | 0.4769 | no |
| D | 2023-11-20 | 40.42 | 0.4024 | 0.5064 | no |
| DE | 2023-11-20 | 368.35 | 0.3416 | 0.4995 | no |
| DVA | 2023-11-20 | 95.60 | 0.3045 | 0.4696 | no |
| FFIV | 2023-11-20 | 162.79 | 0.3433 | 0.4611 | no |
| GE | 2023-11-20 | 94.23 | 0.4303 | 0.4814 | no |
| GIS | 2023-11-20 | 56.77 | 0.3293 | 0.4506 | no |
| GRMN | 2023-11-20 | 113.31 | 0.2946 | 0.4613 | no |
| GS | 2023-11-20 | 318.01 | 0.2767 | 0.4402 | no |
| HON | 2023-11-20 | 178.18 | 0.4481 | 0.4957 | no |
| HSY | 2023-11-20 | 179.48 | 0.3721 | 0.4596 | no |
| JCI | 2023-11-20 | 50.15 | 0.2974 | 0.4966 | no |
| JNJ | 2023-11-20 | 136.91 | 0.3893 | 0.4715 | no |
| LVS | 2023-11-20 | 46.45 | 0.3337 | 0.4266 | no |
| MAS | 2023-11-20 | 57.21 | 0.3381 | 0.4603 | no |
| MCO | 2023-11-20 | 347.91 | 0.3576 | 0.4838 | no |
| MDT | 2023-11-20 | 68.82 | 0.5064 | 0.4233 | no |
| MET | 2023-11-20 | 57.41 | 0.4305 | 0.4608 | no |
| MKC | 2023-11-20 | 61.63 | 0.4378 | 0.4218 | no |
| MMM | 2023-11-20 | 74.32 | 0.6652 | 0.5022 | no |
| MRNA | 2023-11-20 | 76.80 | 0.3354 | 0.5418 | no |
| NFLX | 2023-11-20 | 46.54 | 0.3637 | 0.4225 | no |
| NTRS | 2023-11-20 | 68.71 | 0.4645 | 0.4526 | no |
| ORCL | 2023-11-20 | 112.05 | 0.4486 | 0.5303 | no |
| PCAR | 2023-11-20 | 81.97 | 0.5261 | 0.5201 | no |
| PKG | 2023-11-20 | 143.35 | 0.2771 | 0.4554 | no |
| PODD | 2023-11-20 | 173.85 | 0.5334 | 0.4469 | no |
| PTC | 2023-11-20 | 154.05 | 0.2763 | 0.5257 | no |
| ROK | 2023-11-20 | 259.17 | 0.3291 | 0.4852 | no |
| ROP | 2023-11-20 | 518.53 | 0.3379 | 0.4805 | no |
| SCHW | 2023-11-20 | 54.64 | 0.5187 | 0.4617 | no |
| SNA | 2023-11-20 | 256.58 | 0.3043 | 0.4878 | no |
| TDG | 2023-11-20 | 854.51 | 0.4345 | 0.5270 | no |
| TSN | 2023-11-20 | 43.65 | 0.3753 | 0.4676 | no |
| VLO | 2023-11-20 | 116.14 | 0.2720 | 0.4993 | no |
| VRSK | 2023-11-20 | 231.59 | 0.3258 | 0.4713 | no |
| WST | 2023-11-20 | 340.40 | 0.2765 | 0.4104 | no |