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 | 8.77% | 9.18% | 2024-02-23 | -2.15% |
| buy & hold | participation factor overlay | 6 months | complete | 14.46% | 15.95% | 2024-03-28 | -5.81% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.44% | 8.05% | 2024-02-23 | -1.97% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.24% | 14.63% | 2024-05-17 | -5.36% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.34% | 6.42% | 2023-12-14 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.76% | 10.68% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.31% | 7.85% | 2023-12-28 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.27% | 12.89% | 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 | 2023-11-27 | 96.92 | 0.3252 | 0.4140 | no |
| ADM | 2023-11-27 | 67.35 | 0.3479 | 0.4613 | no |
| AES | 2023-11-27 | 14.74 | 0.3547 | — | no |
| AKAM | 2023-11-27 | 113.67 | 0.3322 | 0.4794 | no |
| AVY | 2023-11-27 | 177.96 | 0.3400 | 0.5119 | no |
| AWK | 2023-11-27 | 123.08 | 0.5280 | 0.4632 | no |
| BAX | 2023-11-27 | 33.98 | 0.3775 | 0.4195 | no |
| BRK.B | 2023-11-27 | 362.64 | 0.3989 | — | no |
| C | 2023-11-27 | 41.55 | 0.3310 | 0.4418 | no |
| CAG | 2023-11-27 | 24.03 | 0.5277 | 0.4530 | no |
| CARR | 2023-11-27 | 50.75 | 0.3459 | 0.4842 | no |
| CINF | 2023-11-27 | 95.81 | 0.4732 | 0.5330 | no |
| CL | 2023-11-27 | 72.60 | 0.2977 | 0.4179 | no |
| CMI | 2023-11-27 | 212.74 | 0.4156 | 0.5224 | no |
| COP | 2023-11-27 | 105.78 | 0.4259 | 0.5923 | no |
| CRL | 2023-11-27 | 196.06 | 0.3032 | 0.4328 | no |
| CVS | 2023-11-27 | 62.40 | 0.2996 | 0.4769 | no |
| DOW | 2023-11-27 | 43.24 | 0.3602 | 0.4575 | no |
| DVA | 2023-11-27 | 98.85 | 0.5698 | 0.4696 | no |
| EBAY | 2023-11-27 | 39.34 | 0.3908 | 0.4732 | no |
| ETN | 2023-11-27 | 220.78 | 0.3399 | 0.4876 | no |
| EXPD | 2023-11-27 | 113.44 | 0.3495 | — | no |
| GS | 2023-11-27 | 317.26 | 0.3309 | 0.4402 | no |
| HCA | 2023-11-27 | 245.43 | 0.2933 | 0.4648 | no |
| IP | 2023-11-27 | 29.09 | 0.3111 | 0.4607 | no |
| JCI | 2023-11-27 | 50.03 | 0.3025 | 0.4966 | no |
| JNJ | 2023-11-27 | 140.96 | 0.4261 | 0.4715 | no |
| KO | 2023-11-27 | 53.70 | 0.3247 | 0.4247 | no |
| LW | 2023-11-27 | 92.57 | 0.4174 | 0.4276 | no |
| MCD | 2023-11-27 | 262.92 | 0.4212 | 0.4255 | no |
| MDLZ | 2023-11-27 | 66.42 | 0.2956 | 0.4476 | no |
| MET | 2023-11-27 | 58.40 | 0.3579 | 0.4608 | no |
| MKC | 2023-11-27 | 61.65 | 0.5401 | 0.4198 | no |
| MMM | 2023-11-27 | 75.08 | 0.3758 | 0.5022 | no |
| ORCL | 2023-11-27 | 112.40 | 0.4155 | 0.5303 | no |
| PCAR | 2023-11-27 | 82.24 | 0.3927 | 0.5197 | no |
| PEP | 2023-11-27 | 152.28 | 0.4195 | 0.4311 | no |
| PHM | 2023-11-27 | 86.07 | 0.4454 | 0.4553 | no |
| PODD | 2023-11-27 | 186.78 | 0.4245 | 0.4469 | no |
| PRU | 2023-11-27 | 83.41 | 0.3330 | 0.4878 | no |
| PSX | 2023-11-27 | 108.08 | 0.2952 | 0.5156 | no |
| SCHW | 2023-11-27 | 53.98 | 0.4406 | 0.4617 | no |
| SNA | 2023-11-27 | 254.46 | 0.3625 | 0.4878 | no |
| STX | 2023-11-27 | 72.12 | 0.3032 | 0.5272 | no |
| SYK | 2023-11-27 | 285.27 | 0.3383 | 0.4620 | no |
| TDY | 2023-11-27 | 398.60 | 0.4276 | 0.4681 | no |
| TSN | 2023-11-27 | 43.58 | 0.3820 | 0.4675 | no |
| TXN | 2023-11-27 | 141.30 | 0.3265 | 0.5139 | no |
| VRSK | 2023-11-27 | 235.10 | 0.4089 | 0.4714 | no |
| WM | 2023-11-27 | 163.64 | 0.4533 | 0.5230 | no |