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 | 7.07% | 7.52% | 2024-02-23 | -1.64% |
| buy & hold | participation factor overlay | 6 months | complete | 11.79% | 13.06% | 2024-03-28 | -5.56% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.04% | 7.29% | 2024-02-23 | -2.06% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.58% | 13.19% | 2024-03-28 | -5.58% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.08% | 7.46% | 2023-12-27 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.42% | 13.66% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.96% | 7.96% | 2024-02-27 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.41% | 14.87% | 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 | 2023-11-27 | 96.92 | 0.3812 | 0.4140 | no |
| ADM | 2023-11-27 | 67.35 | 0.3558 | 0.4613 | no |
| AMCR | 2023-11-27 | 39.94 | 0.3244 | 0.4452 | no |
| AWK | 2023-11-27 | 123.08 | 0.5632 | 0.4632 | no |
| BA | 2023-11-27 | 218.81 | 0.3447 | 0.5356 | no |
| BAX | 2023-11-27 | 33.98 | 0.5483 | 0.4195 | no |
| BKNG | 2023-11-27 | 121.09 | 0.2924 | 0.4168 | no |
| BR | 2023-11-27 | 176.73 | 0.3028 | 0.4592 | no |
| BRO | 2023-11-27 | 73.03 | 0.3449 | 0.5415 | no |
| CAG | 2023-11-27 | 24.03 | 0.4081 | 0.4530 | no |
| CARR | 2023-11-27 | 50.75 | 0.3746 | 0.4842 | no |
| CINF | 2023-11-27 | 95.81 | 0.3835 | 0.5330 | no |
| CL | 2023-11-27 | 72.60 | 0.2817 | 0.4179 | no |
| COP | 2023-11-27 | 105.78 | 0.3054 | 0.5923 | no |
| CPB | 2023-11-27 | 36.28 | 0.3070 | 0.4423 | no |
| CSX | 2023-11-27 | 31.18 | 0.3444 | 0.4824 | no |
| D | 2023-11-27 | 40.68 | 0.2867 | 0.5064 | no |
| DVA | 2023-11-27 | 98.85 | 0.4019 | 0.4696 | no |
| EBAY | 2023-11-27 | 39.34 | 0.4488 | 0.4732 | no |
| ETN | 2023-11-27 | 220.78 | 0.3659 | 0.4876 | no |
| HCA | 2023-11-27 | 245.43 | 0.2839 | 0.4648 | no |
| HON | 2023-11-27 | 179.99 | 0.3339 | 0.4957 | no |
| IBM | 2023-11-27 | 142.90 | 0.3439 | 0.4626 | no |
| IP | 2023-11-27 | 29.09 | 0.3869 | 0.4607 | no |
| JNJ | 2023-11-27 | 140.96 | 0.3466 | 0.4715 | no |
| LW | 2023-11-27 | 92.57 | 0.5206 | 0.4276 | no |
| MCD | 2023-11-27 | 262.92 | 0.2963 | 0.4255 | no |
| MDLZ | 2023-11-27 | 66.42 | 0.2853 | 0.4476 | no |
| MDT | 2023-11-27 | 71.98 | 0.4480 | 0.4359 | no |
| MET | 2023-11-27 | 58.40 | 0.3719 | 0.4608 | no |
| MKC | 2023-11-27 | 61.65 | 0.5751 | 0.4198 | no |
| MMM | 2023-11-27 | 75.08 | 0.4622 | 0.5022 | no |
| MSI | 2023-11-27 | 310.75 | 0.2898 | 0.5119 | no |
| NFLX | 2023-11-27 | 47.90 | 0.3832 | 0.4225 | no |
| NTRS | 2023-11-27 | 70.00 | 0.2754 | 0.4526 | no |
| ORCL | 2023-11-27 | 112.40 | 0.4452 | 0.5303 | no |
| PCAR | 2023-11-27 | 82.24 | 0.4130 | 0.5197 | no |
| PEP | 2023-11-27 | 152.28 | 0.2852 | 0.4311 | no |
| PFE | 2023-11-27 | 25.70 | 0.3652 | 0.5619 | no |
| PODD | 2023-11-27 | 186.78 | 0.5624 | 0.4469 | no |
| PRU | 2023-11-27 | 83.41 | 0.4165 | 0.4878 | no |
| ROK | 2023-11-27 | 260.72 | 0.2954 | 0.4852 | no |
| SCHW | 2023-11-27 | 53.98 | 0.4246 | 0.4617 | no |
| SNA | 2023-11-27 | 254.46 | 0.3675 | 0.4878 | no |
| STX | 2023-11-27 | 72.12 | 0.3862 | 0.5272 | no |
| SYK | 2023-11-27 | 285.27 | 0.2849 | 0.4620 | no |
| TDY | 2023-11-27 | 398.60 | 0.3302 | 0.4681 | no |
| VLO | 2023-11-27 | 115.29 | 0.3736 | 0.4993 | no |
| VRSK | 2023-11-27 | 235.10 | 0.3040 | 0.4714 | no |
| WM | 2023-11-27 | 163.64 | 0.4775 | 0.5230 | no |