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 | 7.45% | 7.59% | 2024-02-23 | -2.51% |
| buy & hold | participation factor overlay | 6 months | complete | 12.70% | 13.91% | 2024-03-28 | -5.25% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.62% | 6.69% | 2024-02-23 | -2.67% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.61% | 13.01% | 2024-05-17 | -4.82% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.55% | 8.55% | 2024-02-27 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.94% | 14.29% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.61% | 8.61% | 2024-02-27 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.18% | 13.54% | 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 |
|---|---|---|---|---|---|
| ADM | 2023-11-27 | 67.35 | 0.5374 | 0.4613 | no |
| AMCR | 2023-11-27 | 39.94 | 0.3311 | 0.4452 | no |
| AWK | 2023-11-27 | 123.08 | 0.5723 | 0.4632 | no |
| BA | 2023-11-27 | 218.81 | 0.3115 | 0.5356 | no |
| BAX | 2023-11-27 | 33.98 | 0.3383 | 0.4195 | no |
| BKNG | 2023-11-27 | 121.09 | 0.2769 | 0.4168 | no |
| BRK.B | 2023-11-27 | 362.64 | 0.2917 | — | no |
| BRO | 2023-11-27 | 73.03 | 0.3647 | 0.5415 | no |
| C | 2023-11-27 | 41.55 | 0.2870 | 0.4418 | no |
| CAG | 2023-11-27 | 24.03 | 0.3019 | 0.4530 | no |
| CARR | 2023-11-27 | 50.75 | 0.3268 | 0.4842 | no |
| CINF | 2023-11-27 | 95.81 | 0.4783 | 0.5330 | no |
| CMI | 2023-11-27 | 212.74 | 0.4330 | 0.5224 | no |
| COP | 2023-11-27 | 105.78 | 0.3761 | 0.5923 | no |
| CPB | 2023-11-27 | 36.28 | 0.2875 | 0.4423 | no |
| D | 2023-11-27 | 40.68 | 0.4081 | 0.5064 | no |
| DGX | 2023-11-27 | 128.55 | 0.2981 | 0.4513 | no |
| DOW | 2023-11-27 | 43.24 | 0.3299 | 0.4575 | no |
| DVA | 2023-11-27 | 98.85 | 0.2880 | 0.4696 | no |
| DVN | 2023-11-27 | 40.77 | 0.3244 | 0.6246 | no |
| EBAY | 2023-11-27 | 39.34 | 0.5889 | 0.4732 | no |
| EMR | 2023-11-27 | 84.08 | 0.2768 | 0.5011 | no |
| ETN | 2023-11-27 | 220.78 | 0.3230 | 0.4876 | no |
| FFIV | 2023-11-27 | 167.91 | 0.3731 | 0.4611 | no |
| GS | 2023-11-27 | 317.26 | 0.4511 | 0.4402 | no |
| IBM | 2023-11-27 | 142.90 | 0.2802 | 0.4626 | no |
| IP | 2023-11-27 | 29.09 | 0.3566 | 0.4607 | no |
| J | 2023-11-27 | 98.95 | 0.3341 | 0.5268 | no |
| JNJ | 2023-11-27 | 140.96 | 0.2989 | 0.4715 | no |
| JPM | 2023-11-27 | 144.69 | 0.2768 | 0.4094 | no |
| LIN | 2023-11-27 | 398.25 | 0.3303 | 0.4559 | no |
| LW | 2023-11-27 | 92.57 | 0.2862 | 0.4276 | no |
| MCD | 2023-11-27 | 262.92 | 0.3352 | 0.4255 | no |
| MDLZ | 2023-11-27 | 66.42 | 0.3108 | 0.4476 | no |
| MET | 2023-11-27 | 58.40 | 0.3725 | 0.4608 | no |
| MKC | 2023-11-27 | 61.65 | 0.5701 | 0.4198 | no |
| MMM | 2023-11-27 | 75.08 | 0.3111 | 0.5022 | no |
| MSCI | 2023-11-27 | 506.29 | 0.3539 | 0.4762 | no |
| NCLH | 2023-11-27 | 14.28 | 0.2943 | 0.4105 | no |
| ORCL | 2023-11-27 | 112.40 | 0.3905 | 0.5303 | no |
| PEP | 2023-11-27 | 152.28 | 0.3528 | 0.4311 | no |
| PFE | 2023-11-27 | 25.70 | 0.3186 | 0.5619 | no |
| PODD | 2023-11-27 | 186.78 | 0.4859 | 0.4469 | no |
| PRU | 2023-11-27 | 83.41 | 0.3928 | 0.4878 | no |
| RSG | 2023-11-27 | 156.45 | 0.2909 | 0.4971 | no |
| SCHW | 2023-11-27 | 53.98 | 0.3553 | 0.4617 | no |
| STX | 2023-11-27 | 72.12 | 0.4074 | 0.5272 | no |
| SYK | 2023-11-27 | 285.27 | 0.3818 | 0.4620 | no |
| TDY | 2023-11-27 | 398.60 | 0.3252 | 0.4681 | no |
| VRSK | 2023-11-27 | 235.10 | 0.4059 | 0.4714 | no |