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 | 9.03% | 9.34% | 2024-02-23 | -2.43% |
| buy & hold | participation factor overlay | 6 months | complete | 12.29% | 15.13% | 2024-03-28 | -6.01% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.07% | 8.46% | 2024-02-23 | -2.35% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.32% | 14.10% | 2024-03-28 | -6.03% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.11% | 10.11% | 2024-02-27 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.67% | 16.25% | 2024-03-28 | -6.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 14.05% | 14.05% | 2024-02-27 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 16.10% | 21.34% | 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 | 2023-11-27 | 96.92 | 0.4138 | 0.4140 | no |
| AEE | 2023-11-27 | 70.40 | 0.3069 | 0.4310 | no |
| AES | 2023-11-27 | 14.74 | 0.2914 | — | no |
| AKAM | 2023-11-27 | 113.67 | 0.3134 | 0.4794 | no |
| AMCR | 2023-11-27 | 39.94 | 0.3189 | 0.4452 | no |
| AVY | 2023-11-27 | 177.96 | 0.3631 | 0.5119 | no |
| AWK | 2023-11-27 | 123.08 | 0.4600 | 0.4632 | no |
| BALL | 2023-11-27 | 51.69 | 0.2927 | 0.4474 | no |
| BAX | 2023-11-27 | 33.98 | 0.3431 | 0.4195 | no |
| BKNG | 2023-11-27 | 121.09 | 0.3021 | 0.4168 | no |
| BLK | 2023-11-27 | 680.19 | 0.2991 | — | no |
| CAG | 2023-11-27 | 24.03 | 0.3341 | 0.4530 | no |
| CARR | 2023-11-27 | 50.75 | 0.3638 | 0.4842 | no |
| CINF | 2023-11-27 | 95.81 | 0.4473 | 0.5330 | no |
| CMI | 2023-11-27 | 212.74 | 0.4330 | 0.5224 | no |
| COP | 2023-11-27 | 105.78 | 0.3724 | 0.5923 | no |
| CRL | 2023-11-27 | 196.06 | 0.3438 | 0.4328 | no |
| CVS | 2023-11-27 | 62.40 | 0.2697 | 0.4769 | no |
| D | 2023-11-27 | 40.68 | 0.2997 | 0.5064 | no |
| DG | 2023-11-27 | 118.25 | 0.2726 | 0.5286 | no |
| DOW | 2023-11-27 | 43.24 | 0.2892 | 0.4575 | no |
| DVA | 2023-11-27 | 98.85 | 0.4587 | 0.4696 | no |
| EBAY | 2023-11-27 | 39.34 | 0.5854 | 0.4732 | no |
| ECL | 2023-11-27 | 180.88 | 0.3014 | 0.4762 | no |
| EMR | 2023-11-27 | 84.08 | 0.4557 | 0.5011 | no |
| GS | 2023-11-27 | 317.26 | 0.2817 | 0.4402 | no |
| HAL | 2023-11-27 | 35.46 | 0.2683 | 0.5040 | no |
| HCA | 2023-11-27 | 245.43 | 0.3139 | 0.4648 | no |
| HON | 2023-11-27 | 179.99 | 0.2987 | 0.4957 | no |
| ITW | 2023-11-27 | 225.48 | 0.2851 | 0.4925 | no |
| JNJ | 2023-11-27 | 140.96 | 0.4013 | 0.4715 | no |
| LH | 2023-11-27 | 206.08 | 0.3283 | 0.4627 | no |
| LW | 2023-11-27 | 92.57 | 0.3489 | 0.4276 | no |
| MCD | 2023-11-27 | 262.92 | 0.2778 | 0.4255 | no |
| MDLZ | 2023-11-27 | 66.42 | 0.3057 | 0.4476 | no |
| MDT | 2023-11-27 | 71.98 | 0.3503 | 0.4359 | no |
| MET | 2023-11-27 | 58.40 | 0.4732 | 0.4608 | no |
| MKC | 2023-11-27 | 61.65 | 0.6478 | 0.4198 | no |
| MSCI | 2023-11-27 | 506.29 | 0.3345 | 0.4762 | no |
| PFE | 2023-11-27 | 25.70 | 0.3236 | 0.5619 | no |
| POOL | 2023-11-27 | 336.23 | 0.3161 | 0.4276 | no |
| PRU | 2023-11-27 | 83.41 | 0.2925 | 0.4878 | no |
| RSG | 2023-11-27 | 156.45 | 0.2823 | 0.4971 | no |
| SCHW | 2023-11-27 | 53.98 | 0.4611 | 0.4617 | no |
| STX | 2023-11-27 | 72.12 | 0.4578 | 0.5272 | no |
| SYK | 2023-11-27 | 285.27 | 0.3385 | 0.4620 | no |
| TDG | 2023-11-27 | 856.60 | 0.2726 | 0.5270 | no |
| TXN | 2023-11-27 | 141.30 | 0.2677 | 0.5139 | no |
| VLO | 2023-11-27 | 115.29 | 0.3014 | 0.4993 | no |
| WM | 2023-11-27 | 163.64 | 0.3807 | 0.5230 | no |