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 | 8.74% | 8.74% | 2024-03-04 | -2.52% |
| buy & hold | participation factor overlay | 6 months | complete | 11.35% | 13.96% | 2024-03-28 | -5.26% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.36% | 9.36% | 2024-03-04 | -2.45% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.65% | 13.84% | 2024-03-28 | -5.27% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.84% | 4.84% | 2024-03-04 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.72% | 8.79% | 2024-03-28 | -6.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.10% | 7.10% | 2024-03-04 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.44% | 10.83% | 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 |
|---|---|---|---|---|---|
| ADM | 2023-12-04 | 67.88 | 0.3161 | 0.4613 | no |
| AKAM | 2023-12-04 | 115.45 | 0.3306 | 0.4784 | no |
| ALLE | 2023-12-04 | 102.68 | 0.3245 | 0.4743 | no |
| AMP | 2023-12-04 | 341.28 | 0.4922 | 0.4371 | no |
| AOS | 2023-12-04 | 72.17 | 0.5302 | 0.4504 | no |
| AWK | 2023-12-04 | 123.34 | 0.6995 | 0.4632 | no |
| BAX | 2023-12-04 | 34.58 | 0.7382 | 0.4195 | no |
| BIIB | 2023-12-04 | 234.11 | 0.3072 | 0.5422 | no |
| BR | 2023-12-04 | 183.95 | 0.4286 | 0.4596 | no |
| BRK.B | 2023-12-04 | 355.91 | 0.3690 | — | no |
| BX | 2023-12-04 | 103.39 | 0.3071 | 0.4290 | no |
| CINF | 2023-12-04 | 95.84 | 0.3222 | 0.5330 | no |
| CMG | 2023-12-04 | 44.70 | 0.4759 | 0.4400 | no |
| CTVA | 2023-12-04 | 44.61 | 0.3331 | 0.4693 | no |
| CZR | 2023-12-04 | 46.65 | 0.4016 | 0.4523 | no |
| D | 2023-12-04 | 40.60 | 0.5734 | 0.5064 | no |
| DGX | 2023-12-04 | 129.00 | 0.3128 | 0.4513 | no |
| DVA | 2023-12-04 | 104.00 | 0.4612 | 0.4696 | no |
| EBAY | 2023-12-04 | 39.80 | 0.3834 | 0.4732 | no |
| ECL | 2023-12-04 | 185.66 | 0.3326 | 0.4774 | no |
| ES | 2023-12-04 | 52.94 | 0.5065 | 0.4690 | no |
| FFIV | 2023-12-04 | 171.05 | 0.4312 | 0.4599 | no |
| GLW | 2023-12-04 | 27.39 | 0.4866 | 0.4516 | no |
| GRMN | 2023-12-04 | 116.83 | 0.5685 | 0.4573 | no |
| ICE | 2023-12-04 | 109.73 | 0.3089 | 0.4627 | no |
| IP | 2023-12-04 | 32.75 | 0.4458 | 0.4607 | no |
| ITW | 2023-12-04 | 228.21 | 0.3524 | 0.4925 | no |
| JCI | 2023-12-04 | 51.23 | 0.3753 | 0.4966 | no |
| KHC | 2023-12-04 | 30.15 | 0.3308 | 0.4369 | no |
| L | 2023-12-04 | 69.17 | 0.4009 | — | no |
| LH | 2023-12-04 | 211.45 | 0.3205 | 0.4627 | no |
| LIN | 2023-12-04 | 394.82 | 0.4233 | 0.4565 | no |
| LW | 2023-12-04 | 93.89 | 0.4766 | 0.4276 | no |
| MKC | 2023-12-04 | 61.19 | 0.3760 | 0.4198 | no |
| MMM | 2023-12-04 | 78.48 | 0.6933 | 0.5022 | no |
| MS | 2023-12-04 | 74.01 | 0.4143 | 0.4126 | no |
| NDSN | 2023-12-04 | 227.95 | 0.3865 | 0.4887 | no |
| NFLX | 2023-12-04 | 46.10 | 0.4857 | 0.4225 | no |
| NTRS | 2023-12-04 | 73.06 | 0.3408 | 0.4526 | no |
| ORCL | 2023-12-04 | 112.65 | 0.3649 | 0.5303 | no |
| PH | 2023-12-04 | 423.63 | 0.3785 | 0.4956 | no |
| PPG | 2023-12-04 | 134.00 | 0.3983 | 0.4662 | no |
| PRU | 2023-12-04 | 84.92 | 0.4090 | 0.4878 | no |
| ROL | 2023-12-04 | 39.40 | 0.5216 | 0.4482 | no |
| TDG | 2023-12-04 | 853.95 | 0.5488 | 0.5270 | no |
| TDY | 2023-12-04 | 406.50 | 0.4582 | 0.4681 | no |
| VLO | 2023-12-04 | 115.84 | 0.3739 | 0.4993 | no |
| WDC | 2023-12-04 | 35.86 | 0.4464 | 0.5449 | no |
| WM | 2023-12-04 | 165.80 | 0.5030 | 0.5232 | no |
| ZBH | 2023-12-04 | 114.32 | 0.3230 | 0.4458 | no |