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 | 9.56% | 9.56% | 2024-03-04 | -2.43% |
| buy & hold | participation factor overlay | 6 months | complete | 13.52% | 15.89% | 2024-05-22 | -4.88% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.59% | 9.59% | 2024-03-04 | -2.13% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.23% | 14.67% | 2024-03-28 | -5.12% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.28% | 7.28% | 2024-03-04 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.88% | 12.11% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.89% | 7.89% | 2024-03-04 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.37% | 12.75% | 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 |
|---|---|---|---|---|---|
| ABNB | 2023-12-04 | 134.00 | 0.5120 | 0.4271 | no |
| ADM | 2023-12-04 | 67.88 | 0.3407 | 0.4613 | no |
| ALLE | 2023-12-04 | 102.68 | 0.3199 | 0.4743 | no |
| AMP | 2023-12-04 | 341.28 | 0.3250 | 0.4371 | no |
| AOS | 2023-12-04 | 72.17 | 0.4685 | 0.4504 | no |
| AWK | 2023-12-04 | 123.34 | 0.6185 | 0.4632 | no |
| BAX | 2023-12-04 | 34.58 | 0.6609 | 0.4195 | no |
| BF.B | 2023-12-04 | 55.27 | 0.5419 | — | no |
| BR | 2023-12-04 | 183.95 | 0.3078 | 0.4596 | no |
| BRK.B | 2023-12-04 | 355.91 | 0.3589 | — | no |
| BX | 2023-12-04 | 103.39 | 0.4274 | 0.4290 | no |
| CAG | 2023-12-04 | 23.89 | 0.3379 | 0.4530 | no |
| CL | 2023-12-04 | 73.65 | 0.3237 | 0.4179 | no |
| CMG | 2023-12-04 | 44.70 | 0.3506 | 0.4400 | no |
| CTSH | 2023-12-04 | 66.97 | 0.3656 | 0.4445 | no |
| EBAY | 2023-12-04 | 39.80 | 0.4989 | 0.4732 | no |
| EG | 2023-12-04 | 386.25 | 0.3454 | 0.4884 | no |
| ES | 2023-12-04 | 52.94 | 0.4982 | 0.4690 | no |
| FCX | 2023-12-04 | 36.79 | 0.3483 | 0.5190 | no |
| FFIV | 2023-12-04 | 171.05 | 0.3481 | 0.4599 | no |
| FMC | 2023-12-04 | 49.62 | 0.3312 | 0.4569 | no |
| FTV | 2023-12-04 | 51.20 | 0.3760 | 0.4919 | no |
| GLW | 2023-12-04 | 27.39 | 0.3971 | 0.4516 | no |
| GRMN | 2023-12-04 | 116.83 | 0.4257 | 0.4573 | no |
| IP | 2023-12-04 | 32.75 | 0.3656 | 0.4607 | no |
| ITW | 2023-12-04 | 228.21 | 0.3894 | 0.4925 | no |
| JNJ | 2023-12-04 | 146.25 | 0.3276 | 0.4715 | no |
| JPM | 2023-12-04 | 147.13 | 0.3395 | 0.4094 | no |
| KDP | 2023-12-04 | 29.64 | 0.3060 | 0.4861 | no |
| L | 2023-12-04 | 69.17 | 0.4122 | — | no |
| LDOS | 2023-12-04 | 105.55 | 0.3475 | 0.5546 | no |
| LIN | 2023-12-04 | 394.82 | 0.3355 | 0.4565 | no |
| LW | 2023-12-04 | 93.89 | 0.4263 | 0.4276 | no |
| MKC | 2023-12-04 | 61.19 | 0.3438 | 0.4198 | no |
| MMM | 2023-12-04 | 78.48 | 0.6034 | 0.5022 | no |
| MRNA | 2023-12-04 | 79.56 | 0.3883 | 0.5418 | no |
| ORCL | 2023-12-04 | 112.65 | 0.3793 | 0.5303 | no |
| PCAR | 2023-12-04 | 82.89 | 0.3634 | 0.5197 | no |
| PFG | 2023-12-04 | 67.24 | 0.4127 | 0.4748 | no |
| PH | 2023-12-04 | 423.63 | 0.3885 | 0.4956 | no |
| PRU | 2023-12-04 | 84.92 | 0.3821 | 0.4878 | no |
| ROL | 2023-12-04 | 39.40 | 0.4122 | 0.4482 | no |
| SYK | 2023-12-04 | 288.04 | 0.3633 | 0.4620 | no |
| TDG | 2023-12-04 | 853.95 | 0.4390 | 0.5270 | no |
| TDY | 2023-12-04 | 406.50 | 0.3090 | 0.4681 | no |
| TEL | 2023-12-04 | 125.74 | 0.3252 | — | no |
| UAL | 2023-12-04 | 40.16 | 0.4436 | 0.4254 | no |
| VLO | 2023-12-04 | 115.84 | 0.4498 | 0.4993 | no |
| WDC | 2023-12-04 | 35.86 | 0.4091 | 0.5449 | no |
| WM | 2023-12-04 | 165.80 | 0.5089 | 0.5232 | no |