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 | 9.77% | 9.77% | 2024-03-04 | -2.51% |
| buy & hold | participation factor overlay | 6 months | complete | 14.34% | 15.71% | 2024-05-21 | -4.72% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 10.01% | 10.01% | 2024-03-04 | -2.48% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.53% | 14.67% | 2024-03-28 | -5.18% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.53% | 8.53% | 2024-03-04 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.92% | 12.48% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.32% | 8.32% | 2024-03-04 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.07% | 11.45% | 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 |
|---|---|---|---|---|---|
| ABNB | 2023-12-04 | 134.00 | 0.6754 | 0.4271 | no |
| ADM | 2023-12-04 | 67.88 | 0.3166 | 0.4613 | no |
| AIZ | 2023-12-04 | 160.92 | 0.3570 | 0.4586 | no |
| AMP | 2023-12-04 | 341.28 | 0.4862 | 0.4371 | no |
| AOS | 2023-12-04 | 72.17 | 0.6267 | 0.4504 | no |
| APH | 2023-12-04 | 22.40 | 0.3320 | 0.4660 | no |
| AWK | 2023-12-04 | 123.34 | 0.4697 | 0.4632 | no |
| BAX | 2023-12-04 | 34.58 | 0.6945 | 0.4195 | no |
| BDX | 2023-12-04 | 175.43 | 0.3924 | 0.4100 | no |
| BF.B | 2023-12-04 | 55.27 | 0.4683 | — | no |
| BRK.B | 2023-12-04 | 355.91 | 0.3371 | — | no |
| BX | 2023-12-04 | 103.39 | 0.3824 | 0.4290 | no |
| CMG | 2023-12-04 | 44.70 | 0.4843 | 0.4400 | no |
| CSCO | 2023-12-04 | 44.72 | 0.3163 | 0.4440 | no |
| CZR | 2023-12-04 | 46.65 | 0.4557 | 0.4523 | no |
| D | 2023-12-04 | 40.60 | 0.7315 | 0.5064 | no |
| DGX | 2023-12-04 | 129.00 | 0.4582 | 0.4513 | no |
| DVA | 2023-12-04 | 104.00 | 0.4145 | 0.4696 | no |
| EBAY | 2023-12-04 | 39.80 | 0.5312 | 0.4732 | no |
| EG | 2023-12-04 | 386.25 | 0.3460 | 0.4884 | no |
| ES | 2023-12-04 | 52.94 | 0.4476 | 0.4690 | no |
| FFIV | 2023-12-04 | 171.05 | 0.4604 | 0.4599 | no |
| GE | 2023-12-04 | 95.71 | 0.4167 | 0.4814 | no |
| GLW | 2023-12-04 | 27.39 | 0.4142 | 0.4516 | no |
| GRMN | 2023-12-04 | 116.83 | 0.5907 | 0.4573 | no |
| HON | 2023-12-04 | 183.65 | 0.3463 | 0.4957 | no |
| IP | 2023-12-04 | 32.75 | 0.4584 | 0.4607 | no |
| ITW | 2023-12-04 | 228.21 | 0.4339 | 0.4925 | no |
| JCI | 2023-12-04 | 51.23 | 0.3697 | 0.4966 | no |
| JPM | 2023-12-04 | 147.13 | 0.3444 | 0.4094 | no |
| KHC | 2023-12-04 | 30.15 | 0.3134 | 0.4369 | no |
| LDOS | 2023-12-04 | 105.55 | 0.3366 | 0.5546 | no |
| LHX | 2023-12-04 | 184.17 | 0.4416 | 0.5223 | no |
| LW | 2023-12-04 | 93.89 | 0.4788 | 0.4276 | no |
| MKC | 2023-12-04 | 61.19 | 0.3518 | 0.4198 | no |
| MS | 2023-12-04 | 74.01 | 0.3468 | 0.4126 | no |
| NFLX | 2023-12-04 | 46.10 | 0.3536 | 0.4225 | no |
| PFG | 2023-12-04 | 67.24 | 0.3944 | 0.4748 | no |
| PH | 2023-12-04 | 423.63 | 0.3429 | 0.4956 | no |
| PRU | 2023-12-04 | 84.92 | 0.4170 | 0.4878 | no |
| PTC | 2023-12-04 | 158.32 | 0.3185 | 0.5257 | no |
| ROL | 2023-12-04 | 39.40 | 0.5174 | 0.4482 | no |
| RSG | 2023-12-04 | 158.22 | 0.3627 | 0.4981 | no |
| T | 2023-12-04 | 14.44 | 0.3845 | 0.4080 | no |
| TDG | 2023-12-04 | 853.95 | 0.3984 | 0.5270 | no |
| TEL | 2023-12-04 | 125.74 | 0.3575 | — | no |
| UAL | 2023-12-04 | 40.16 | 0.4931 | 0.4254 | no |
| WDC | 2023-12-04 | 35.86 | 0.4455 | 0.5449 | no |
| WM | 2023-12-04 | 165.80 | 0.5905 | 0.5232 | no |
| ZBH | 2023-12-04 | 114.32 | 0.3899 | 0.4458 | no |