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 | 8.18% | 8.18% | 2024-03-04 | -3.18% |
| buy & hold | participation factor overlay | 6 months | complete | 12.59% | 14.06% | 2024-05-22 | -5.14% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.96% | 8.96% | 2024-03-04 | -3.22% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.77% | 13.71% | 2024-05-16 | -5.21% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.22% | 10.22% | 2024-03-04 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.98% | 14.77% | 2024-03-28 | -6.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 14.52% | 14.52% | 2024-03-04 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 13.31% | 19.64% | 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 |
|---|---|---|---|---|---|
| ABNB | 2023-12-04 | 134.00 | 0.5292 | 0.4271 | no |
| ADM | 2023-12-04 | 67.88 | 0.3182 | 0.4613 | no |
| ALB | 2023-12-04 | 118.19 | 0.4713 | 0.4819 | no |
| AMCR | 2023-12-04 | 40.76 | 0.3665 | 0.4454 | no |
| AOS | 2023-12-04 | 72.17 | 0.4471 | 0.4504 | no |
| AVY | 2023-12-04 | 183.05 | 0.3420 | 0.5121 | no |
| AWK | 2023-12-04 | 123.34 | 0.6891 | 0.4632 | no |
| BAX | 2023-12-04 | 34.58 | 0.6895 | 0.4195 | no |
| BDX | 2023-12-04 | 175.43 | 0.3338 | 0.4100 | no |
| BF.B | 2023-12-04 | 55.27 | 0.4126 | — | no |
| BG | 2023-12-04 | 100.03 | 0.3374 | 0.4647 | no |
| BR | 2023-12-04 | 183.95 | 0.3378 | 0.4596 | no |
| BX | 2023-12-04 | 103.39 | 0.4981 | 0.4290 | no |
| CMG | 2023-12-04 | 44.70 | 0.4624 | 0.4400 | no |
| CTSH | 2023-12-04 | 66.97 | 0.3478 | 0.4445 | no |
| D | 2023-12-04 | 40.60 | 0.3121 | 0.5064 | no |
| DVA | 2023-12-04 | 104.00 | 0.3077 | 0.4696 | no |
| EBAY | 2023-12-04 | 39.80 | 0.5036 | 0.4732 | no |
| EIX | 2023-12-04 | 58.43 | 0.3138 | 0.4694 | no |
| ES | 2023-12-04 | 52.94 | 0.4117 | 0.4690 | no |
| GLW | 2023-12-04 | 27.39 | 0.5258 | 0.4516 | no |
| GRMN | 2023-12-04 | 116.83 | 0.3849 | 0.4573 | no |
| ICE | 2023-12-04 | 109.73 | 0.3834 | 0.4627 | no |
| IP | 2023-12-04 | 32.75 | 0.3930 | 0.4607 | no |
| JCI | 2023-12-04 | 51.23 | 0.3737 | 0.4966 | no |
| LH | 2023-12-04 | 211.45 | 0.3106 | 0.4627 | no |
| LHX | 2023-12-04 | 184.17 | 0.3326 | 0.5223 | no |
| LIN | 2023-12-04 | 394.82 | 0.3402 | 0.4565 | no |
| LW | 2023-12-04 | 93.89 | 0.3189 | 0.4276 | no |
| MKC | 2023-12-04 | 61.19 | 0.3327 | 0.4198 | no |
| MMM | 2023-12-04 | 78.48 | 0.4688 | 0.5022 | no |
| MRNA | 2023-12-04 | 79.56 | 0.3539 | 0.5418 | no |
| MS | 2023-12-04 | 74.01 | 0.3597 | 0.4126 | no |
| NDSN | 2023-12-04 | 227.95 | 0.3431 | 0.4887 | no |
| ORCL | 2023-12-04 | 112.65 | 0.3854 | 0.5303 | no |
| PCAR | 2023-12-04 | 82.89 | 0.3442 | 0.5197 | no |
| PFG | 2023-12-04 | 67.24 | 0.3414 | 0.4748 | no |
| PNW | 2023-12-04 | 66.56 | 0.4369 | 0.4788 | no |
| PRU | 2023-12-04 | 84.92 | 0.4154 | 0.4878 | no |
| ROL | 2023-12-04 | 39.40 | 0.4689 | 0.4482 | no |
| RSG | 2023-12-04 | 158.22 | 0.3274 | 0.4981 | no |
| TDG | 2023-12-04 | 853.95 | 0.4908 | 0.5270 | no |
| TDY | 2023-12-04 | 406.50 | 0.3942 | 0.4681 | no |
| TEL | 2023-12-04 | 125.74 | 0.3742 | — | no |
| TRV | 2023-12-04 | 173.02 | 0.3654 | 0.5086 | no |
| UAL | 2023-12-04 | 40.16 | 0.4588 | 0.4254 | no |
| WDC | 2023-12-04 | 35.86 | 0.3496 | 0.5449 | no |
| WHR | 2023-12-04 | 98.23 | 0.3178 | 0.4570 | no |
| WM | 2023-12-04 | 165.80 | 0.4845 | 0.5232 | no |
| ZBH | 2023-12-04 | 114.32 | 0.3633 | 0.4458 | no |