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 | 8.96% | 8.96% | 2024-03-11 | -3.47% |
| buy & hold | participation factor overlay | 6 months | complete | 8.35% | 11.83% | 2024-03-28 | -5.70% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.45% | 8.45% | 2024-03-11 | -3.55% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.59% | 11.00% | 2024-03-28 | -6.39% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.07% | 5.28% | 2024-03-07 | -4.80% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.28% | 8.21% | 2024-03-28 | -6.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 7.35% | 7.51% | 2024-03-07 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.16% | 10.12% | 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 |
|---|---|---|---|---|---|
| ABT | 2023-12-11 | 98.44 | 0.2712 | 0.4133 | no |
| ALGN | 2023-12-11 | 215.00 | 0.3123 | 0.4622 | no |
| APTV | 2023-12-11 | 79.35 | 0.4163 | 0.4254 | no |
| AWK | 2023-12-11 | 121.88 | 0.5293 | 0.4632 | no |
| BAX | 2023-12-11 | 34.51 | 0.6418 | 0.4195 | no |
| BG | 2023-12-11 | 96.48 | 0.3733 | 0.4640 | no |
| BRK.B | 2023-12-11 | 355.00 | 0.3362 | — | no |
| CAH | 2023-12-11 | 103.01 | 0.3777 | 0.4160 | no |
| CMG | 2023-12-11 | 45.00 | 0.5691 | 0.4401 | no |
| D | 2023-12-11 | 41.67 | 0.3522 | 0.5064 | no |
| DIS | 2023-12-11 | 90.20 | 0.3700 | 0.4234 | no |
| DVA | 2023-12-11 | 107.58 | 0.2890 | 0.4696 | no |
| DXC | 2023-12-11 | 23.75 | 0.6336 | 0.4780 | no |
| EBAY | 2023-12-11 | 39.00 | 0.5569 | 0.4732 | no |
| ECL | 2023-12-11 | 186.28 | 0.3316 | 0.4774 | no |
| EL | 2023-12-11 | 127.69 | 0.5200 | 0.4277 | no |
| ELV | 2023-12-11 | 456.37 | 0.2961 | 0.4294 | no |
| EQT | 2023-12-11 | 34.89 | 0.4231 | 0.5960 | no |
| ES | 2023-12-11 | 52.21 | 0.2813 | 0.4690 | no |
| ETR | 2023-12-11 | 46.67 | 0.2738 | 0.4784 | no |
| EVRG | 2023-12-11 | 46.10 | 0.2883 | 0.4790 | no |
| FTV | 2023-12-11 | 51.45 | 0.3366 | 0.4914 | no |
| GRMN | 2023-12-11 | 118.21 | 0.5537 | 0.4573 | no |
| HON | 2023-12-11 | 183.58 | 0.3052 | 0.4956 | no |
| IT | 2023-12-11 | 452.84 | 0.3044 | 0.4866 | no |
| LHX | 2023-12-11 | 186.56 | 0.3625 | 0.5223 | no |
| LW | 2023-12-11 | 94.49 | 0.3095 | 0.4259 | no |
| MCK | 2023-12-11 | 455.72 | 0.3672 | 0.4260 | no |
| MDT | 2023-12-11 | 72.50 | 0.2728 | 0.4359 | no |
| ON | 2023-12-11 | 76.68 | 0.6012 | 0.5113 | no |
| PCAR | 2023-12-11 | 86.88 | 0.2901 | 0.5197 | no |
| PFE | 2023-12-11 | 24.05 | 0.4578 | 0.5619 | no |
| PFG | 2023-12-11 | 68.26 | 0.3629 | 0.4748 | no |
| PG | 2023-12-11 | 134.65 | 0.3553 | 0.4168 | no |
| PKG | 2023-12-11 | 151.69 | 0.2669 | 0.4554 | no |
| PNW | 2023-12-11 | 66.98 | 0.3513 | 0.4788 | no |
| PODD | 2023-12-11 | 193.78 | 0.4801 | 0.4463 | no |
| POOL | 2023-12-11 | 338.34 | 0.4169 | 0.4267 | no |
| ROL | 2023-12-11 | 39.95 | 0.4112 | 0.4482 | no |
| SEDG | 2023-12-11 | 78.22 | 0.5408 | 0.4878 | no |
| SJM | 2023-12-11 | 107.83 | 0.2937 | — | no |
| SWKS | 2023-12-11 | 95.52 | 0.3093 | 0.5456 | no |
| TDG | 2023-12-11 | 870.84 | 0.4636 | 0.5270 | no |
| TEL | 2023-12-11 | 128.80 | 0.2920 | — | no |
| TT | 2023-12-11 | 229.38 | 0.3149 | 0.4904 | no |
| UAL | 2023-12-11 | 40.90 | 0.3588 | 0.4254 | no |
| WAB | 2023-12-11 | 117.11 | 0.2657 | 0.5245 | no |
| WDC | 2023-12-11 | 36.43 | 0.2797 | 0.5449 | no |
| WHR | 2023-12-11 | 95.82 | 0.4624 | 0.4570 | no |
| ZBH | 2023-12-11 | 114.19 | 0.3197 | 0.4458 | no |