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 | 8.50% | 8.50% | 2024-03-11 | -4.51% |
| buy & hold | participation factor overlay | 6 months | complete | 9.16% | 11.11% | 2024-03-28 | -6.23% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.58% | 9.58% | 2024-03-11 | -4.05% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.91% | 11.82% | 2024-05-22 | -6.12% |
| weekly rebalance | participation factor overlay | 3 months | complete | 7.91% | 8.12% | 2024-03-07 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.81% | 11.89% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 9.33% | 9.33% | 2024-03-11 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.70% | 12.62% | 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 | 2023-12-11 | 141.36 | 0.2910 | 0.4271 | no |
| ALB | 2023-12-11 | 118.28 | 0.4363 | 0.4819 | no |
| AOS | 2023-12-11 | 74.27 | 0.3432 | 0.4504 | no |
| APTV | 2023-12-11 | 79.35 | 0.5776 | 0.4254 | no |
| AVY | 2023-12-11 | 181.61 | 0.3048 | 0.5120 | no |
| AWK | 2023-12-11 | 121.88 | 0.4514 | 0.4632 | no |
| BAX | 2023-12-11 | 34.51 | 0.7207 | 0.4195 | no |
| BIIB | 2023-12-11 | 248.00 | 0.3719 | 0.5422 | no |
| BRK.B | 2023-12-11 | 355.00 | 0.2742 | — | no |
| CAH | 2023-12-11 | 103.01 | 0.4134 | 0.4160 | no |
| CMG | 2023-12-11 | 45.00 | 0.5895 | 0.4401 | no |
| D | 2023-12-11 | 41.67 | 0.3204 | 0.5064 | no |
| DXC | 2023-12-11 | 23.75 | 0.2824 | 0.4780 | no |
| EBAY | 2023-12-11 | 39.00 | 0.4286 | 0.4732 | no |
| EQT | 2023-12-11 | 34.89 | 0.4409 | 0.5960 | no |
| ES | 2023-12-11 | 52.21 | 0.3897 | 0.4690 | no |
| F | 2023-12-11 | 9.27 | 0.2894 | 0.4500 | no |
| FTV | 2023-12-11 | 51.45 | 0.3982 | 0.4914 | no |
| GE | 2023-12-11 | 94.75 | 0.4057 | 0.4811 | no |
| GLW | 2023-12-11 | 27.69 | 0.4132 | 0.4516 | no |
| GRMN | 2023-12-11 | 118.21 | 0.3418 | 0.4573 | no |
| HCA | 2023-12-11 | 250.32 | 0.3397 | 0.4648 | no |
| HON | 2023-12-11 | 183.58 | 0.2776 | 0.4956 | no |
| IFF | 2023-12-11 | 71.99 | 0.4223 | 0.4459 | no |
| L | 2023-12-11 | 68.37 | 0.4009 | — | no |
| LHX | 2023-12-11 | 186.56 | 0.3373 | 0.5223 | no |
| LW | 2023-12-11 | 94.49 | 0.3466 | 0.4259 | no |
| MDT | 2023-12-11 | 72.50 | 0.4395 | 0.4359 | no |
| MET | 2023-12-11 | 59.32 | 0.3527 | 0.4608 | no |
| MRNA | 2023-12-11 | 79.94 | 0.3944 | 0.5418 | no |
| NCLH | 2023-12-11 | 18.50 | 0.4223 | 0.4117 | no |
| NDSN | 2023-12-11 | 230.57 | 0.2866 | 0.4887 | no |
| ON | 2023-12-11 | 76.68 | 0.4349 | 0.5113 | no |
| PAYC | 2023-12-11 | 181.99 | 0.2796 | 0.4500 | no |
| PCAR | 2023-12-11 | 86.88 | 0.3073 | 0.5197 | no |
| PFE | 2023-12-11 | 24.05 | 0.2947 | 0.5619 | no |
| PG | 2023-12-11 | 134.65 | 0.2867 | 0.4168 | no |
| PODD | 2023-12-11 | 193.78 | 0.4482 | 0.4463 | no |
| POOL | 2023-12-11 | 338.34 | 0.2866 | 0.4267 | no |
| ROL | 2023-12-11 | 39.95 | 0.3553 | 0.4482 | no |
| SEDG | 2023-12-11 | 78.22 | 0.3338 | 0.4878 | no |
| SJM | 2023-12-11 | 107.83 | 0.2741 | — | no |
| SWK | 2023-12-11 | 83.00 | 0.3478 | 0.5107 | no |
| TDG | 2023-12-11 | 870.84 | 0.4584 | 0.5270 | no |
| TEL | 2023-12-11 | 128.80 | 0.2845 | — | no |
| TER | 2023-12-11 | 92.47 | 0.2977 | 0.5286 | no |
| TXN | 2023-12-11 | 146.86 | 0.2851 | 0.5143 | no |
| UAL | 2023-12-11 | 40.90 | 0.4628 | 0.4254 | no |
| UPS | 2023-12-11 | 132.64 | 0.2905 | 0.4843 | no |
| WHR | 2023-12-11 | 95.82 | 0.4346 | 0.4570 | no |