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 | 10.56% | 10.56% | 2024-03-11 | -3.70% |
| buy & hold | participation factor overlay | 6 months | complete | 10.75% | 13.94% | 2024-03-28 | -5.42% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.86% | 9.86% | 2024-03-11 | -3.92% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.46% | 13.12% | 2024-03-28 | -5.58% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.49% | 8.86% | 2024-03-07 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.57% | 11.82% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.85% | 8.97% | 2024-03-08 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.38% | 11.06% | 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 |
|---|---|---|---|---|---|
| AIG | 2023-12-11 | 61.32 | 0.3646 | 0.4795 | no |
| ALGN | 2023-12-11 | 215.00 | 0.3919 | 0.4622 | no |
| AMP | 2023-12-11 | 346.38 | 0.3937 | 0.4371 | no |
| APTV | 2023-12-11 | 79.35 | 0.3924 | 0.4254 | no |
| AWK | 2023-12-11 | 121.88 | 0.4093 | 0.4632 | no |
| BAX | 2023-12-11 | 34.51 | 0.6961 | 0.4195 | no |
| CAH | 2023-12-11 | 103.01 | 0.3466 | 0.4160 | no |
| CAT | 2023-12-11 | 250.40 | 0.3591 | 0.4898 | no |
| CB | 2023-12-11 | 216.72 | 0.3323 | 0.5024 | no |
| CMG | 2023-12-11 | 45.00 | 0.5094 | 0.4401 | no |
| D | 2023-12-11 | 41.67 | 0.4294 | 0.5064 | no |
| DIS | 2023-12-11 | 90.20 | 0.3260 | 0.4234 | no |
| EBAY | 2023-12-11 | 39.00 | 0.4315 | 0.4732 | no |
| EL | 2023-12-11 | 127.69 | 0.5212 | 0.4277 | no |
| ELV | 2023-12-11 | 456.37 | 0.3254 | 0.4294 | no |
| EQT | 2023-12-11 | 34.89 | 0.4841 | 0.5960 | no |
| ES | 2023-12-11 | 52.21 | 0.3401 | 0.4690 | no |
| ETR | 2023-12-11 | 46.67 | 0.3259 | 0.4784 | no |
| EVRG | 2023-12-11 | 46.10 | 0.3499 | 0.4790 | no |
| FTV | 2023-12-11 | 51.45 | 0.3736 | 0.4914 | no |
| GE | 2023-12-11 | 94.75 | 0.3799 | 0.4811 | no |
| GLW | 2023-12-11 | 27.69 | 0.4253 | 0.4516 | no |
| HON | 2023-12-11 | 183.58 | 0.4165 | 0.4956 | no |
| ITW | 2023-12-11 | 234.23 | 0.4533 | 0.4919 | no |
| L | 2023-12-11 | 68.37 | 0.3922 | — | no |
| LHX | 2023-12-11 | 186.56 | 0.4664 | 0.5223 | no |
| LW | 2023-12-11 | 94.49 | 0.4576 | 0.4259 | no |
| MCHP | 2023-12-11 | 81.25 | 0.4489 | 0.5330 | no |
| MET | 2023-12-11 | 59.32 | 0.4154 | 0.4608 | no |
| MRNA | 2023-12-11 | 79.94 | 0.3304 | 0.5418 | no |
| MSCI | 2023-12-11 | 490.11 | 0.3191 | 0.4776 | no |
| NDSN | 2023-12-11 | 230.57 | 0.3257 | 0.4887 | no |
| ON | 2023-12-11 | 76.68 | 0.8367 | 0.5113 | no |
| PAYC | 2023-12-11 | 181.99 | 0.4392 | 0.4500 | no |
| PCAR | 2023-12-11 | 86.88 | 0.3429 | 0.5197 | no |
| PG | 2023-12-11 | 134.65 | 0.3275 | 0.4168 | no |
| PH | 2023-12-11 | 425.25 | 0.3202 | 0.4952 | no |
| PODD | 2023-12-11 | 193.78 | 0.5112 | 0.4463 | no |
| ROL | 2023-12-11 | 39.95 | 0.5124 | 0.4482 | no |
| SJM | 2023-12-11 | 107.83 | 0.4051 | — | no |
| SWK | 2023-12-11 | 83.00 | 0.3563 | 0.5107 | no |
| SWKS | 2023-12-11 | 95.52 | 0.3410 | 0.5456 | no |
| TDG | 2023-12-11 | 870.84 | 0.3387 | 0.5270 | no |
| TDY | 2023-12-11 | 408.56 | 0.3666 | 0.4681 | no |
| TEL | 2023-12-11 | 128.80 | 0.3671 | — | no |
| TER | 2023-12-11 | 92.47 | 0.3359 | 0.5286 | no |
| TT | 2023-12-11 | 229.38 | 0.3667 | 0.4904 | no |
| UAL | 2023-12-11 | 40.90 | 0.4282 | 0.4254 | no |
| WHR | 2023-12-11 | 95.82 | 0.5040 | 0.4570 | no |
| WST | 2023-12-11 | 340.33 | 0.4011 | 0.4104 | no |