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 | 9.45% | 9.45% | 2024-03-11 | -3.84% |
| buy & hold | participation factor overlay | 6 months | complete | 9.23% | 12.43% | 2024-03-28 | -5.93% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 9.89% | 9.89% | 2024-03-11 | -3.82% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.70% | 12.37% | 2024-03-28 | -6.53% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.41% | 11.03% | 2024-03-07 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.98% | 14.32% | 2024-03-28 | -6.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 15.33% | 15.69% | 2024-03-07 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 12.30% | 19.21% | 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 |
|---|---|---|---|---|---|
| ALB | 2023-12-11 | 118.28 | 0.3201 | 0.4819 | no |
| ALGN | 2023-12-11 | 215.00 | 0.3309 | 0.4622 | no |
| APTV | 2023-12-11 | 79.35 | 0.3931 | 0.4254 | no |
| AWK | 2023-12-11 | 121.88 | 0.3713 | 0.4632 | no |
| BAX | 2023-12-11 | 34.51 | 0.6060 | 0.4195 | no |
| BF.B | 2023-12-11 | 50.97 | 0.3079 | — | no |
| BIIB | 2023-12-11 | 248.00 | 0.2929 | 0.5422 | no |
| CAH | 2023-12-11 | 103.01 | 0.3406 | 0.4160 | no |
| CB | 2023-12-11 | 216.72 | 0.4289 | 0.5024 | no |
| CMG | 2023-12-11 | 45.00 | 0.4263 | 0.4401 | no |
| CMI | 2023-12-11 | 219.65 | 0.2871 | 0.5224 | no |
| D | 2023-12-11 | 41.67 | 0.3020 | 0.5064 | no |
| DIS | 2023-12-11 | 90.20 | 0.3230 | 0.4234 | no |
| DVA | 2023-12-11 | 107.58 | 0.3777 | 0.4696 | no |
| DXC | 2023-12-11 | 23.75 | 0.4373 | 0.4780 | no |
| EBAY | 2023-12-11 | 39.00 | 0.4624 | 0.4732 | no |
| EQT | 2023-12-11 | 34.89 | 0.4710 | 0.5960 | no |
| ETR | 2023-12-11 | 46.67 | 0.3387 | 0.4784 | no |
| GE | 2023-12-11 | 94.75 | 0.3102 | 0.4811 | no |
| GLW | 2023-12-11 | 27.69 | 0.4513 | 0.4516 | no |
| GRMN | 2023-12-11 | 118.21 | 0.3470 | 0.4573 | no |
| HAL | 2023-12-11 | 32.70 | 0.3071 | 0.5040 | no |
| HCA | 2023-12-11 | 250.32 | 0.3865 | 0.4648 | no |
| ICE | 2023-12-11 | 109.74 | 0.2938 | 0.4627 | no |
| IFF | 2023-12-11 | 71.99 | 0.3354 | 0.4459 | no |
| JNJ | 2023-12-11 | 143.01 | 0.3226 | 0.4715 | no |
| L | 2023-12-11 | 68.37 | 0.2841 | — | no |
| LHX | 2023-12-11 | 186.56 | 0.4846 | 0.5223 | no |
| LW | 2023-12-11 | 94.49 | 0.3231 | 0.4259 | no |
| MCK | 2023-12-11 | 455.72 | 0.3307 | 0.4260 | no |
| MET | 2023-12-11 | 59.32 | 0.2880 | 0.4608 | no |
| MSCI | 2023-12-11 | 490.11 | 0.2838 | 0.4776 | no |
| MSI | 2023-12-11 | 315.70 | 0.3131 | 0.5093 | no |
| NCLH | 2023-12-11 | 18.50 | 0.3353 | 0.4117 | no |
| ON | 2023-12-11 | 76.68 | 0.3075 | 0.5113 | no |
| PAYC | 2023-12-11 | 181.99 | 0.4963 | 0.4500 | no |
| PFG | 2023-12-11 | 68.26 | 0.3150 | 0.4748 | no |
| PG | 2023-12-11 | 134.65 | 0.2921 | 0.4168 | no |
| PODD | 2023-12-11 | 193.78 | 0.4977 | 0.4463 | no |
| POOL | 2023-12-11 | 338.34 | 0.3801 | 0.4267 | no |
| ROL | 2023-12-11 | 39.95 | 0.3181 | 0.4482 | no |
| SEDG | 2023-12-11 | 78.22 | 0.4644 | 0.4878 | no |
| SJM | 2023-12-11 | 107.83 | 0.5088 | — | no |
| TDG | 2023-12-11 | 870.84 | 0.3072 | 0.5270 | no |
| TEL | 2023-12-11 | 128.80 | 0.3133 | — | no |
| TROW | 2023-12-11 | 84.80 | 0.2861 | 0.4302 | no |
| TT | 2023-12-11 | 229.38 | 0.3561 | 0.4904 | no |
| TXN | 2023-12-11 | 146.86 | 0.2949 | 0.5143 | no |
| UAL | 2023-12-11 | 40.90 | 0.2822 | 0.4254 | no |
| WST | 2023-12-11 | 340.33 | 0.2830 | 0.4104 | no |