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 | 4.16% | 5.21% | 2024-03-13 | -3.57% |
| buy & hold | participation factor overlay | 6 months | complete | 3.58% | 7.42% | 2024-03-28 | -6.28% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.33% | 5.27% | 2024-03-13 | -3.57% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.44% | 7.60% | 2024-03-28 | -6.60% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.77% | 2.26% | 2024-03-13 | -4.71% |
| weekly rebalance | participation factor overlay | 6 months | complete | -2.16% | 4.82% | 2024-03-28 | -7.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.92% | 3.66% | 2024-03-13 | -4.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.36% | 5.97% | 2024-03-28 | -7.39% |
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 |
|---|---|---|---|---|---|
| ABBV | 2023-12-18 | 139.32 | 0.2216 | 0.5247 | no |
| ABT | 2023-12-18 | 101.68 | 0.3325 | 0.4133 | no |
| ADM | 2023-12-18 | 68.63 | 0.2302 | 0.4608 | no |
| ALB | 2023-12-18 | 140.76 | 0.3659 | 0.4819 | no |
| ATO | 2023-12-18 | 107.67 | 0.2084 | 0.5380 | no |
| BAX | 2023-12-18 | 37.04 | 0.1920 | 0.4195 | no |
| BBY | 2023-12-18 | 67.81 | 0.2091 | 0.4831 | no |
| BG | 2023-12-18 | 96.95 | 0.3209 | 0.4643 | no |
| BR | 2023-12-18 | 185.49 | 0.4126 | 0.4596 | no |
| BRK.B | 2023-12-18 | 357.42 | 0.1919 | — | no |
| CEG | 2023-12-18 | 117.56 | 0.1971 | 0.4533 | no |
| CHRW | 2023-12-18 | 80.54 | 0.2716 | 0.5017 | no |
| CNC | 2023-12-18 | 74.49 | 0.2722 | 0.4480 | no |
| DHI | 2023-12-18 | 145.76 | 0.3555 | 0.4456 | no |
| DVA | 2023-12-18 | 106.48 | 0.4196 | 0.4681 | no |
| EBAY | 2023-12-18 | 39.76 | 0.3071 | 0.4732 | no |
| EL | 2023-12-18 | 137.00 | 0.3855 | 0.4277 | no |
| EXPD | 2023-12-18 | 121.50 | 0.2491 | — | no |
| F | 2023-12-18 | 10.08 | 0.3640 | 0.4500 | no |
| FAST | 2023-12-18 | 30.40 | 0.3875 | 0.5071 | no |
| FMC | 2023-12-18 | 53.45 | 0.4298 | 0.4568 | no |
| FTV | 2023-12-18 | 53.84 | 0.3487 | 0.4914 | no |
| GILD | 2023-12-18 | 74.03 | 0.2087 | 0.4806 | no |
| GIS | 2023-12-18 | 57.46 | 0.2349 | 0.4500 | no |
| GRMN | 2023-12-18 | 119.88 | 0.3520 | 0.4573 | no |
| HAS | 2023-12-18 | 45.08 | 0.7764 | 0.4308 | no |
| HIG | 2023-12-18 | 76.53 | 0.2161 | 0.4782 | no |
| HPQ | 2023-12-18 | 27.36 | 0.2412 | 0.4851 | no |
| ITW | 2023-12-18 | 242.74 | 0.4307 | 0.4919 | no |
| JBHT | 2023-12-18 | 197.89 | 0.2331 | 0.4818 | no |
| KHC | 2023-12-18 | 31.40 | 0.2251 | 0.4366 | no |
| LW | 2023-12-18 | 97.53 | 0.2342 | 0.4259 | no |
| MCO | 2023-12-18 | 381.20 | 0.3442 | 0.4848 | no |
| NEE | 2023-12-18 | 56.81 | 0.1893 | 0.4738 | no |
| NRG | 2023-12-18 | 46.44 | 0.2252 | 0.4764 | no |
| OMC | 2023-12-18 | 78.66 | 0.2249 | 0.4104 | no |
| ON | 2023-12-18 | 85.00 | 0.9930 | 0.5113 | no |
| PAYC | 2023-12-18 | 199.09 | 0.9250 | 0.4500 | no |
| PG | 2023-12-18 | 134.06 | 0.2252 | 0.4167 | no |
| PHM | 2023-12-18 | 100.13 | 0.2377 | 0.4553 | no |
| PKG | 2023-12-18 | 154.48 | 0.5382 | 0.4554 | no |
| PODD | 2023-12-18 | 205.90 | 0.2103 | 0.4463 | no |
| ROL | 2023-12-18 | 40.86 | 0.2308 | 0.4482 | no |
| SBUX | 2023-12-18 | 90.67 | 0.2332 | 0.4353 | no |
| SEDG | 2023-12-18 | 92.55 | 0.6049 | 0.4878 | no |
| STE | 2023-12-18 | 207.84 | 0.2349 | 0.4171 | no |
| TRGP | 2023-12-18 | 82.09 | 0.2071 | 0.4484 | no |
| TRMB | 2023-12-18 | 51.85 | 0.7094 | 0.4998 | no |
| UNH | 2023-12-18 | 498.58 | 0.3608 | 0.4873 | no |
| UPS | 2023-12-18 | 139.23 | 0.1967 | 0.4847 | no |