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 | 3.56% | 4.38% | 2024-03-13 | -4.65% |
| buy & hold | participation factor overlay | 6 months | complete | 1.62% | 6.93% | 2024-03-28 | -6.83% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.23% | 4.04% | 2024-03-13 | -4.69% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.47% | 6.46% | 2024-03-28 | -6.87% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.11% | 3.84% | 2024-03-13 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.06% | 6.96% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.15% | 5.01% | 2024-03-13 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.56% | 7.64% | 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 |
|---|---|---|---|---|---|
| ALB | 2023-12-18 | 140.76 | 0.3635 | 0.4819 | no |
| AMCR | 2023-12-18 | 41.58 | 0.2566 | 0.4452 | no |
| APD | 2023-12-18 | 254.72 | 0.2325 | 0.4855 | no |
| ATO | 2023-12-18 | 107.67 | 0.2538 | 0.5380 | no |
| AVY | 2023-12-18 | 188.75 | 0.2094 | 0.5120 | no |
| BAX | 2023-12-18 | 37.04 | 0.2422 | 0.4195 | no |
| BBY | 2023-12-18 | 67.81 | 0.3398 | 0.4831 | no |
| BR | 2023-12-18 | 185.49 | 0.3551 | 0.4596 | no |
| BRK.B | 2023-12-18 | 357.42 | 0.2029 | — | no |
| CHRW | 2023-12-18 | 80.54 | 0.2982 | 0.5017 | no |
| CNC | 2023-12-18 | 74.49 | 0.3370 | 0.4480 | no |
| DHI | 2023-12-18 | 145.76 | 0.4978 | 0.4456 | no |
| DIS | 2023-12-18 | 90.17 | 0.2722 | 0.4234 | no |
| DVA | 2023-12-18 | 106.48 | 0.4312 | 0.4681 | no |
| EBAY | 2023-12-18 | 39.76 | 0.2403 | 0.4732 | no |
| EL | 2023-12-18 | 137.00 | 0.2838 | 0.4277 | no |
| F | 2023-12-18 | 10.08 | 0.3339 | 0.4500 | no |
| FAST | 2023-12-18 | 30.40 | 0.3859 | 0.5071 | no |
| FCX | 2023-12-18 | 40.15 | 0.2679 | 0.5187 | no |
| FMC | 2023-12-18 | 53.45 | 0.4473 | 0.4568 | no |
| FTV | 2023-12-18 | 53.84 | 0.4498 | 0.4914 | no |
| GRMN | 2023-12-18 | 119.88 | 0.2853 | 0.4573 | no |
| HAL | 2023-12-18 | 34.39 | 0.2814 | 0.5040 | no |
| HAS | 2023-12-18 | 45.08 | 0.6604 | 0.4308 | no |
| ITW | 2023-12-18 | 242.74 | 0.2291 | 0.4919 | no |
| IVZ | 2023-12-18 | 15.67 | 0.2450 | 0.4259 | no |
| JBHT | 2023-12-18 | 197.89 | 0.2084 | 0.4818 | no |
| KLAC | 2023-12-18 | 57.92 | 0.2161 | 0.5531 | no |
| LW | 2023-12-18 | 97.53 | 0.2733 | 0.4259 | no |
| MDT | 2023-12-18 | 75.81 | 0.2451 | 0.4412 | no |
| NCLH | 2023-12-18 | 20.31 | 0.2489 | 0.4131 | no |
| NRG | 2023-12-18 | 46.44 | 0.2566 | 0.4764 | no |
| ON | 2023-12-18 | 85.00 | 0.9407 | 0.5113 | no |
| PAYC | 2023-12-18 | 199.09 | 0.8364 | 0.4500 | no |
| PFE | 2023-12-18 | 22.50 | 0.2090 | 0.5619 | no |
| PG | 2023-12-18 | 134.06 | 0.2379 | 0.4167 | no |
| PHM | 2023-12-18 | 100.13 | 0.4614 | 0.4553 | no |
| PKG | 2023-12-18 | 154.48 | 0.5015 | 0.4554 | no |
| PNW | 2023-12-18 | 65.84 | 0.2557 | 0.4788 | no |
| PODD | 2023-12-18 | 205.90 | 0.3714 | 0.4463 | no |
| ROL | 2023-12-18 | 40.86 | 0.2496 | 0.4482 | no |
| SEDG | 2023-12-18 | 92.55 | 0.6780 | 0.4878 | no |
| SRE | 2023-12-18 | 69.91 | 0.2562 | 0.5157 | no |
| T | 2023-12-18 | 14.44 | 0.2454 | 0.4080 | no |
| TDY | 2023-12-18 | 427.04 | 0.2366 | 0.4681 | no |
| TRMB | 2023-12-18 | 51.85 | 0.7653 | 0.4998 | no |
| UNH | 2023-12-18 | 498.58 | 0.3198 | 0.4873 | no |
| UPS | 2023-12-18 | 139.23 | 0.2191 | 0.4847 | no |
| WY | 2023-12-18 | 30.71 | 0.2108 | 0.4823 | no |
| XOM | 2023-12-18 | 93.39 | 0.2294 | 0.5650 | no |