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 | 3.97% | 5.13% | 2024-03-13 | -4.06% |
| buy & hold | participation factor overlay | 6 months | complete | 1.46% | 7.24% | 2024-03-28 | -5.82% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.81% | 4.71% | 2024-03-13 | -4.22% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.35% | 6.81% | 2024-03-28 | -6.01% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.19% | 4.84% | 2024-03-13 | -3.85% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.53% | 7.38% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.48% | 4.42% | 2024-03-13 | -3.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.25% | 6.09% | 2024-03-28 | -6.08% |
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 | 0.2277 | 0.5247 | no |
| ABT | 2023-12-18 | 101.68 | 0.2271 | 0.4133 | no |
| ADM | 2023-12-18 | 68.63 | 0.2457 | 0.4608 | no |
| ALB | 2023-12-18 | 140.76 | 0.4391 | 0.4819 | no |
| AWK | 2023-12-18 | 123.25 | 0.2438 | 0.4632 | no |
| AXON | 2023-12-18 | 253.46 | 0.2230 | 0.4425 | no |
| BAX | 2023-12-18 | 37.04 | 0.2133 | 0.4195 | no |
| BEN | 2023-12-18 | 25.35 | 0.2203 | 0.4541 | no |
| BG | 2023-12-18 | 96.95 | 0.2916 | 0.4643 | no |
| BRK.B | 2023-12-18 | 357.42 | 0.2160 | — | no |
| BRO | 2023-12-18 | 68.69 | 0.2718 | 0.5415 | no |
| CAT | 2023-12-18 | 276.33 | 0.3201 | 0.4898 | no |
| CNC | 2023-12-18 | 74.49 | 0.2777 | 0.4480 | no |
| CTSH | 2023-12-18 | 72.53 | 0.3155 | 0.4445 | no |
| DHI | 2023-12-18 | 145.76 | 0.4956 | 0.4456 | no |
| DVA | 2023-12-18 | 106.48 | 0.2487 | 0.4681 | no |
| EBAY | 2023-12-18 | 39.76 | 0.3393 | 0.4732 | no |
| EL | 2023-12-18 | 137.00 | 0.2617 | 0.4277 | no |
| EQT | 2023-12-18 | 37.75 | 0.2390 | 0.5960 | no |
| ES | 2023-12-18 | 54.93 | 0.2463 | 0.4690 | no |
| EXPD | 2023-12-18 | 121.50 | 0.2632 | — | no |
| FAST | 2023-12-18 | 30.40 | 0.4189 | 0.5071 | no |
| FCX | 2023-12-18 | 40.15 | 0.2207 | 0.5187 | no |
| FMC | 2023-12-18 | 53.45 | 0.3615 | 0.4568 | no |
| FTNT | 2023-12-18 | 57.71 | 0.2679 | 0.5119 | no |
| FTV | 2023-12-18 | 53.84 | 0.4571 | 0.4914 | no |
| GRMN | 2023-12-18 | 119.88 | 0.2543 | 0.4573 | no |
| HAS | 2023-12-18 | 45.08 | 0.7021 | 0.4308 | no |
| ITW | 2023-12-18 | 242.74 | 0.3673 | 0.4919 | no |
| JNJ | 2023-12-18 | 143.67 | 0.2544 | 0.4715 | no |
| MDT | 2023-12-18 | 75.81 | 0.2552 | 0.4412 | no |
| MET | 2023-12-18 | 61.56 | 0.2333 | 0.4608 | no |
| NCLH | 2023-12-18 | 20.31 | 0.2844 | 0.4131 | no |
| NEE | 2023-12-18 | 56.81 | 0.2574 | 0.4738 | no |
| ON | 2023-12-18 | 85.00 | 0.9040 | 0.5113 | no |
| OXY | 2023-12-18 | 56.68 | 0.2305 | 0.6242 | no |
| PAYC | 2023-12-18 | 199.09 | 0.8232 | 0.4500 | no |
| PFE | 2023-12-18 | 22.50 | 0.2379 | 0.5619 | no |
| PG | 2023-12-18 | 134.06 | 0.2737 | 0.4167 | no |
| PHM | 2023-12-18 | 100.13 | 0.3429 | 0.4553 | no |
| PKG | 2023-12-18 | 154.48 | 0.3897 | 0.4554 | no |
| PODD | 2023-12-18 | 205.90 | 0.4078 | 0.4463 | no |
| ROL | 2023-12-18 | 40.86 | 0.3456 | 0.4482 | no |
| ROP | 2023-12-18 | 534.31 | 0.2153 | 0.4803 | no |
| SEDG | 2023-12-18 | 92.55 | 0.5393 | 0.4878 | no |
| TRMB | 2023-12-18 | 51.85 | 0.6297 | 0.4998 | no |
| UNH | 2023-12-18 | 498.58 | 0.3566 | 0.4873 | no |
| UPS | 2023-12-18 | 139.23 | 0.3580 | 0.4847 | no |
| WDC | 2023-12-18 | 38.04 | 0.2521 | 0.5467 | no |
| XOM | 2023-12-18 | 93.39 | 0.3200 | 0.5650 | no |