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 | 3.79% | 4.84% | 2024-03-13 | -5.27% |
| buy & hold | participation factor overlay | 6 months | complete | 3.28% | 7.13% | 2024-03-28 | -5.86% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.20% | 5.06% | 2024-03-13 | -5.30% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.37% | 7.40% | 2024-03-28 | -6.27% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.29% | 6.70% | 2024-03-13 | -3.93% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.06% | 9.70% | 2024-03-28 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 10.24% | 10.75% | 2024-03-13 | -3.09% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.63% | 13.94% | 2024-03-28 | -7.06% |
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 |
|---|---|---|---|---|---|
| ABT | 2023-12-18 | 101.68 | 0.2755 | 0.4133 | no |
| ADM | 2023-12-18 | 68.63 | 0.2242 | 0.4608 | no |
| ALB | 2023-12-18 | 140.76 | 0.2569 | 0.4819 | no |
| AMCR | 2023-12-18 | 41.58 | 0.1724 | 0.4452 | no |
| APA | 2023-12-18 | 32.43 | 0.1883 | 0.6197 | no |
| ATO | 2023-12-18 | 107.67 | 0.2452 | 0.5380 | no |
| AWK | 2023-12-18 | 123.25 | 0.1752 | 0.4632 | no |
| BG | 2023-12-18 | 96.95 | 0.2329 | 0.4643 | no |
| BMY | 2023-12-18 | 44.87 | 0.2145 | 0.5727 | no |
| BR | 2023-12-18 | 185.49 | 0.1967 | 0.4596 | no |
| C | 2023-12-18 | 46.35 | 0.1978 | 0.4464 | no |
| CCI | 2023-12-18 | 97.29 | 0.2715 | 0.4186 | no |
| CHRW | 2023-12-18 | 80.54 | 0.1919 | 0.5017 | no |
| CNC | 2023-12-18 | 74.49 | 0.3719 | 0.4480 | no |
| DHI | 2023-12-18 | 145.76 | 0.3641 | 0.4456 | no |
| DVA | 2023-12-18 | 106.48 | 0.2239 | 0.4681 | no |
| EBAY | 2023-12-18 | 39.76 | 0.2002 | 0.4732 | no |
| EL | 2023-12-18 | 137.00 | 0.4025 | 0.4277 | no |
| EMR | 2023-12-18 | 91.40 | 0.2184 | 0.5005 | no |
| ENPH | 2023-12-18 | 121.32 | 0.2656 | 0.4152 | no |
| F | 2023-12-18 | 10.08 | 0.3922 | 0.4500 | no |
| FAST | 2023-12-18 | 30.40 | 0.2415 | 0.5071 | no |
| FFIV | 2023-12-18 | 178.07 | 0.1774 | 0.4599 | no |
| FMC | 2023-12-18 | 53.45 | 0.6252 | 0.4568 | no |
| FTV | 2023-12-18 | 53.84 | 0.2187 | 0.4914 | no |
| GE | 2023-12-18 | 97.17 | 0.2805 | 0.4812 | no |
| HAL | 2023-12-18 | 34.39 | 0.2028 | 0.5040 | no |
| HAS | 2023-12-18 | 45.08 | 0.6810 | 0.4308 | no |
| HPQ | 2023-12-18 | 27.36 | 0.2491 | 0.4851 | no |
| ITW | 2023-12-18 | 242.74 | 0.2375 | 0.4919 | no |
| KLAC | 2023-12-18 | 57.92 | 0.3194 | 0.5531 | no |
| MCO | 2023-12-18 | 381.20 | 0.1705 | 0.4848 | no |
| NCLH | 2023-12-18 | 20.31 | 0.2852 | 0.4131 | no |
| NFLX | 2023-12-18 | 47.63 | 0.2719 | 0.4225 | no |
| NRG | 2023-12-18 | 46.44 | 0.1827 | 0.4764 | no |
| ON | 2023-12-18 | 85.00 | 0.7798 | 0.5113 | no |
| PAYC | 2023-12-18 | 199.09 | 0.8589 | 0.4500 | no |
| PFE | 2023-12-18 | 22.50 | 0.3079 | 0.5619 | no |
| PG | 2023-12-18 | 134.06 | 0.2295 | 0.4167 | no |
| PH | 2023-12-18 | 443.46 | 0.1995 | 0.4951 | no |
| PHM | 2023-12-18 | 100.13 | 0.2072 | 0.4553 | no |
| PKG | 2023-12-18 | 154.48 | 0.5196 | 0.4554 | no |
| PODD | 2023-12-18 | 205.90 | 0.3244 | 0.4463 | no |
| SEDG | 2023-12-18 | 92.55 | 0.4292 | 0.4878 | no |
| T | 2023-12-18 | 14.44 | 0.2363 | 0.4080 | no |
| TECH | 2023-12-18 | 75.40 | 0.1763 | 0.4819 | no |
| TFC | 2023-12-18 | 32.23 | 0.1741 | 0.4281 | no |
| TRMB | 2023-12-18 | 51.85 | 0.6334 | 0.4998 | no |
| UNH | 2023-12-18 | 498.58 | 0.2423 | 0.4873 | no |
| XOM | 2023-12-18 | 93.39 | 0.2028 | 0.5650 | no |