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Backtest archive · f639a3d7-d019-47ee-9206-1c136c734b45

Every formation.
Every comparison.

The complete public index for the frozen US backtest run. Each Monday and seed is one formation group containing the four paired portfolio arms.

Paired results

The reference arm follows the recognized Microsoft Research Qlib convention: an Alpha158-style feature stack with a LightGBM ranking model. The participation-factor arm keeps that same universe, ranking and execution model, then applies the deterministic overlay. This isolates the incremental contribution of the factor.

ManagementHorizonQlib / Alpha158 baselineWith factorUpliftImproved
buy & hold3 months3.22%3.39%0.17%490/928
buy & hold6 months6.05%6.59%0.54%520/876
weekly rebalance3 months2.46%2.74%0.28%569/928
weekly rebalance6 months5.34%5.86%0.52%554/876

Backtest archive

980 formation groups. Each group opens one common comparison view with separate buy & hold and weekly-rebalance P/L charts plus the supporting tables.

980 formation groups shown