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 | 5.95% | 7.70% | 2024-03-28 | -3.20% |
| buy & hold | participation factor overlay | 6 months | complete | 1.31% | 7.70% | 2024-03-28 | -6.83% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.84% | 5.82% | 2024-03-28 | -3.74% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.06% | 5.82% | 2024-03-28 | -7.52% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.68% | 6.62% | 2024-03-28 | -3.50% |
| weekly rebalance | participation factor overlay | 6 months | complete | -0.04% | 6.62% | 2024-03-28 | -7.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.36% | 7.32% | 2024-03-28 | -3.16% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.54% | 7.32% | 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 | 2024-01-08 | 147.68 | 0.2041 | 0.5170 | no |
| AEP | 2024-01-08 | 76.04 | 0.2206 | 0.4779 | no |
| ALB | 2024-01-08 | 128.38 | 0.5665 | 0.4898 | no |
| ALGN | 2024-01-08 | 264.81 | 0.7189 | 0.4858 | no |
| BAX | 2024-01-08 | 37.53 | 0.2821 | 0.4365 | no |
| CB | 2024-01-08 | 221.18 | 0.2375 | 0.4756 | no |
| CE | 2024-01-08 | 146.23 | 0.2711 | 0.4712 | no |
| CI | 2024-01-08 | 297.66 | 0.2773 | 0.4677 | no |
| CMS | 2024-01-08 | 54.20 | 0.2596 | 0.4637 | no |
| CNP | 2024-01-08 | 27.24 | 0.2314 | 0.4520 | no |
| CRL | 2024-01-08 | 223.69 | 0.3204 | 0.4520 | no |
| CZR | 2024-01-08 | 44.61 | 0.3560 | 0.4637 | no |
| ED | 2024-01-08 | 85.12 | 0.2137 | — | no |
| EFX | 2024-01-08 | 234.60 | 0.2104 | 0.4907 | no |
| EQT | 2024-01-08 | 36.58 | 0.1970 | 0.5148 | no |
| ETSY | 2024-01-08 | 76.00 | 0.2477 | — | no |
| EVRG | 2024-01-08 | 48.10 | 0.2235 | 0.4663 | no |
| EXR | 2024-01-08 | 139.58 | 0.2361 | 0.4531 | no |
| FAST | 2024-01-08 | 29.29 | 0.2215 | 0.5206 | no |
| FE | 2024-01-08 | 34.04 | 0.3058 | 0.4689 | no |
| FTNT | 2024-01-08 | 58.55 | 0.2923 | 0.5210 | no |
| GNRC | 2024-01-08 | 118.32 | 0.5238 | 0.4610 | no |
| HAL | 2024-01-08 | 32.84 | 0.2893 | 0.4480 | no |
| HAS | 2024-01-08 | 43.44 | 0.4070 | 0.4516 | no |
| HSY | 2024-01-08 | 172.72 | 0.4160 | 0.4536 | no |
| HUBB | 2024-01-08 | 309.07 | 0.3460 | 0.5028 | no |
| INTC | 2024-01-08 | 46.45 | 0.2438 | 0.5307 | no |
| ISRG | 2024-01-08 | 324.50 | 0.2503 | 0.4519 | no |
| IVZ | 2024-01-08 | 15.90 | 0.2491 | 0.4520 | no |
| L | 2024-01-08 | 70.77 | 0.2176 | — | no |
| MRK | 2024-01-08 | 108.09 | 0.2596 | 0.5381 | no |
| MS | 2024-01-08 | 86.07 | 0.2790 | 0.4570 | no |
| ON | 2024-01-08 | 76.34 | 0.2528 | 0.5311 | no |
| PAYC | 2024-01-08 | 193.01 | 0.3525 | 0.4609 | no |
| PHM | 2024-01-08 | 100.18 | 0.2565 | 0.5005 | no |
| PKG | 2024-01-08 | 156.69 | 0.3786 | 0.4738 | no |
| POOL | 2024-01-08 | 356.73 | 0.2015 | 0.4776 | no |
| ROK | 2024-01-08 | 291.98 | 0.4106 | 0.5013 | no |
| ROL | 2024-01-08 | 41.26 | 0.2736 | 0.4624 | no |
| SBUX | 2024-01-08 | 86.74 | 0.3362 | 0.4409 | no |
| SRE | 2024-01-08 | 70.53 | 0.3660 | 0.5016 | no |
| TER | 2024-01-08 | 102.19 | 0.2590 | 0.5540 | no |
| TRMB | 2024-01-08 | 50.77 | 0.8494 | 0.5116 | no |
| TXN | 2024-01-08 | 153.01 | 0.3722 | 0.5394 | no |
| VMC | 2024-01-08 | 216.49 | 0.2082 | 0.5009 | no |
| WDC | 2024-01-08 | 37.71 | 0.4156 | 0.5691 | no |
| WEC | 2024-01-08 | 77.90 | 0.3639 | 0.4397 | no |
| WHR | 2024-01-08 | 105.01 | 0.7759 | 0.4773 | no |
| WM | 2024-01-08 | 170.88 | 0.2431 | 0.5216 | no |
| XRAY | 2024-01-08 | 32.91 | 0.2916 | 0.4728 | no |