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 | 6.90% | 8.23% | 2024-03-28 | -3.18% |
| buy & hold | participation factor overlay | 6 months | complete | 4.76% | 8.23% | 2024-03-28 | -7.33% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.54% | 7.69% | 2024-03-28 | -3.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.73% | 7.69% | 2024-03-28 | -6.71% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.28% | 8.20% | 2024-03-28 | -3.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.70% | 8.20% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.41% | 8.69% | 2024-03-28 | -2.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.56% | 8.69% | 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 |
|---|---|---|---|---|---|
| AAL | 2024-01-08 | 14.03 | 0.2363 | 0.4457 | no |
| ADI | 2024-01-08 | 179.47 | 0.2443 | 0.5396 | no |
| AEP | 2024-01-08 | 76.04 | 0.2041 | 0.4779 | no |
| ALB | 2024-01-08 | 128.38 | 0.4981 | 0.4898 | no |
| ALGN | 2024-01-08 | 264.81 | 0.7518 | 0.4858 | no |
| ANET | 2024-01-08 | 58.75 | 0.3080 | 0.4797 | no |
| BAX | 2024-01-08 | 37.53 | 0.2949 | 0.4365 | no |
| CAT | 2024-01-08 | 277.12 | 0.3087 | 0.5019 | no |
| CB | 2024-01-08 | 221.18 | 0.2505 | 0.4756 | no |
| CE | 2024-01-08 | 146.23 | 0.3317 | 0.4712 | no |
| CI | 2024-01-08 | 297.66 | 0.5467 | 0.4677 | no |
| CNP | 2024-01-08 | 27.24 | 0.2123 | 0.4520 | no |
| CSCO | 2024-01-08 | 46.66 | 0.2901 | 0.4653 | no |
| CZR | 2024-01-08 | 44.61 | 0.2582 | 0.4637 | no |
| DD | 2024-01-08 | 90.47 | 0.2809 | 0.4812 | no |
| DUK | 2024-01-08 | 88.89 | 0.2830 | 0.4816 | no |
| EFX | 2024-01-08 | 234.60 | 0.2982 | 0.4907 | no |
| EQT | 2024-01-08 | 36.58 | 0.2642 | 0.5148 | no |
| FTNT | 2024-01-08 | 58.55 | 0.2432 | 0.5210 | no |
| GL | 2024-01-08 | 120.03 | 0.2317 | 0.4972 | no |
| GNRC | 2024-01-08 | 118.32 | 0.3260 | 0.4610 | no |
| HAL | 2024-01-08 | 32.84 | 0.2543 | 0.4480 | no |
| HAS | 2024-01-08 | 43.44 | 0.2725 | 0.4516 | no |
| HCA | 2024-01-08 | 271.21 | 0.2481 | 0.4733 | no |
| HSY | 2024-01-08 | 172.72 | 0.3622 | 0.4536 | no |
| HUBB | 2024-01-08 | 309.07 | 0.2413 | 0.5028 | no |
| INTC | 2024-01-08 | 46.45 | 0.2304 | 0.5307 | no |
| ISRG | 2024-01-08 | 324.50 | 0.2472 | 0.4519 | no |
| IVZ | 2024-01-08 | 15.90 | 0.2141 | 0.4520 | no |
| JPM | 2024-01-08 | 163.22 | 0.3111 | 0.4742 | no |
| KLAC | 2024-01-08 | 53.76 | 0.2024 | 0.5705 | no |
| MS | 2024-01-08 | 86.07 | 0.2756 | 0.4570 | no |
| ON | 2024-01-08 | 76.34 | 0.2515 | 0.5311 | no |
| PAYC | 2024-01-08 | 193.01 | 0.2083 | 0.4609 | no |
| PAYX | 2024-01-08 | 107.34 | 0.2082 | 0.4323 | no |
| PHM | 2024-01-08 | 100.18 | 0.2111 | 0.5005 | no |
| PKG | 2024-01-08 | 156.69 | 0.2333 | 0.4738 | no |
| QCOM | 2024-01-08 | 129.38 | 0.4152 | 0.4920 | no |
| ROK | 2024-01-08 | 291.98 | 0.5813 | 0.5013 | no |
| SBUX | 2024-01-08 | 86.74 | 0.2407 | 0.4409 | no |
| SCHW | 2024-01-08 | 64.58 | 0.2524 | 0.4813 | no |
| SRE | 2024-01-08 | 70.53 | 0.2246 | 0.5016 | no |
| TER | 2024-01-08 | 102.19 | 0.4414 | 0.5540 | no |
| TRMB | 2024-01-08 | 50.77 | 1.1150 | 0.5116 | no |
| TXN | 2024-01-08 | 153.01 | 0.2045 | 0.5394 | no |
| USB | 2024-01-08 | 39.18 | 0.2367 | 0.4493 | no |
| WDC | 2024-01-08 | 37.71 | 0.3783 | 0.5691 | no |
| WHR | 2024-01-08 | 105.01 | 0.6183 | 0.4773 | no |
| XRAY | 2024-01-08 | 32.91 | 0.2410 | 0.4728 | no |
| ZTS | 2024-01-08 | 187.16 | 0.2498 | 0.4583 | no |