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 | 9.13% | 10.28% | 2024-03-28 | -3.71% |
| buy & hold | participation factor overlay | 6 months | complete | 4.97% | 10.28% | 2024-03-28 | -6.29% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.95% | 7.52% | 2024-03-28 | -3.80% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.74% | 7.52% | 2024-03-28 | -6.18% |
| weekly rebalance | participation factor overlay | 3 months | complete | 6.46% | 7.88% | 2024-03-28 | -3.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.75% | 7.88% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.97% | 6.30% | 2024-03-28 | -3.40% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.01% | 6.30% | 2024-03-28 | -6.23% |
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 | 0.3312 | 0.4457 | no |
| ALB | 2024-01-08 | 128.38 | 0.5931 | 0.4898 | no |
| ALGN | 2024-01-08 | 264.81 | 0.5998 | 0.4858 | no |
| CAT | 2024-01-08 | 277.12 | 0.3739 | 0.5019 | no |
| CB | 2024-01-08 | 221.18 | 0.2495 | 0.4756 | no |
| CE | 2024-01-08 | 146.23 | 0.2259 | 0.4712 | no |
| CI | 2024-01-08 | 297.66 | 0.4621 | 0.4677 | no |
| CMI | 2024-01-08 | 226.64 | 0.2396 | 0.5378 | no |
| CNP | 2024-01-08 | 27.24 | 0.2481 | 0.4520 | no |
| CPB | 2024-01-08 | 38.72 | 0.2040 | 0.4709 | no |
| CRL | 2024-01-08 | 223.69 | 0.3225 | 0.4520 | no |
| CZR | 2024-01-08 | 44.61 | 0.2364 | 0.4637 | no |
| D | 2024-01-08 | 43.11 | 0.3026 | 0.4884 | no |
| DAL | 2024-01-08 | 39.99 | 0.2319 | 0.4598 | no |
| DD | 2024-01-08 | 90.47 | 0.2361 | 0.4812 | no |
| DVA | 2024-01-08 | 107.62 | 0.2134 | 0.4715 | no |
| ED | 2024-01-08 | 85.12 | 0.2355 | — | no |
| EQT | 2024-01-08 | 36.58 | 0.2788 | 0.5148 | no |
| ETSY | 2024-01-08 | 76.00 | 0.2120 | — | no |
| EXR | 2024-01-08 | 139.58 | 0.2834 | 0.4531 | no |
| FTNT | 2024-01-08 | 58.55 | 0.2134 | 0.5210 | no |
| GL | 2024-01-08 | 120.03 | 0.2552 | 0.4972 | no |
| GNRC | 2024-01-08 | 118.32 | 0.2465 | 0.4610 | no |
| HAL | 2024-01-08 | 32.84 | 0.2581 | 0.4480 | no |
| HAS | 2024-01-08 | 43.44 | 0.2677 | 0.4516 | no |
| HCA | 2024-01-08 | 271.21 | 0.2137 | 0.4733 | no |
| HPQ | 2024-01-08 | 26.88 | 0.2496 | 0.4925 | no |
| HSY | 2024-01-08 | 172.72 | 0.3668 | 0.4536 | no |
| HUBB | 2024-01-08 | 309.07 | 0.4259 | 0.5028 | no |
| IR | 2024-01-08 | 74.62 | 0.2033 | 0.5226 | no |
| JBL | 2024-01-08 | 126.76 | 0.1998 | 0.4811 | no |
| KLAC | 2024-01-08 | 53.76 | 0.2263 | 0.5705 | no |
| MLM | 2024-01-08 | 480.60 | 0.2054 | 0.5269 | no |
| MRK | 2024-01-08 | 108.09 | 0.2311 | 0.5381 | no |
| MS | 2024-01-08 | 86.07 | 0.2672 | 0.4570 | no |
| ON | 2024-01-08 | 76.34 | 0.2294 | 0.5311 | no |
| PAYC | 2024-01-08 | 193.01 | 0.2130 | 0.4609 | no |
| PAYX | 2024-01-08 | 107.34 | 0.2874 | 0.4323 | no |
| PHM | 2024-01-08 | 100.18 | 0.2155 | 0.5005 | no |
| PKG | 2024-01-08 | 156.69 | 0.3622 | 0.4738 | no |
| ROK | 2024-01-08 | 291.98 | 0.2903 | 0.5013 | no |
| SBUX | 2024-01-08 | 86.74 | 0.3888 | 0.4409 | no |
| SRE | 2024-01-08 | 70.53 | 0.3137 | 0.5016 | no |
| TER | 2024-01-08 | 102.19 | 0.3575 | 0.5540 | no |
| TRMB | 2024-01-08 | 50.77 | 0.6853 | 0.5116 | no |
| TT | 2024-01-08 | 235.11 | 0.3291 | 0.5069 | no |
| VLTO | 2024-01-08 | 75.61 | 0.2447 | 0.5176 | no |
| VMC | 2024-01-08 | 216.49 | 0.2044 | 0.5009 | no |
| WDC | 2024-01-08 | 37.71 | 0.2205 | 0.5691 | no |
| WHR | 2024-01-08 | 105.01 | 0.7230 | 0.4773 | no |