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 | 9.28% | 9.95% | 2024-03-28 | -3.07% |
| buy & hold | participation factor overlay | 6 months | complete | 4.92% | 9.95% | 2024-03-28 | -5.83% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 7.27% | 8.78% | 2024-03-28 | -2.67% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.13% | 8.78% | 2024-03-28 | -6.62% |
| weekly rebalance | participation factor overlay | 3 months | complete | 8.59% | 10.27% | 2024-03-28 | -3.02% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.03% | 10.27% | 2024-03-28 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 12.04% | 13.93% | 2024-03-28 | -2.35% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.38% | 13.93% | 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 |
|---|---|---|---|---|---|
| AEP | 2024-01-08 | 76.04 | 0.2548 | 0.4779 | no |
| ALGN | 2024-01-08 | 264.81 | 0.7036 | 0.4858 | no |
| APA | 2024-01-08 | 30.14 | 0.2044 | 0.5797 | no |
| BAX | 2024-01-08 | 37.53 | 0.3209 | 0.4365 | no |
| CAT | 2024-01-08 | 277.12 | 0.2968 | 0.5019 | no |
| CB | 2024-01-08 | 221.18 | 0.2462 | 0.4756 | no |
| CE | 2024-01-08 | 146.23 | 0.2935 | 0.4712 | no |
| CI | 2024-01-08 | 297.66 | 0.4533 | 0.4677 | no |
| CMI | 2024-01-08 | 226.64 | 0.2517 | 0.5378 | no |
| CNP | 2024-01-08 | 27.24 | 0.2186 | 0.4520 | no |
| CPB | 2024-01-08 | 38.72 | 0.1956 | 0.4709 | no |
| CSCO | 2024-01-08 | 46.66 | 0.2073 | 0.4653 | no |
| DD | 2024-01-08 | 90.47 | 0.3286 | 0.4812 | no |
| DG | 2024-01-08 | 126.35 | 0.2342 | 0.5623 | no |
| DVA | 2024-01-08 | 107.62 | 0.2694 | 0.4715 | no |
| EFX | 2024-01-08 | 234.60 | 0.3943 | 0.4907 | no |
| ETN | 2024-01-08 | 228.37 | 0.2427 | 0.5064 | no |
| ETSY | 2024-01-08 | 76.00 | 0.3187 | — | no |
| EVRG | 2024-01-08 | 48.10 | 0.2181 | 0.4663 | no |
| FAST | 2024-01-08 | 29.29 | 0.2727 | 0.5206 | no |
| FE | 2024-01-08 | 34.04 | 0.2830 | 0.4689 | no |
| FOX | 2024-01-08 | 27.07 | 0.2860 | — | no |
| FTNT | 2024-01-08 | 58.55 | 0.3110 | 0.5210 | no |
| GL | 2024-01-08 | 120.03 | 0.2706 | 0.4972 | no |
| GNRC | 2024-01-08 | 118.32 | 0.3419 | 0.4610 | no |
| HAL | 2024-01-08 | 32.84 | 0.1898 | 0.4480 | no |
| HAS | 2024-01-08 | 43.44 | 0.3354 | 0.4516 | no |
| HCA | 2024-01-08 | 271.21 | 0.2126 | 0.4733 | no |
| HPQ | 2024-01-08 | 26.88 | 0.1974 | 0.4925 | no |
| HSY | 2024-01-08 | 172.72 | 0.4152 | 0.4536 | no |
| HUBB | 2024-01-08 | 309.07 | 0.3695 | 0.5028 | no |
| MTB | 2024-01-08 | 126.48 | 0.2267 | 0.4630 | no |
| NEM | 2024-01-08 | 37.79 | 0.2172 | 0.4711 | no |
| PAYC | 2024-01-08 | 193.01 | 0.2031 | 0.4609 | no |
| PKG | 2024-01-08 | 156.69 | 0.4168 | 0.4738 | no |
| QCOM | 2024-01-08 | 129.38 | 0.1986 | 0.4920 | no |
| ROK | 2024-01-08 | 291.98 | 0.2620 | 0.5013 | no |
| SBUX | 2024-01-08 | 86.74 | 0.3414 | 0.4409 | no |
| SRE | 2024-01-08 | 70.53 | 0.2265 | 0.5016 | no |
| TER | 2024-01-08 | 102.19 | 0.4041 | 0.5540 | no |
| TRMB | 2024-01-08 | 50.77 | 0.9015 | 0.5116 | no |
| UNH | 2024-01-08 | 508.27 | 0.2328 | 0.4912 | no |
| URI | 2024-01-08 | 525.89 | 0.2130 | 0.5323 | no |
| VMC | 2024-01-08 | 216.49 | 0.2102 | 0.5009 | no |
| WDC | 2024-01-08 | 37.71 | 0.2757 | 0.5691 | no |
| WHR | 2024-01-08 | 105.01 | 0.8653 | 0.4773 | no |
| WM | 2024-01-08 | 170.88 | 0.2091 | 0.5216 | no |
| WYNN | 2024-01-08 | 92.79 | 0.2472 | 0.4422 | no |
| XRAY | 2024-01-08 | 32.91 | 0.3725 | 0.4728 | no |
| ZION | 2024-01-08 | 39.97 | 0.2021 | 0.4336 | no |