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 | 4.12% | 9.18% | 2024-04-09 | -5.62% |
| buy & hold | participation factor overlay | 6 months | complete | 9.38% | 10.17% | 2024-07-16 | -5.92% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.11% | 6.71% | 2024-03-28 | -7.39% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.95% | 6.71% | 2024-03-28 | -7.39% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.28% | 7.21% | 2024-03-28 | -6.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.02% | 7.21% | 2024-03-28 | -7.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.33% | 7.56% | 2024-03-28 | -6.38% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.24% | 7.56% | 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 |
|---|---|---|---|---|---|
| ACGL | 2024-01-22 | 77.03 | 0.2972 | 0.4846 | no |
| ADI | 2024-01-22 | 187.92 | 0.3119 | 0.5437 | no |
| AIG | 2024-01-22 | 65.06 | 0.2470 | 0.4602 | no |
| ALGN | 2024-01-22 | 269.00 | 0.4079 | 0.5060 | no |
| AMCR | 2024-01-22 | 40.72 | 0.3347 | 0.4631 | no |
| ANET | 2024-01-22 | 66.92 | 0.3706 | 0.4928 | no |
| AZO | 2024-01-22 | 2738.99 | 0.3885 | 0.5633 | no |
| BBY | 2024-01-22 | 62.35 | 0.2470 | 0.5061 | no |
| BEN | 2024-01-22 | 24.46 | 0.4025 | 0.5032 | no |
| C | 2024-01-22 | 48.05 | 0.3585 | 0.4810 | no |
| CE | 2024-01-22 | 141.20 | 0.2666 | 0.4716 | no |
| CHRW | 2024-01-22 | 81.91 | 0.2532 | 0.5187 | no |
| COF | 2024-01-22 | 123.72 | 0.4531 | 0.4472 | no |
| CPB | 2024-01-22 | 38.32 | 0.4063 | 0.4702 | no |
| CRM | 2024-01-22 | 278.47 | 0.2991 | 0.4916 | no |
| CTSH | 2024-01-22 | 73.42 | 0.2649 | 0.4625 | no |
| DHI | 2024-01-22 | 151.22 | 0.2444 | 0.5101 | no |
| ED | 2024-01-22 | 81.89 | 0.2658 | — | no |
| EQT | 2024-01-22 | 33.57 | 0.4082 | 0.4892 | no |
| FANG | 2024-01-22 | 138.47 | 0.2984 | 0.5316 | no |
| FMC | 2024-01-22 | 49.75 | 0.2696 | 0.4667 | no |
| GE | 2024-01-22 | 102.43 | 0.2504 | 0.4974 | no |
| GNRC | 2024-01-22 | 118.54 | 0.4092 | 0.4645 | no |
| HRL | 2024-01-22 | 27.51 | 0.3325 | 0.4599 | no |
| HSY | 2024-01-22 | 175.09 | 0.2776 | 0.4527 | no |
| IBM | 2024-01-22 | 159.34 | 0.3237 | 0.4863 | no |
| INTC | 2024-01-22 | 48.20 | 0.5574 | 0.5346 | no |
| IVZ | 2024-01-22 | 15.33 | 0.2732 | 0.4682 | no |
| LEN | 2024-01-22 | 140.91 | 0.3027 | 0.4826 | no |
| LIN | 2024-01-22 | 387.94 | 0.2171 | 0.4797 | no |
| LUV | 2024-01-22 | 28.42 | 0.2346 | 0.4656 | no |
| LVS | 2024-01-22 | 46.02 | 0.2661 | 0.4460 | no |
| META | 2024-01-22 | 384.57 | 0.2209 | 0.4923 | no |
| MPC | 2024-01-22 | 145.17 | 0.2273 | 0.4484 | no |
| MSFT | 2024-01-22 | 391.66 | 0.3224 | 0.5017 | no |
| NOW | 2024-01-22 | 152.04 | 0.3556 | 0.4816 | no |
| QRVO | 2024-01-22 | 106.39 | 0.2954 | — | no |
| SCHW | 2024-01-22 | 61.55 | 0.2299 | 0.4883 | no |
| SRE | 2024-01-22 | 67.47 | 0.4114 | 0.4975 | no |
| STX | 2024-01-22 | 82.70 | 0.4489 | 0.5470 | no |
| SWKS | 2024-01-22 | 97.79 | 0.3379 | 0.5785 | no |
| SYF | 2024-01-22 | 35.23 | 0.2496 | 0.4567 | no |
| SYK | 2024-01-22 | 309.33 | 0.4131 | 0.5033 | no |
| TECH | 2024-01-22 | 69.93 | 0.4308 | 0.5444 | no |
| TFC | 2024-01-22 | 33.01 | 0.2257 | 0.4422 | no |
| TRMB | 2024-01-22 | 50.40 | 0.2560 | 0.5101 | no |
| VLO | 2024-01-22 | 118.57 | 0.2518 | 0.4592 | no |
| VRTX | 2024-01-22 | 437.64 | 0.2939 | 0.5468 | no |
| WHR | 2024-01-22 | 98.23 | 0.2211 | 0.4915 | no |
| XRAY | 2024-01-22 | 33.36 | 0.2865 | 0.4782 | no |