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 | 2.59% | 8.27% | 2024-03-28 | -6.10% |
| buy & hold | participation factor overlay | 6 months | complete | 8.02% | 8.68% | 2024-07-16 | -6.10% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.03% | 7.31% | 2024-03-28 | -7.84% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.68% | 7.31% | 2024-03-28 | -7.84% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.61% | 8.39% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.60% | 8.39% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.28% | 8.74% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.45% | 8.74% | 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 |
|---|---|---|---|---|---|
| ADI | 2024-01-22 | 187.92 | 0.3820 | 0.5437 | no |
| AIG | 2024-01-22 | 65.06 | 0.3083 | 0.4602 | no |
| AKAM | 2024-01-22 | 121.41 | 0.2753 | 0.4922 | no |
| ALGN | 2024-01-22 | 269.00 | 0.4813 | 0.5060 | no |
| AMCR | 2024-01-22 | 40.72 | 0.2525 | 0.4631 | no |
| ANET | 2024-01-22 | 66.92 | 0.3861 | 0.4928 | no |
| APA | 2024-01-22 | 27.47 | 0.2310 | 0.5638 | no |
| AZO | 2024-01-22 | 2738.99 | 0.3955 | 0.5633 | no |
| BBY | 2024-01-22 | 62.35 | 0.3348 | 0.5061 | no |
| C | 2024-01-22 | 48.05 | 0.2395 | 0.4810 | no |
| CHRW | 2024-01-22 | 81.91 | 0.3054 | 0.5187 | no |
| CI | 2024-01-22 | 286.43 | 0.4297 | 0.4761 | no |
| CMG | 2024-01-22 | 46.84 | 0.2205 | 0.4504 | no |
| COF | 2024-01-22 | 123.72 | 0.3169 | 0.4472 | no |
| CPB | 2024-01-22 | 38.32 | 0.3013 | 0.4702 | no |
| CPRT | 2024-01-22 | 49.01 | 0.2339 | 0.4858 | no |
| CRL | 2024-01-22 | 212.78 | 0.3282 | 0.4689 | no |
| DHI | 2024-01-22 | 151.22 | 0.3273 | 0.5101 | no |
| DLTR | 2024-01-22 | 130.73 | 0.3216 | 0.5561 | no |
| DVN | 2024-01-22 | 37.63 | 0.2314 | 0.5467 | no |
| ED | 2024-01-22 | 81.89 | 0.3084 | — | no |
| EFX | 2024-01-22 | 242.09 | 0.2906 | 0.5008 | no |
| EQT | 2024-01-22 | 33.57 | 0.3176 | 0.4892 | no |
| FDS | 2024-01-22 | 448.32 | 0.2159 | 0.5202 | no |
| FITB | 2024-01-22 | 31.29 | 0.5193 | 0.4365 | no |
| GNRC | 2024-01-22 | 118.54 | 0.4183 | 0.4645 | no |
| HRL | 2024-01-22 | 27.51 | 0.2781 | 0.4599 | no |
| IBM | 2024-01-22 | 159.34 | 0.4601 | 0.4863 | no |
| INTC | 2024-01-22 | 48.20 | 0.4655 | 0.5346 | no |
| IP | 2024-01-22 | 32.26 | 0.2835 | 0.4777 | no |
| LUV | 2024-01-22 | 28.42 | 0.2298 | 0.4656 | no |
| LVS | 2024-01-22 | 46.02 | 0.2214 | 0.4460 | no |
| META | 2024-01-22 | 384.57 | 0.2138 | 0.4923 | no |
| MSFT | 2024-01-22 | 391.66 | 0.2586 | 0.5017 | no |
| NOW | 2024-01-22 | 152.04 | 0.2262 | 0.4816 | no |
| NXPI | 2024-01-22 | 209.23 | 0.4283 | 0.5553 | no |
| OTIS | 2024-01-22 | 83.70 | 0.2329 | 0.5258 | no |
| PAYC | 2024-01-22 | 191.36 | 0.2115 | 0.4690 | no |
| PNC | 2024-01-22 | 138.42 | 0.4157 | 0.4477 | no |
| SBUX | 2024-01-22 | 87.46 | 0.2956 | 0.4529 | no |
| STX | 2024-01-22 | 82.70 | 0.4725 | 0.5470 | no |
| SWKS | 2024-01-22 | 97.79 | 0.2851 | 0.5785 | no |
| SYF | 2024-01-22 | 35.23 | 0.3191 | 0.4567 | no |
| SYK | 2024-01-22 | 309.33 | 0.3504 | 0.5033 | no |
| SYY | 2024-01-22 | 70.38 | 0.2246 | 0.5273 | no |
| TECH | 2024-01-22 | 69.93 | 0.5316 | 0.5444 | no |
| TXN | 2024-01-22 | 161.15 | 0.2155 | 0.5436 | no |
| VLO | 2024-01-22 | 118.57 | 0.3067 | 0.4592 | no |
| VTRS | 2024-01-22 | 10.16 | 0.2377 | 0.4834 | no |
| XRAY | 2024-01-22 | 33.36 | 0.3705 | 0.4782 | no |