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 | 3.11% | 8.46% | 2024-03-28 | -5.92% |
| buy & hold | participation factor overlay | 6 months | complete | 11.28% | 11.81% | 2024-07-16 | -5.92% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.04% | 6.70% | 2024-03-28 | -7.31% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.43% | 6.70% | 2024-03-28 | -7.31% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.57% | 8.30% | 2024-03-28 | -5.91% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.38% | 8.30% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.18% | 6.99% | 2024-03-28 | -5.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.21% | 6.99% | 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 |
|---|---|---|---|---|---|
| ADI | 2024-01-22 | 187.92 | 0.2344 | 0.5437 | no |
| AIG | 2024-01-22 | 65.06 | 0.2399 | 0.4602 | no |
| ALGN | 2024-01-22 | 269.00 | 0.3890 | 0.5060 | no |
| AMCR | 2024-01-22 | 40.72 | 0.2870 | 0.4631 | no |
| ANET | 2024-01-22 | 66.92 | 0.2383 | 0.4928 | no |
| AZO | 2024-01-22 | 2738.99 | 0.3996 | 0.5633 | no |
| BBY | 2024-01-22 | 62.35 | 0.2666 | 0.5061 | no |
| BEN | 2024-01-22 | 24.46 | 0.3589 | 0.5032 | no |
| BLK | 2024-01-22 | 759.31 | 0.2241 | — | no |
| C | 2024-01-22 | 48.05 | 0.3273 | 0.4810 | no |
| CCI | 2024-01-22 | 93.49 | 0.2787 | 0.4451 | no |
| CE | 2024-01-22 | 141.20 | 0.3053 | 0.4716 | no |
| CHRW | 2024-01-22 | 81.91 | 0.2818 | 0.5187 | no |
| CI | 2024-01-22 | 286.43 | 0.2739 | 0.4761 | no |
| COF | 2024-01-22 | 123.72 | 0.2465 | 0.4472 | no |
| CSCO | 2024-01-22 | 48.34 | 0.2269 | 0.4859 | no |
| CTSH | 2024-01-22 | 73.42 | 0.2598 | 0.4625 | no |
| DHI | 2024-01-22 | 151.22 | 0.3541 | 0.5101 | no |
| DLTR | 2024-01-22 | 130.73 | 0.5614 | 0.5561 | no |
| DVA | 2024-01-22 | 105.08 | 0.2762 | 0.4695 | no |
| EQT | 2024-01-22 | 33.57 | 0.5269 | 0.4892 | no |
| FANG | 2024-01-22 | 138.47 | 0.2692 | 0.5316 | no |
| FITB | 2024-01-22 | 31.29 | 0.2753 | 0.4365 | no |
| FMC | 2024-01-22 | 49.75 | 0.2389 | 0.4667 | no |
| FTNT | 2024-01-22 | 61.88 | 0.2406 | 0.5352 | no |
| FTV | 2024-01-22 | 54.11 | 0.2743 | 0.5101 | no |
| GE | 2024-01-22 | 102.43 | 0.2249 | 0.4974 | no |
| GNRC | 2024-01-22 | 118.54 | 0.3466 | 0.4645 | no |
| GS | 2024-01-22 | 364.34 | 0.2362 | 0.4886 | no |
| HSY | 2024-01-22 | 175.09 | 0.3639 | 0.4527 | no |
| IBM | 2024-01-22 | 159.34 | 0.3703 | 0.4863 | no |
| INTC | 2024-01-22 | 48.20 | 0.3529 | 0.5346 | no |
| IP | 2024-01-22 | 32.26 | 0.2526 | 0.4777 | no |
| LEN | 2024-01-22 | 140.91 | 0.3413 | 0.4826 | no |
| LVS | 2024-01-22 | 46.02 | 0.2926 | 0.4460 | no |
| MCD | 2024-01-22 | 281.61 | 0.2890 | 0.4405 | no |
| META | 2024-01-22 | 384.57 | 0.2600 | 0.4923 | no |
| MSFT | 2024-01-22 | 391.66 | 0.4523 | 0.5017 | no |
| NRG | 2024-01-22 | 50.32 | 0.2387 | 0.4673 | no |
| PANW | 2024-01-22 | 173.15 | 0.3012 | 0.5660 | no |
| PAYX | 2024-01-22 | 111.01 | 0.3415 | 0.4490 | no |
| PNC | 2024-01-22 | 138.42 | 0.2618 | 0.4477 | no |
| SRE | 2024-01-22 | 67.47 | 0.3553 | 0.4975 | no |
| STX | 2024-01-22 | 82.70 | 0.6790 | 0.5470 | no |
| SWKS | 2024-01-22 | 97.79 | 0.3532 | 0.5785 | no |
| SYF | 2024-01-22 | 35.23 | 0.3497 | 0.4567 | no |
| SYK | 2024-01-22 | 309.33 | 0.3941 | 0.5033 | no |
| TECH | 2024-01-22 | 69.93 | 0.5070 | 0.5444 | no |
| TFC | 2024-01-22 | 33.01 | 0.2790 | 0.4422 | no |
| TXN | 2024-01-22 | 161.15 | 0.4227 | 0.5436 | no |