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 | 3.94% | 9.67% | 2024-04-09 | -6.15% |
| buy & hold | participation factor overlay | 6 months | complete | 7.42% | 9.67% | 2024-04-09 | -6.53% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.59% | 9.44% | 2024-03-28 | -7.07% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.85% | 9.44% | 2024-03-28 | -7.58% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.60% | 10.54% | 2024-03-28 | -6.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.88% | 10.54% | 2024-03-28 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.16% | 13.00% | 2024-03-28 | -6.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.46% | 13.00% | 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 |
|---|---|---|---|---|---|
| AIG | 2024-01-22 | 65.06 | 0.2713 | 0.4602 | no |
| AKAM | 2024-01-22 | 121.41 | 0.2184 | 0.4922 | no |
| ALGN | 2024-01-22 | 269.00 | 0.5662 | 0.5060 | no |
| ANET | 2024-01-22 | 66.92 | 0.2638 | 0.4928 | no |
| AZO | 2024-01-22 | 2738.99 | 0.3356 | 0.5633 | no |
| BBY | 2024-01-22 | 62.35 | 0.3182 | 0.5061 | no |
| BDX | 2024-01-22 | 175.91 | 0.2897 | 0.4426 | no |
| BEN | 2024-01-22 | 24.46 | 0.2837 | 0.5032 | no |
| C | 2024-01-22 | 48.05 | 0.2862 | 0.4810 | no |
| CE | 2024-01-22 | 141.20 | 0.4055 | 0.4716 | no |
| CI | 2024-01-22 | 286.43 | 0.4507 | 0.4761 | no |
| CMS | 2024-01-22 | 51.80 | 0.2341 | 0.4589 | no |
| COF | 2024-01-22 | 123.72 | 0.3684 | 0.4472 | no |
| CPB | 2024-01-22 | 38.32 | 0.2891 | 0.4702 | no |
| CPRT | 2024-01-22 | 49.01 | 0.2748 | 0.4858 | no |
| CRM | 2024-01-22 | 278.47 | 0.2843 | 0.4916 | no |
| DLTR | 2024-01-22 | 130.73 | 0.3057 | 0.5561 | no |
| DVN | 2024-01-22 | 37.63 | 0.2829 | 0.5467 | no |
| EOG | 2024-01-22 | 101.23 | 0.2253 | 0.5716 | no |
| EQT | 2024-01-22 | 33.57 | 0.2675 | 0.4892 | no |
| FTNT | 2024-01-22 | 61.88 | 0.2858 | 0.5352 | no |
| FTV | 2024-01-22 | 54.11 | 0.2801 | 0.5101 | no |
| GE | 2024-01-22 | 102.43 | 0.3098 | 0.4974 | no |
| GL | 2024-01-22 | 119.42 | 0.2825 | 0.4871 | no |
| GNRC | 2024-01-22 | 118.54 | 0.3779 | 0.4645 | no |
| HRL | 2024-01-22 | 27.51 | 0.2132 | 0.4599 | no |
| HSY | 2024-01-22 | 175.09 | 0.2189 | 0.4527 | no |
| IBM | 2024-01-22 | 159.34 | 0.2802 | 0.4863 | no |
| INTC | 2024-01-22 | 48.20 | 0.2695 | 0.5346 | no |
| IP | 2024-01-22 | 32.26 | 0.2202 | 0.4777 | no |
| IVZ | 2024-01-22 | 15.33 | 0.3155 | 0.4682 | no |
| LVS | 2024-01-22 | 46.02 | 0.2451 | 0.4460 | no |
| MPC | 2024-01-22 | 145.17 | 0.2356 | 0.4484 | no |
| MSFT | 2024-01-22 | 391.66 | 0.2821 | 0.5017 | no |
| NOW | 2024-01-22 | 152.04 | 0.2449 | 0.4816 | no |
| NXPI | 2024-01-22 | 209.23 | 0.4123 | 0.5553 | no |
| PKG | 2024-01-22 | 152.84 | 0.2657 | 0.4779 | no |
| PNC | 2024-01-22 | 138.42 | 0.2633 | 0.4477 | no |
| SBUX | 2024-01-22 | 87.46 | 0.2792 | 0.4529 | no |
| SRE | 2024-01-22 | 67.47 | 0.2110 | 0.4975 | no |
| STX | 2024-01-22 | 82.70 | 0.4306 | 0.5470 | no |
| SWKS | 2024-01-22 | 97.79 | 0.3656 | 0.5785 | no |
| SYF | 2024-01-22 | 35.23 | 0.2907 | 0.4567 | no |
| SYK | 2024-01-22 | 309.33 | 0.2615 | 0.5033 | no |
| TECH | 2024-01-22 | 69.93 | 0.6017 | 0.5444 | no |
| VLO | 2024-01-22 | 118.57 | 0.2540 | 0.4592 | no |
| WHR | 2024-01-22 | 98.23 | 0.2492 | 0.4915 | no |
| WMT | 2024-01-22 | 52.78 | 0.2602 | 0.5856 | no |
| XOM | 2024-01-22 | 88.43 | 0.3879 | 0.5235 | no |
| XRAY | 2024-01-22 | 33.36 | 0.4145 | 0.4782 | no |