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 | 4.03% | 7.64% | 2024-03-28 | -6.26% |
| buy & hold | participation factor overlay | 6 months | complete | 7.83% | 10.34% | 2024-07-16 | -6.26% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.74% | 7.91% | 2024-03-28 | -7.00% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.58% | 10.19% | 2024-07-16 | -7.00% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.69% | 6.71% | 2024-03-28 | -6.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.62% | 6.71% | 2024-03-28 | -7.27% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.17% | 7.15% | 2024-03-28 | -6.38% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.94% | 7.15% | 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 |
|---|---|---|---|---|---|
| ADI | 2024-01-29 | 185.95 | 0.4236 | 0.5473 | no |
| AEP | 2024-01-29 | 70.66 | 0.2411 | 0.4737 | no |
| AKAM | 2024-01-29 | 122.66 | 0.3229 | 0.4923 | no |
| AMCR | 2024-01-29 | 40.98 | 0.6071 | 0.4630 | no |
| AMD | 2024-01-29 | 178.77 | 0.5227 | 0.5474 | no |
| AMGN | 2024-01-29 | 286.91 | 0.2520 | 0.5543 | no |
| AZO | 2024-01-29 | 2783.80 | 0.3338 | 0.5640 | no |
| BA | 2024-01-29 | 206.06 | 0.2421 | 0.5219 | no |
| BEN | 2024-01-29 | 24.49 | 0.3634 | 0.5032 | no |
| CCI | 2024-01-29 | 93.54 | 0.4071 | 0.4656 | no |
| CI | 2024-01-29 | 281.54 | 0.2755 | 0.4761 | no |
| CMS | 2024-01-29 | 51.71 | 0.2698 | 0.4585 | no |
| CRL | 2024-01-29 | 219.40 | 0.3305 | 0.4687 | no |
| CRM | 2024-01-29 | 276.13 | 0.2708 | 0.4915 | no |
| CVX | 2024-01-29 | 132.89 | 0.2857 | 0.5266 | no |
| CZR | 2024-01-29 | 44.36 | 0.3015 | 0.4643 | no |
| DD | 2024-01-29 | 76.52 | 0.2985 | 0.4837 | no |
| DOW | 2024-01-29 | 46.20 | 0.2437 | 0.4873 | no |
| DVN | 2024-01-29 | 39.28 | 0.3622 | 0.5467 | no |
| EBAY | 2024-01-29 | 40.87 | 0.2839 | 0.5201 | no |
| EFX | 2024-01-29 | 240.84 | 0.2979 | 0.5009 | no |
| EQT | 2024-01-29 | 34.42 | 0.4733 | 0.4892 | no |
| ETR | 2024-01-29 | 45.61 | 0.2887 | 0.4520 | no |
| FANG | 2024-01-29 | 142.70 | 0.2857 | 0.5316 | no |
| FE | 2024-01-29 | 32.49 | 0.2966 | 0.4636 | no |
| GNRC | 2024-01-29 | 114.56 | 0.4052 | 0.4645 | no |
| IP | 2024-01-29 | 33.11 | 0.3584 | 0.4780 | no |
| IQV | 2024-01-29 | 215.59 | 0.2780 | 0.4536 | no |
| IRM | 2024-01-29 | 61.93 | 0.2661 | 0.4498 | no |
| MKTX | 2024-01-29 | 264.33 | 0.5030 | 0.5099 | no |
| MU | 2024-01-29 | 87.79 | 0.3000 | 0.5944 | no |
| NCLH | 2024-01-29 | 17.19 | 0.3425 | 0.4508 | no |
| NUE | 2024-01-29 | 169.18 | 0.3128 | 0.5615 | no |
| NXPI | 2024-01-29 | 206.66 | 0.4880 | 0.5580 | no |
| ON | 2024-01-29 | 72.25 | 0.3526 | 0.5363 | no |
| OXY | 2024-01-29 | 55.41 | 0.2699 | 0.5687 | no |
| PAYC | 2024-01-29 | 188.52 | 0.2915 | 0.4716 | no |
| PRU | 2024-01-29 | 92.65 | 0.2941 | 0.4750 | no |
| QRVO | 2024-01-29 | 104.00 | 0.4732 | — | no |
| ROST | 2024-01-29 | 137.66 | 0.2776 | 0.4475 | no |
| SPGI | 2024-01-29 | 414.55 | 0.3469 | 0.5041 | no |
| STX | 2024-01-29 | 86.21 | 0.5362 | 0.5423 | no |
| SWKS | 2024-01-29 | 95.97 | 0.4359 | 0.5805 | no |
| T | 2024-01-29 | 15.23 | 0.4443 | 0.4414 | no |
| TDG | 2024-01-29 | 962.57 | 0.3749 | 0.5265 | no |
| TSCO | 2024-01-29 | 42.96 | 0.3195 | 0.5444 | no |
| TXT | 2024-01-29 | 84.64 | 0.3614 | 0.5324 | no |
| UPS | 2024-01-29 | 134.99 | 0.2423 | 0.5034 | no |
| VTRS | 2024-01-29 | 10.64 | 0.4095 | 0.4834 | no |
| WHR | 2024-01-29 | 101.23 | 0.2379 | 0.4915 | no |