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 | 2.34% | 5.84% | 2024-03-28 | -6.14% |
| buy & hold | participation factor overlay | 6 months | complete | 6.77% | 8.54% | 2024-07-16 | -6.14% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.18% | 5.19% | 2024-03-28 | -6.79% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.83% | 9.85% | 2024-07-16 | -6.79% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.50% | 7.65% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.50% | 7.65% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.54% | 8.00% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.85% | 8.00% | 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 | 2024-01-29 | 185.95 | 0.4587 | 0.5473 | no |
| AEP | 2024-01-29 | 70.66 | 0.3059 | 0.4737 | no |
| AKAM | 2024-01-29 | 122.66 | 0.3826 | 0.4923 | no |
| AMCR | 2024-01-29 | 40.98 | 0.4607 | 0.4630 | no |
| AMD | 2024-01-29 | 178.77 | 0.7534 | 0.5474 | no |
| APTV | 2024-01-29 | 85.26 | 0.3162 | 0.4423 | no |
| AZO | 2024-01-29 | 2783.80 | 0.2934 | 0.5640 | no |
| BA | 2024-01-29 | 206.06 | 0.2489 | 0.5219 | no |
| BDX | 2024-01-29 | 175.40 | 0.2479 | 0.4443 | no |
| BEN | 2024-01-29 | 24.49 | 0.2609 | 0.5032 | no |
| BG | 2024-01-29 | 81.76 | 0.2696 | 0.4572 | no |
| BX | 2024-01-29 | 114.42 | 0.3639 | 0.4648 | no |
| C | 2024-01-29 | 49.41 | 0.2831 | 0.4810 | no |
| CCI | 2024-01-29 | 93.54 | 0.3339 | 0.4656 | no |
| CMS | 2024-01-29 | 51.71 | 0.2732 | 0.4585 | no |
| CRL | 2024-01-29 | 219.40 | 0.4890 | 0.4687 | no |
| CRM | 2024-01-29 | 276.13 | 0.2820 | 0.4915 | no |
| D | 2024-01-29 | 40.04 | 0.3001 | 0.4830 | no |
| DLTR | 2024-01-29 | 136.47 | 0.3194 | 0.5604 | no |
| DVN | 2024-01-29 | 39.28 | 0.2897 | 0.5467 | no |
| DXCM | 2024-01-29 | 121.88 | 0.2556 | 0.4630 | no |
| ED | 2024-01-29 | 82.01 | 0.2914 | — | no |
| EFX | 2024-01-29 | 240.84 | 0.3430 | 0.5009 | no |
| EOG | 2024-01-29 | 106.56 | 0.2591 | 0.5716 | no |
| EQT | 2024-01-29 | 34.42 | 0.4899 | 0.4892 | no |
| ETR | 2024-01-29 | 45.61 | 0.2977 | 0.4520 | no |
| FAST | 2024-01-29 | 32.08 | 0.3019 | 0.5095 | no |
| FE | 2024-01-29 | 32.49 | 0.2923 | 0.4636 | no |
| GLW | 2024-01-29 | 29.21 | 0.3168 | 0.4657 | no |
| GNRC | 2024-01-29 | 114.56 | 0.2852 | 0.4645 | no |
| GOOGL | 2024-01-29 | 150.63 | 0.2896 | 0.5120 | no |
| HSY | 2024-01-29 | 177.86 | 0.2577 | 0.4534 | no |
| INCY | 2024-01-29 | 60.36 | 0.3589 | 0.5481 | no |
| IQV | 2024-01-29 | 215.59 | 0.2452 | 0.4536 | no |
| IRM | 2024-01-29 | 61.93 | 0.2653 | 0.4498 | no |
| MKTX | 2024-01-29 | 264.33 | 0.2951 | 0.5099 | no |
| NXPI | 2024-01-29 | 206.66 | 0.4712 | 0.5580 | no |
| ON | 2024-01-29 | 72.25 | 0.3441 | 0.5363 | no |
| PRU | 2024-01-29 | 92.65 | 0.2836 | 0.4750 | no |
| QRVO | 2024-01-29 | 104.00 | 0.4102 | — | no |
| SNA | 2024-01-29 | 269.31 | 0.3029 | 0.5114 | no |
| SPGI | 2024-01-29 | 414.55 | 0.3139 | 0.5041 | no |
| STX | 2024-01-29 | 86.21 | 0.3051 | 0.5423 | no |
| SWKS | 2024-01-29 | 95.97 | 0.7380 | 0.5805 | no |
| T | 2024-01-29 | 15.23 | 0.4381 | 0.4414 | no |
| TDG | 2024-01-29 | 962.57 | 0.4766 | 0.5265 | no |
| TRMB | 2024-01-29 | 50.88 | 0.3880 | 0.5099 | no |
| TXT | 2024-01-29 | 84.64 | 0.3925 | 0.5324 | no |
| VTRS | 2024-01-29 | 10.64 | 0.2697 | 0.4834 | no |
| XRAY | 2024-01-29 | 32.38 | 0.2850 | 0.4782 | no |