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 | 3.77% | 7.18% | 2024-03-28 | -6.58% |
| buy & hold | participation factor overlay | 6 months | complete | 7.64% | 9.61% | 2024-07-16 | -6.58% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.74% | 6.85% | 2024-03-28 | -7.52% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.57% | 9.86% | 2024-07-16 | -7.52% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.57% | 7.88% | 2024-03-28 | -5.91% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.10% | 7.88% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.88% | 6.61% | 2024-03-28 | -5.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.38% | 6.61% | 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 | 2024-01-29 | 185.95 | 0.3144 | 0.5473 | no |
| AEP | 2024-01-29 | 70.66 | 0.2709 | 0.4737 | no |
| AMCR | 2024-01-29 | 40.98 | 0.5507 | 0.4630 | no |
| AMD | 2024-01-29 | 178.77 | 0.6684 | 0.5474 | no |
| AZO | 2024-01-29 | 2783.80 | 0.2657 | 0.5640 | no |
| BA | 2024-01-29 | 206.06 | 0.3189 | 0.5219 | no |
| BEN | 2024-01-29 | 24.49 | 0.3346 | 0.5032 | no |
| BX | 2024-01-29 | 114.42 | 0.3842 | 0.4648 | no |
| C | 2024-01-29 | 49.41 | 0.4341 | 0.4810 | no |
| CCI | 2024-01-29 | 93.54 | 0.5813 | 0.4656 | no |
| CHRW | 2024-01-29 | 82.15 | 0.2950 | 0.5187 | no |
| CME | 2024-01-29 | 187.59 | 0.3366 | 0.5386 | no |
| CRL | 2024-01-29 | 219.40 | 0.5248 | 0.4687 | no |
| CRM | 2024-01-29 | 276.13 | 0.3766 | 0.4915 | no |
| CVX | 2024-01-29 | 132.89 | 0.2740 | 0.5266 | no |
| D | 2024-01-29 | 40.04 | 0.4667 | 0.4830 | no |
| DD | 2024-01-29 | 76.52 | 0.3298 | 0.4837 | no |
| DLTR | 2024-01-29 | 136.47 | 0.3906 | 0.5604 | no |
| DVN | 2024-01-29 | 39.28 | 0.4437 | 0.5467 | no |
| EFX | 2024-01-29 | 240.84 | 0.5731 | 0.5009 | no |
| EQT | 2024-01-29 | 34.42 | 0.5038 | 0.4892 | no |
| ETSY | 2024-01-29 | 69.62 | 0.4046 | — | no |
| FANG | 2024-01-29 | 142.70 | 0.3431 | 0.5316 | no |
| FAST | 2024-01-29 | 32.08 | 0.3023 | 0.5095 | no |
| GNRC | 2024-01-29 | 114.56 | 0.3197 | 0.4645 | no |
| GOOGL | 2024-01-29 | 150.63 | 0.2843 | 0.5120 | no |
| GWW | 2024-01-29 | 861.68 | 0.2711 | 0.5253 | no |
| HSY | 2024-01-29 | 177.86 | 0.3460 | 0.4534 | no |
| KMX | 2024-01-29 | 69.92 | 0.4821 | 0.5078 | no |
| NCLH | 2024-01-29 | 17.19 | 0.2994 | 0.4508 | no |
| NDAQ | 2024-01-29 | 56.24 | 0.3078 | 0.4858 | no |
| NXPI | 2024-01-29 | 206.66 | 0.5294 | 0.5580 | no |
| ON | 2024-01-29 | 72.25 | 0.4986 | 0.5363 | no |
| ORCL | 2024-01-29 | 111.06 | 0.3441 | 0.5436 | no |
| ORLY | 2024-01-29 | 68.27 | 0.3439 | 0.5382 | no |
| PODD | 2024-01-29 | 194.94 | 0.4520 | 0.5310 | no |
| PRU | 2024-01-29 | 92.65 | 0.4729 | 0.4750 | no |
| QRVO | 2024-01-29 | 104.00 | 0.4051 | — | no |
| SPGI | 2024-01-29 | 414.55 | 0.3119 | 0.5041 | no |
| STX | 2024-01-29 | 86.21 | 0.5016 | 0.5423 | no |
| SWKS | 2024-01-29 | 95.97 | 0.4489 | 0.5805 | no |
| T | 2024-01-29 | 15.23 | 0.3833 | 0.4414 | no |
| TDG | 2024-01-29 | 962.57 | 0.3872 | 0.5265 | no |
| TRMB | 2024-01-29 | 50.88 | 0.3231 | 0.5099 | no |
| TSCO | 2024-01-29 | 42.96 | 0.3055 | 0.5444 | no |
| UPS | 2024-01-29 | 134.99 | 0.2819 | 0.5034 | no |
| URI | 2024-01-29 | 618.80 | 0.2970 | 0.5172 | no |
| VTRS | 2024-01-29 | 10.64 | 0.2657 | 0.4834 | no |
| XRAY | 2024-01-29 | 32.38 | 0.2829 | 0.4782 | no |
| YUM | 2024-01-29 | 122.39 | 0.2955 | 0.4466 | no |