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 | 4.39% | 7.64% | 2024-03-28 | -6.45% |
| buy & hold | participation factor overlay | 6 months | complete | 10.00% | 11.43% | 2024-07-16 | -6.45% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.85% | 7.29% | 2024-03-28 | -7.13% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.80% | 11.23% | 2024-07-16 | -7.13% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.68% | 9.24% | 2024-03-28 | -6.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.36% | 9.24% | 2024-03-28 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.93% | 11.46% | 2024-03-28 | -6.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.60% | 11.46% | 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 |
|---|---|---|---|---|---|
| AEP | 2024-01-29 | 70.66 | 0.3238 | 0.4737 | no |
| AES | 2024-01-29 | 14.97 | 0.2724 | — | no |
| AKAM | 2024-01-29 | 122.66 | 0.2399 | 0.4923 | no |
| AMCR | 2024-01-29 | 40.98 | 0.4686 | 0.4630 | no |
| AMD | 2024-01-29 | 178.77 | 0.6424 | 0.5474 | no |
| AZO | 2024-01-29 | 2783.80 | 0.3642 | 0.5640 | no |
| BX | 2024-01-29 | 114.42 | 0.3008 | 0.4648 | no |
| C | 2024-01-29 | 49.41 | 0.2636 | 0.4810 | no |
| CCI | 2024-01-29 | 93.54 | 0.4579 | 0.4656 | no |
| CI | 2024-01-29 | 281.54 | 0.2756 | 0.4761 | no |
| CMS | 2024-01-29 | 51.71 | 0.3763 | 0.4585 | no |
| CRL | 2024-01-29 | 219.40 | 0.4430 | 0.4687 | no |
| CRM | 2024-01-29 | 276.13 | 0.3102 | 0.4915 | no |
| CVX | 2024-01-29 | 132.89 | 0.3405 | 0.5266 | no |
| CZR | 2024-01-29 | 44.36 | 0.2525 | 0.4643 | no |
| D | 2024-01-29 | 40.04 | 0.2765 | 0.4830 | no |
| DD | 2024-01-29 | 76.52 | 0.3414 | 0.4837 | no |
| DVN | 2024-01-29 | 39.28 | 0.3950 | 0.5467 | no |
| EFX | 2024-01-29 | 240.84 | 0.4370 | 0.5009 | no |
| EQT | 2024-01-29 | 34.42 | 0.5258 | 0.4892 | no |
| ETR | 2024-01-29 | 45.61 | 0.3976 | 0.4520 | no |
| FANG | 2024-01-29 | 142.70 | 0.2393 | 0.5316 | no |
| FAST | 2024-01-29 | 32.08 | 0.3468 | 0.5095 | no |
| FDS | 2024-01-29 | 452.48 | 0.2394 | 0.5208 | no |
| GLW | 2024-01-29 | 29.21 | 0.2798 | 0.4657 | no |
| GNRC | 2024-01-29 | 114.56 | 0.4904 | 0.4645 | no |
| HSY | 2024-01-29 | 177.86 | 0.3757 | 0.4534 | no |
| INCY | 2024-01-29 | 60.36 | 0.3284 | 0.5481 | no |
| IQV | 2024-01-29 | 215.59 | 0.3104 | 0.4536 | no |
| IRM | 2024-01-29 | 61.93 | 0.2381 | 0.4498 | no |
| MKTX | 2024-01-29 | 264.33 | 0.2700 | 0.5099 | no |
| NCLH | 2024-01-29 | 17.19 | 0.4850 | 0.4508 | no |
| NXPI | 2024-01-29 | 206.66 | 0.5203 | 0.5580 | no |
| ON | 2024-01-29 | 72.25 | 0.3192 | 0.5363 | no |
| PRU | 2024-01-29 | 92.65 | 0.3256 | 0.4750 | no |
| QRVO | 2024-01-29 | 104.00 | 0.5133 | — | no |
| REGN | 2024-01-29 | 937.28 | 0.2636 | 0.5910 | no |
| ROST | 2024-01-29 | 137.66 | 0.2383 | 0.4475 | no |
| SBUX | 2024-01-29 | 86.74 | 0.2875 | 0.4535 | no |
| SNA | 2024-01-29 | 269.31 | 0.2987 | 0.5114 | no |
| STX | 2024-01-29 | 86.21 | 0.4284 | 0.5423 | no |
| SWKS | 2024-01-29 | 95.97 | 0.6712 | 0.5805 | no |
| T | 2024-01-29 | 15.23 | 0.3319 | 0.4414 | no |
| TDG | 2024-01-29 | 962.57 | 0.3192 | 0.5265 | no |
| TFC | 2024-01-29 | 33.07 | 0.2625 | 0.4422 | no |
| TSCO | 2024-01-29 | 42.96 | 0.4099 | 0.5444 | no |
| TSN | 2024-01-29 | 50.16 | 0.3044 | 0.4646 | no |
| TT | 2024-01-29 | 245.85 | 0.2503 | 0.5078 | no |
| TXT | 2024-01-29 | 84.64 | 0.2747 | 0.5324 | no |
| VTRS | 2024-01-29 | 10.64 | 0.2397 | 0.4834 | no |