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 | 2.48% | 7.00% | 2024-04-09 | -5.95% |
| buy & hold | participation factor overlay | 6 months | complete | -0.58% | 7.51% | 2024-07-16 | -7.52% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.27% | 6.55% | 2024-04-09 | -6.89% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.16% | 8.65% | 2024-07-16 | -6.89% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.62% | 8.00% | 2024-03-28 | -6.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.13% | 8.00% | 2024-03-28 | -7.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.89% | 8.11% | 2024-03-28 | -6.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -0.82% | 8.11% | 2024-03-28 | -8.26% |
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 |
|---|---|---|---|---|---|
| AES | 2024-02-05 | 14.72 | 0.3331 | — | no |
| AKAM | 2024-02-05 | 123.96 | 0.3171 | 0.5013 | no |
| ALB | 2024-02-05 | 106.93 | 0.6879 | 0.4905 | no |
| AMD | 2024-02-05 | 179.09 | 0.7213 | 0.5421 | no |
| APA | 2024-02-05 | 27.16 | 0.3168 | 0.5638 | no |
| AZO | 2024-02-05 | 2801.12 | 0.3134 | 0.5614 | no |
| BA | 2024-02-05 | 204.64 | 0.2587 | 0.5096 | no |
| BX | 2024-02-05 | 113.65 | 0.2988 | 0.4648 | no |
| CMS | 2024-02-05 | 52.33 | 0.4073 | 0.4562 | no |
| CPB | 2024-02-05 | 39.82 | 0.2844 | 0.4708 | no |
| CRM | 2024-02-05 | 280.89 | 0.2822 | 0.4912 | no |
| CTSH | 2024-02-05 | 73.50 | 0.3570 | 0.4619 | no |
| CVX | 2024-02-05 | 135.14 | 0.3112 | 0.5832 | no |
| CZR | 2024-02-05 | 42.66 | 0.4224 | 0.4643 | no |
| D | 2024-02-05 | 39.69 | 0.3091 | 0.4830 | no |
| DD | 2024-02-05 | 73.10 | 0.3788 | 0.4837 | no |
| DG | 2024-02-05 | 127.96 | 0.3629 | 0.5695 | no |
| DHR | 2024-02-05 | 241.27 | 0.3127 | 0.4455 | no |
| DLTR | 2024-02-05 | 137.80 | 0.3913 | 0.5573 | no |
| DOW | 2024-02-05 | 44.81 | 0.4006 | 0.4874 | no |
| DTE | 2024-02-05 | 95.62 | 0.3143 | 0.4459 | no |
| DVN | 2024-02-05 | 37.88 | 0.4341 | 0.5467 | no |
| ED | 2024-02-05 | 82.31 | 0.2571 | — | no |
| EOG | 2024-02-05 | 101.75 | 0.4187 | 0.5716 | no |
| ETSY | 2024-02-05 | 74.83 | 0.2486 | — | no |
| GLW | 2024-02-05 | 30.34 | 0.4177 | 0.4835 | no |
| GM | 2024-02-05 | 37.49 | 0.2695 | 0.4862 | no |
| GNRC | 2024-02-05 | 114.17 | 0.4283 | 0.4633 | no |
| HAL | 2024-02-05 | 32.38 | 0.2595 | 0.4539 | no |
| HUBB | 2024-02-05 | 340.70 | 0.2505 | 0.5069 | no |
| IDXX | 2024-02-05 | 531.51 | 0.2669 | 0.5025 | no |
| INTC | 2024-02-05 | 42.06 | 0.3028 | 0.5523 | no |
| IVZ | 2024-02-05 | 13.91 | 0.3281 | 0.4790 | no |
| LRCX | 2024-02-05 | 82.12 | 0.4175 | 0.5613 | no |
| MOS | 2024-02-05 | 27.73 | 0.2703 | 0.4475 | no |
| NEM | 2024-02-05 | 32.11 | 0.2938 | 0.4764 | no |
| NXPI | 2024-02-05 | 208.02 | 0.4490 | 0.5598 | no |
| ON | 2024-02-05 | 75.60 | 0.5581 | 0.5390 | no |
| PAYC | 2024-02-05 | 189.71 | 0.3376 | 0.4710 | no |
| PCG | 2024-02-05 | 16.22 | 0.2707 | 0.4804 | no |
| PODD | 2024-02-05 | 191.82 | 0.4283 | 0.5310 | no |
| RJF | 2024-02-05 | 107.86 | 0.2795 | 0.4769 | no |
| ROST | 2024-02-05 | 138.86 | 0.2987 | 0.4473 | no |
| SNA | 2024-02-05 | 269.22 | 0.2865 | 0.5122 | no |
| SWKS | 2024-02-05 | 92.88 | 0.2686 | 0.5459 | no |
| TDG | 2024-02-05 | 992.32 | 0.2681 | 0.5265 | no |
| TECH | 2024-02-05 | 64.98 | 0.4900 | 0.4677 | no |
| TXT | 2024-02-05 | 85.25 | 0.2699 | 0.5324 | no |
| USB | 2024-02-05 | 36.33 | 0.3158 | 0.4609 | no |
| VLTO | 2024-02-05 | 75.21 | 0.3111 | 0.5187 | no |