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 | 0.93% | 7.32% | 2024-03-28 | -7.07% |
| buy & hold | participation factor overlay | 6 months | complete | -4.69% | 7.32% | 2024-03-28 | -11.19% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.80% | 5.75% | 2024-03-28 | -7.45% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -4.75% | 5.75% | 2024-03-28 | -9.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.54% | 8.51% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.44% | 8.51% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.84% | 8.92% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.69% | 8.92% | 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 |
|---|---|---|---|---|---|
| AKAM | 2024-02-05 | 123.96 | 0.2408 | 0.5013 | no |
| ALB | 2024-02-05 | 106.93 | 0.6725 | 0.4905 | no |
| AMD | 2024-02-05 | 179.09 | 0.7320 | 0.5421 | no |
| APA | 2024-02-05 | 27.16 | 0.2363 | 0.5638 | no |
| AZO | 2024-02-05 | 2801.12 | 0.2906 | 0.5614 | no |
| BEN | 2024-02-05 | 23.14 | 0.2498 | 0.4963 | no |
| BF.B | 2024-02-05 | 52.54 | 0.3116 | — | no |
| BX | 2024-02-05 | 113.65 | 0.2338 | 0.4648 | no |
| CE | 2024-02-05 | 142.79 | 0.2428 | 0.4711 | no |
| CMS | 2024-02-05 | 52.33 | 0.3673 | 0.4562 | no |
| CPB | 2024-02-05 | 39.82 | 0.3181 | 0.4708 | no |
| CRL | 2024-02-05 | 216.77 | 0.2862 | 0.4687 | no |
| CTSH | 2024-02-05 | 73.50 | 0.2886 | 0.4619 | no |
| CZR | 2024-02-05 | 42.66 | 0.3489 | 0.4643 | no |
| DD | 2024-02-05 | 73.10 | 0.2731 | 0.4837 | no |
| DG | 2024-02-05 | 127.96 | 0.3217 | 0.5695 | no |
| DHR | 2024-02-05 | 241.27 | 0.3381 | 0.4455 | no |
| DLTR | 2024-02-05 | 137.80 | 0.3342 | 0.5573 | no |
| DOW | 2024-02-05 | 44.81 | 0.3228 | 0.4874 | no |
| DVN | 2024-02-05 | 37.88 | 0.4076 | 0.5467 | no |
| DXCM | 2024-02-05 | 120.71 | 0.2500 | 0.4630 | no |
| EL | 2024-02-05 | 151.71 | 0.3367 | 0.4449 | no |
| EOG | 2024-02-05 | 101.75 | 0.3592 | 0.5716 | no |
| ETSY | 2024-02-05 | 74.83 | 0.3727 | — | no |
| GM | 2024-02-05 | 37.49 | 0.2926 | 0.4862 | no |
| GNRC | 2024-02-05 | 114.17 | 0.4993 | 0.4633 | no |
| HAL | 2024-02-05 | 32.38 | 0.3209 | 0.4539 | no |
| INTC | 2024-02-05 | 42.06 | 0.3028 | 0.5523 | no |
| IVZ | 2024-02-05 | 13.91 | 0.2671 | 0.4790 | no |
| JBHT | 2024-02-05 | 201.26 | 0.5179 | 0.5006 | no |
| JBL | 2024-02-05 | 129.63 | 0.2368 | 0.4934 | no |
| KMX | 2024-02-05 | 71.32 | 0.2997 | 0.5062 | no |
| LRCX | 2024-02-05 | 82.12 | 0.4163 | 0.5613 | no |
| NEM | 2024-02-05 | 32.11 | 0.3083 | 0.4764 | no |
| NOW | 2024-02-05 | 156.40 | 0.2741 | 0.5217 | no |
| NUE | 2024-02-05 | 175.56 | 0.2852 | 0.5061 | no |
| NXPI | 2024-02-05 | 208.02 | 0.2345 | 0.5598 | no |
| ON | 2024-02-05 | 75.60 | 0.6477 | 0.5390 | no |
| PODD | 2024-02-05 | 191.82 | 0.3521 | 0.5310 | no |
| RJF | 2024-02-05 | 107.86 | 0.2891 | 0.4769 | no |
| ROST | 2024-02-05 | 138.86 | 0.3410 | 0.4473 | no |
| SCHW | 2024-02-05 | 60.25 | 0.2572 | 0.4884 | no |
| SNA | 2024-02-05 | 269.22 | 0.3381 | 0.5122 | no |
| SWKS | 2024-02-05 | 92.88 | 0.3621 | 0.5459 | no |
| T | 2024-02-05 | 15.66 | 0.4644 | 0.4414 | no |
| TDG | 2024-02-05 | 992.32 | 0.3865 | 0.5265 | no |
| TECH | 2024-02-05 | 64.98 | 0.5434 | 0.4677 | no |
| TXT | 2024-02-05 | 85.25 | 0.3626 | 0.5324 | no |
| USB | 2024-02-05 | 36.33 | 0.2703 | 0.4609 | no |
| WDC | 2024-02-05 | 43.68 | 0.3124 | 0.5428 | no |