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 | 3.09% | 8.19% | 2024-03-28 | -6.46% |
| buy & hold | participation factor overlay | 6 months | complete | -0.05% | 8.19% | 2024-03-28 | -7.62% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.54% | 6.64% | 2024-03-28 | -7.27% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -1.36% | 6.64% | 2024-07-16 | -7.51% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.21% | 8.50% | 2024-03-28 | -6.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.67% | 8.50% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.64% | 6.93% | 2024-03-28 | -5.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.73% | 6.93% | 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 |
|---|---|---|---|---|---|
| ABNB | 2024-02-05 | 146.09 | 0.3403 | 0.4963 | no |
| ALB | 2024-02-05 | 106.93 | 0.4265 | 0.4905 | no |
| AMD | 2024-02-05 | 179.09 | 0.7247 | 0.5421 | no |
| APH | 2024-02-05 | 25.32 | 0.2622 | 0.4833 | no |
| BALL | 2024-02-05 | 56.15 | 0.2691 | 0.4479 | no |
| BEN | 2024-02-05 | 23.14 | 0.4263 | 0.4963 | no |
| CCI | 2024-02-05 | 92.16 | 0.3726 | 0.4656 | no |
| CHRW | 2024-02-05 | 69.12 | 0.2710 | 0.5173 | no |
| CMS | 2024-02-05 | 52.33 | 0.4367 | 0.4562 | no |
| CRL | 2024-02-05 | 216.77 | 0.3672 | 0.4687 | no |
| CTSH | 2024-02-05 | 73.50 | 0.2959 | 0.4619 | no |
| CVS | 2024-02-05 | 66.34 | 0.2588 | 0.4838 | no |
| DG | 2024-02-05 | 127.96 | 0.2834 | 0.5695 | no |
| DHR | 2024-02-05 | 241.27 | 0.3208 | 0.4455 | no |
| DLTR | 2024-02-05 | 137.80 | 0.2938 | 0.5573 | no |
| DOW | 2024-02-05 | 44.81 | 0.3010 | 0.4874 | no |
| DTE | 2024-02-05 | 95.62 | 0.3472 | 0.4459 | no |
| DVN | 2024-02-05 | 37.88 | 0.4013 | 0.5467 | no |
| EBAY | 2024-02-05 | 39.80 | 0.2745 | 0.5201 | no |
| EL | 2024-02-05 | 151.71 | 0.4057 | 0.4449 | no |
| EOG | 2024-02-05 | 101.75 | 0.4598 | 0.5716 | no |
| ETSY | 2024-02-05 | 74.83 | 0.3411 | — | no |
| GNRC | 2024-02-05 | 114.17 | 0.3376 | 0.4633 | no |
| HAL | 2024-02-05 | 32.38 | 0.2782 | 0.4539 | no |
| INTC | 2024-02-05 | 42.06 | 0.4585 | 0.5523 | no |
| JBHT | 2024-02-05 | 201.26 | 0.4469 | 0.5006 | no |
| JNJ | 2024-02-05 | 144.96 | 0.3294 | 0.4946 | no |
| LRCX | 2024-02-05 | 82.12 | 0.3186 | 0.5613 | no |
| MCD | 2024-02-05 | 268.57 | 0.2593 | 0.4414 | no |
| MGM | 2024-02-05 | 44.47 | 0.3228 | 0.4392 | no |
| MTB | 2024-02-05 | 121.72 | 0.2513 | 0.4635 | no |
| NEM | 2024-02-05 | 32.11 | 0.3989 | 0.4764 | no |
| NUE | 2024-02-05 | 175.56 | 0.2803 | 0.5061 | no |
| NWS | 2024-02-05 | 24.94 | 0.2503 | — | no |
| NXPI | 2024-02-05 | 208.02 | 0.3167 | 0.5598 | no |
| ON | 2024-02-05 | 75.60 | 0.7155 | 0.5390 | no |
| PNR | 2024-02-05 | 71.23 | 0.2550 | 0.4938 | no |
| PODD | 2024-02-05 | 191.82 | 0.3589 | 0.5310 | no |
| PWR | 2024-02-05 | 201.82 | 0.2567 | 0.5122 | no |
| RJF | 2024-02-05 | 107.86 | 0.2798 | 0.4769 | no |
| SNA | 2024-02-05 | 269.22 | 0.3220 | 0.5122 | no |
| SWKS | 2024-02-05 | 92.88 | 0.2743 | 0.5459 | no |
| TDG | 2024-02-05 | 992.32 | 0.2553 | 0.5265 | no |
| TECH | 2024-02-05 | 64.98 | 0.6992 | 0.4677 | no |
| TFC | 2024-02-05 | 32.03 | 0.2510 | 0.4422 | no |
| TXT | 2024-02-05 | 85.25 | 0.4045 | 0.5324 | no |
| UPS | 2024-02-05 | 120.38 | 0.2529 | 0.4938 | no |
| URI | 2024-02-05 | 633.83 | 0.2581 | 0.5174 | no |
| USB | 2024-02-05 | 36.33 | 0.2593 | 0.4609 | no |
| VLTO | 2024-02-05 | 75.21 | 0.3484 | 0.5187 | no |