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 | 2.96% | 7.84% | 2024-03-28 | -6.43% |
| buy & hold | participation factor overlay | 6 months | complete | -0.36% | 8.81% | 2024-07-16 | -8.43% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.84% | 7.49% | 2024-03-28 | -7.71% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.17% | 8.96% | 2024-07-16 | -8.38% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.11% | 9.31% | 2024-03-28 | -6.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.29% | 9.31% | 2024-03-28 | -7.33% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 5.48% | 11.63% | 2024-03-28 | -6.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.59% | 11.63% | 2024-03-28 | -8.10% |
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 | 0.2924 | — | no |
| AKAM | 2024-02-05 | 123.96 | 0.4559 | 0.5013 | no |
| ALB | 2024-02-05 | 106.93 | 0.6989 | 0.4905 | no |
| AMD | 2024-02-05 | 179.09 | 0.7666 | 0.5421 | no |
| APA | 2024-02-05 | 27.16 | 0.4159 | 0.5638 | no |
| APH | 2024-02-05 | 25.32 | 0.3439 | 0.4833 | no |
| AWK | 2024-02-05 | 114.01 | 0.2568 | 0.4571 | no |
| AZO | 2024-02-05 | 2801.12 | 0.3424 | 0.5614 | no |
| BEN | 2024-02-05 | 23.14 | 0.5201 | 0.4963 | no |
| CCI | 2024-02-05 | 92.16 | 0.4336 | 0.4656 | no |
| CHRW | 2024-02-05 | 69.12 | 0.3138 | 0.5173 | no |
| CMS | 2024-02-05 | 52.33 | 0.4675 | 0.4562 | no |
| CRL | 2024-02-05 | 216.77 | 0.4963 | 0.4687 | no |
| CTSH | 2024-02-05 | 73.50 | 0.4057 | 0.4619 | no |
| CVX | 2024-02-05 | 135.14 | 0.2895 | 0.5832 | no |
| CZR | 2024-02-05 | 42.66 | 0.4162 | 0.4643 | no |
| DD | 2024-02-05 | 73.10 | 0.3378 | 0.4837 | no |
| DG | 2024-02-05 | 127.96 | 0.2719 | 0.5695 | no |
| DHR | 2024-02-05 | 241.27 | 0.3601 | 0.4455 | no |
| DVN | 2024-02-05 | 37.88 | 0.3939 | 0.5467 | no |
| DXCM | 2024-02-05 | 120.71 | 0.2895 | 0.4630 | no |
| EL | 2024-02-05 | 151.71 | 0.3034 | 0.4449 | no |
| EOG | 2024-02-05 | 101.75 | 0.4125 | 0.5716 | no |
| ETSY | 2024-02-05 | 74.83 | 0.3582 | — | no |
| GM | 2024-02-05 | 37.49 | 0.3244 | 0.4862 | no |
| GNRC | 2024-02-05 | 114.17 | 0.4686 | 0.4633 | no |
| HAL | 2024-02-05 | 32.38 | 0.2497 | 0.4539 | no |
| HUBB | 2024-02-05 | 340.70 | 0.3849 | 0.5069 | no |
| INTC | 2024-02-05 | 42.06 | 0.3529 | 0.5523 | no |
| IVZ | 2024-02-05 | 13.91 | 0.4157 | 0.4790 | no |
| JBHT | 2024-02-05 | 201.26 | 0.3087 | 0.5006 | no |
| KLAC | 2024-02-05 | 59.47 | 0.3101 | 0.5774 | no |
| LRCX | 2024-02-05 | 82.12 | 0.2866 | 0.5613 | no |
| NOW | 2024-02-05 | 156.40 | 0.2688 | 0.5217 | no |
| NXPI | 2024-02-05 | 208.02 | 0.3261 | 0.5598 | no |
| ON | 2024-02-05 | 75.60 | 0.3926 | 0.5390 | no |
| ORCL | 2024-02-05 | 112.36 | 0.3257 | 0.5630 | no |
| PNR | 2024-02-05 | 71.23 | 0.2537 | 0.4938 | no |
| PODD | 2024-02-05 | 191.82 | 0.5310 | 0.5310 | no |
| PRU | 2024-02-05 | 89.28 | 0.2673 | 0.4750 | no |
| SCHW | 2024-02-05 | 60.25 | 0.2740 | 0.4884 | no |
| SNA | 2024-02-05 | 269.22 | 0.2928 | 0.5122 | no |
| SWKS | 2024-02-05 | 92.88 | 0.3015 | 0.5459 | no |
| T | 2024-02-05 | 15.66 | 0.2529 | 0.4414 | no |
| TDG | 2024-02-05 | 992.32 | 0.3143 | 0.5265 | no |
| TECH | 2024-02-05 | 64.98 | 0.6459 | 0.4677 | no |
| TXT | 2024-02-05 | 85.25 | 0.3301 | 0.5324 | no |
| USB | 2024-02-05 | 36.33 | 0.3484 | 0.4609 | no |
| VLTO | 2024-02-05 | 75.21 | 0.3324 | 0.5187 | no |
| WMT | 2024-02-05 | 55.12 | 0.3176 | 0.5843 | no |