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 | 2.76% | 4.98% | 2024-03-28 | -5.27% |
| buy & hold | participation factor overlay | 6 months | complete | 0.68% | 6.37% | 2024-07-16 | -7.45% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.83% | 4.29% | 2024-03-28 | -6.45% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.87% | 6.37% | 2024-07-16 | -6.77% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.95% | 6.59% | 2024-03-28 | -6.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 0.89% | 6.59% | 2024-03-28 | -7.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.11% | 7.00% | 2024-03-28 | -6.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | -1.18% | 7.00% | 2024-03-28 | -9.12% |
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 |
|---|---|---|---|---|---|
| ALB | 2024-02-12 | 110.73 | 0.7173 | 0.4902 | no |
| ALLE | 2024-02-12 | 127.31 | 0.2671 | 0.4964 | no |
| AMD | 2024-02-12 | 172.68 | 0.6353 | 0.5473 | no |
| APA | 2024-02-12 | 27.16 | 0.3229 | 0.5638 | no |
| BA | 2024-02-12 | 208.70 | 0.2619 | 0.5046 | no |
| BEN | 2024-02-12 | 23.61 | 0.4143 | 0.4963 | no |
| BF.B | 2024-02-12 | 52.56 | 0.2801 | — | no |
| BIO | 2024-02-12 | 325.92 | 0.2461 | 0.5291 | no |
| BKNG | 2024-02-12 | 146.80 | 0.2498 | 0.4573 | no |
| CHRW | 2024-02-12 | 70.32 | 0.4080 | 0.5173 | no |
| CMS | 2024-02-12 | 52.01 | 0.4265 | 0.4562 | no |
| CPB | 2024-02-12 | 37.15 | 0.2768 | 0.4708 | no |
| CZR | 2024-02-12 | 44.37 | 0.6143 | 0.4641 | no |
| D | 2024-02-12 | 39.39 | 0.2870 | 0.4830 | no |
| DG | 2024-02-12 | 128.37 | 0.2794 | 0.5667 | no |
| DGX | 2024-02-12 | 120.59 | 0.3344 | 0.4585 | no |
| DLTR | 2024-02-12 | 139.50 | 0.5732 | 0.5550 | no |
| DOW | 2024-02-12 | 46.05 | 0.3803 | 0.4874 | no |
| ED | 2024-02-12 | 81.18 | 0.2725 | — | no |
| EOG | 2024-02-12 | 103.15 | 0.2857 | 0.5713 | no |
| EQT | 2024-02-12 | 33.35 | 0.2629 | 0.4887 | no |
| ETSY | 2024-02-12 | 78.21 | 0.3294 | — | no |
| FAST | 2024-02-12 | 33.11 | 0.2255 | 0.5108 | no |
| FCX | 2024-02-12 | 36.33 | 0.2563 | 0.5065 | no |
| FE | 2024-02-12 | 33.76 | 0.3089 | 0.4600 | no |
| FRT | 2024-02-12 | 91.23 | 0.3022 | 0.4475 | no |
| GEHC | 2024-02-12 | 81.27 | 0.3018 | 0.4873 | no |
| GNRC | 2024-02-12 | 126.34 | 0.3214 | 0.4631 | no |
| HAL | 2024-02-12 | 32.63 | 0.2992 | 0.4531 | no |
| LRCX | 2024-02-12 | 88.66 | 0.4197 | 0.5639 | no |
| LUV | 2024-02-12 | 30.55 | 0.2914 | 0.4579 | no |
| MCHP | 2024-02-12 | 79.69 | 0.2690 | 0.5739 | no |
| MMM | 2024-02-12 | 72.83 | 0.2244 | 0.5190 | no |
| NCLH | 2024-02-12 | 16.37 | 1.0397 | 0.4505 | no |
| NOW | 2024-02-12 | 162.82 | 0.4174 | 0.5256 | no |
| NVR | 2024-02-12 | 7449.69 | 0.2372 | — | no |
| NXPI | 2024-02-12 | 222.92 | 0.2980 | 0.5467 | no |
| OKE | 2024-02-12 | 61.22 | 0.2708 | 0.4410 | no |
| ON | 2024-02-12 | 81.00 | 0.7113 | 0.5434 | no |
| ORCL | 2024-02-12 | 113.07 | 0.3352 | 0.5622 | no |
| PANW | 2024-02-12 | 187.73 | 0.2247 | 0.5813 | no |
| PFG | 2024-02-12 | 71.25 | 0.2518 | 0.4646 | no |
| PNR | 2024-02-12 | 72.36 | 0.2282 | 0.4938 | no |
| ROST | 2024-02-12 | 141.82 | 0.2734 | 0.4424 | no |
| SYY | 2024-02-12 | 74.37 | 0.3161 | 0.4854 | no |
| TECH | 2024-02-12 | 67.21 | 0.3527 | 0.4677 | no |
| TXT | 2024-02-12 | 86.85 | 0.2506 | 0.5289 | no |
| WDC | 2024-02-12 | 42.55 | 0.4704 | 0.5434 | no |
| WMT | 2024-02-12 | 54.86 | 0.3029 | 0.5813 | no |
| XEL | 2024-02-12 | 53.05 | 0.2829 | 0.4580 | no |