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 | 1.90% | 5.40% | 2024-03-28 | -6.68% |
| buy & hold | participation factor overlay | 6 months | complete | 0.94% | 7.75% | 2024-07-16 | -8.54% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.09% | 4.75% | 2024-03-28 | -7.19% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -0.25% | 6.67% | 2024-07-16 | -8.10% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.03% | 7.12% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.40% | 7.12% | 2024-03-28 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.41% | 7.85% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.78% | 7.85% | 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 |
|---|---|---|---|---|---|
| AAL | 2024-02-12 | 14.80 | 0.3281 | 0.4467 | no |
| AAPL | 2024-02-12 | 186.39 | 0.2669 | 0.5165 | no |
| ALB | 2024-02-12 | 110.73 | 0.7492 | 0.4902 | no |
| ALLE | 2024-02-12 | 127.31 | 0.2526 | 0.4964 | no |
| AMD | 2024-02-12 | 172.68 | 0.7185 | 0.5473 | no |
| AMT | 2024-02-12 | 178.70 | 0.2255 | 0.4598 | no |
| BEN | 2024-02-12 | 23.61 | 0.2914 | 0.4963 | no |
| BKNG | 2024-02-12 | 146.80 | 0.2380 | 0.4573 | no |
| CMS | 2024-02-12 | 52.01 | 0.3994 | 0.4562 | no |
| COP | 2024-02-12 | 102.36 | 0.2557 | 0.5320 | no |
| CTAS | 2024-02-12 | 150.62 | 0.2605 | 0.5064 | no |
| CZR | 2024-02-12 | 44.37 | 0.4861 | 0.4641 | no |
| D | 2024-02-12 | 39.39 | 0.4025 | 0.4830 | no |
| DG | 2024-02-12 | 128.37 | 0.2339 | 0.5667 | no |
| DGX | 2024-02-12 | 120.59 | 0.2450 | 0.4585 | no |
| DLTR | 2024-02-12 | 139.50 | 0.4719 | 0.5550 | no |
| ED | 2024-02-12 | 81.18 | 0.3395 | — | no |
| EMR | 2024-02-12 | 98.46 | 0.2601 | 0.5044 | no |
| EOG | 2024-02-12 | 103.15 | 0.2092 | 0.5713 | no |
| ETSY | 2024-02-12 | 78.21 | 0.8455 | — | no |
| EXPD | 2024-02-12 | 123.60 | 0.2215 | — | no |
| GEHC | 2024-02-12 | 81.27 | 0.2154 | 0.4873 | no |
| GM | 2024-02-12 | 37.50 | 0.2223 | 0.4862 | no |
| GNRC | 2024-02-12 | 126.34 | 0.2131 | 0.4631 | no |
| IBM | 2024-02-12 | 172.97 | 0.2375 | 0.5074 | no |
| ICE | 2024-02-12 | 131.28 | 0.2120 | 0.4984 | no |
| INTC | 2024-02-12 | 42.94 | 0.2612 | 0.5553 | no |
| ISRG | 2024-02-12 | 386.09 | 0.2165 | 0.4818 | no |
| KMX | 2024-02-12 | 75.14 | 0.3664 | 0.5058 | no |
| LH | 2024-02-12 | 215.37 | 0.2125 | 0.4933 | no |
| LRCX | 2024-02-12 | 88.66 | 0.3677 | 0.5639 | no |
| LUV | 2024-02-12 | 30.55 | 0.3865 | 0.4579 | no |
| MOS | 2024-02-12 | 27.54 | 0.2347 | 0.4475 | no |
| NCLH | 2024-02-12 | 16.37 | 0.7328 | 0.4505 | no |
| NEM | 2024-02-12 | 31.26 | 0.3753 | 0.4764 | no |
| NFLX | 2024-02-12 | 56.04 | 0.3175 | — | no |
| NOW | 2024-02-12 | 162.82 | 0.3482 | 0.5256 | no |
| NTRS | 2024-02-12 | 73.59 | 0.2156 | 0.5112 | no |
| NVR | 2024-02-12 | 7449.69 | 0.2810 | — | no |
| NXPI | 2024-02-12 | 222.92 | 0.2700 | 0.5467 | no |
| OKE | 2024-02-12 | 61.22 | 0.2146 | 0.4410 | no |
| ON | 2024-02-12 | 81.00 | 0.6514 | 0.5434 | no |
| ORCL | 2024-02-12 | 113.07 | 0.2288 | 0.5622 | no |
| ROP | 2024-02-12 | 539.41 | 0.2187 | 0.4768 | no |
| RSG | 2024-02-12 | 168.25 | 0.2417 | 0.5042 | no |
| SYY | 2024-02-12 | 74.37 | 0.2717 | 0.4854 | no |
| TECH | 2024-02-12 | 67.21 | 0.5667 | 0.4677 | no |
| TXT | 2024-02-12 | 86.85 | 0.3232 | 0.5289 | no |
| WDC | 2024-02-12 | 42.55 | 0.4412 | 0.5434 | no |
| WMT | 2024-02-12 | 54.86 | 0.3368 | 0.5813 | no |