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 | 3.94% | 6.10% | 2024-03-28 | -5.51% |
| buy & hold | participation factor overlay | 6 months | complete | 2.19% | 8.43% | 2024-07-16 | -7.70% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.32% | 4.87% | 2024-03-28 | -6.21% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 0.86% | 8.26% | 2024-07-16 | -8.47% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.37% | 6.71% | 2024-03-28 | -6.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.37% | 6.71% | 2024-03-28 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 1.67% | 5.53% | 2024-03-28 | -5.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.28% | 5.53% | 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 |
|---|---|---|---|---|---|
| ALB | 2024-02-12 | 110.73 | 0.7094 | 0.4902 | no |
| ALLE | 2024-02-12 | 127.31 | 0.2792 | 0.4964 | no |
| AMD | 2024-02-12 | 172.68 | 0.7993 | 0.5473 | no |
| APA | 2024-02-12 | 27.16 | 0.2615 | 0.5638 | no |
| APH | 2024-02-12 | 25.81 | 0.3297 | 0.4840 | no |
| BA | 2024-02-12 | 208.70 | 0.3876 | 0.5046 | no |
| BEN | 2024-02-12 | 23.61 | 0.5646 | 0.4963 | no |
| BG | 2024-02-12 | 81.59 | 0.3704 | 0.4428 | no |
| BKNG | 2024-02-12 | 146.80 | 0.2696 | 0.4573 | no |
| CHRW | 2024-02-12 | 70.32 | 0.2561 | 0.5173 | no |
| CMS | 2024-02-12 | 52.01 | 0.2823 | 0.4562 | no |
| CPB | 2024-02-12 | 37.15 | 0.2314 | 0.4708 | no |
| CZR | 2024-02-12 | 44.37 | 0.3604 | 0.4641 | no |
| D | 2024-02-12 | 39.39 | 0.3426 | 0.4830 | no |
| DG | 2024-02-12 | 128.37 | 0.2568 | 0.5667 | no |
| DLTR | 2024-02-12 | 139.50 | 0.2947 | 0.5550 | no |
| DOW | 2024-02-12 | 46.05 | 0.2639 | 0.4874 | no |
| EOG | 2024-02-12 | 103.15 | 0.4370 | 0.5713 | no |
| ETSY | 2024-02-12 | 78.21 | 0.5209 | — | no |
| EXPD | 2024-02-12 | 123.60 | 0.3108 | — | no |
| FANG | 2024-02-12 | 146.45 | 0.3177 | 0.5313 | no |
| FCX | 2024-02-12 | 36.33 | 0.2724 | 0.5065 | no |
| FE | 2024-02-12 | 33.76 | 0.3062 | 0.4600 | no |
| GEHC | 2024-02-12 | 81.27 | 0.2542 | 0.4873 | no |
| GNRC | 2024-02-12 | 126.34 | 0.2994 | 0.4631 | no |
| IBM | 2024-02-12 | 172.97 | 0.2702 | 0.5074 | no |
| ICE | 2024-02-12 | 131.28 | 0.2596 | 0.4984 | no |
| INTC | 2024-02-12 | 42.94 | 0.3071 | 0.5553 | no |
| JNJ | 2024-02-12 | 144.94 | 0.3572 | 0.4947 | no |
| LRCX | 2024-02-12 | 88.66 | 0.4146 | 0.5639 | no |
| NCLH | 2024-02-12 | 16.37 | 0.8133 | 0.4505 | no |
| NEM | 2024-02-12 | 31.26 | 0.3319 | 0.4764 | no |
| NOW | 2024-02-12 | 162.82 | 0.2862 | 0.5256 | no |
| NVR | 2024-02-12 | 7449.69 | 0.2384 | — | no |
| OKE | 2024-02-12 | 61.22 | 0.3150 | 0.4410 | no |
| ON | 2024-02-12 | 81.00 | 0.4327 | 0.5434 | no |
| ORCL | 2024-02-12 | 113.07 | 0.3751 | 0.5622 | no |
| OTIS | 2024-02-12 | 86.47 | 0.3220 | 0.5300 | no |
| PHM | 2024-02-12 | 101.23 | 0.2510 | 0.5406 | no |
| PNR | 2024-02-12 | 72.36 | 0.3325 | 0.4938 | no |
| RSG | 2024-02-12 | 168.25 | 0.2359 | 0.5042 | no |
| SCHW | 2024-02-12 | 61.27 | 0.2594 | 0.4884 | no |
| SYY | 2024-02-12 | 74.37 | 0.3829 | 0.4854 | no |
| TECH | 2024-02-12 | 67.21 | 0.3562 | 0.4677 | no |
| TEL | 2024-02-12 | 138.30 | 0.2964 | — | no |
| TXT | 2024-02-12 | 86.85 | 0.2938 | 0.5289 | no |
| WDC | 2024-02-12 | 42.55 | 0.6816 | 0.5434 | no |
| WMT | 2024-02-12 | 54.86 | 0.3500 | 0.5813 | no |
| XEL | 2024-02-12 | 53.05 | 0.2685 | 0.4580 | no |
| ZTS | 2024-02-12 | 190.68 | 0.2996 | 0.4847 | no |