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 | 4.84% | 5.94% | 2024-03-28 | -5.23% |
| buy & hold | participation factor overlay | 6 months | complete | 3.09% | 8.63% | 2024-07-16 | -7.13% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.34% | 5.36% | 2024-03-28 | -6.05% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.92% | 7.79% | 2024-07-16 | -6.84% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.05% | 7.73% | 2024-03-28 | -6.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 2.39% | 7.73% | 2024-03-28 | -7.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 4.69% | 9.27% | 2024-03-28 | -6.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.40% | 9.27% | 2024-03-28 | -8.69% |
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 |
|---|---|---|---|---|---|
| AAPL | 2024-02-12 | 186.39 | 0.2229 | 0.5165 | no |
| AEP | 2024-02-12 | 70.30 | 0.2760 | 0.4737 | no |
| ALB | 2024-02-12 | 110.73 | 0.7297 | 0.4902 | no |
| ALLE | 2024-02-12 | 127.31 | 0.2284 | 0.4964 | no |
| AMD | 2024-02-12 | 172.68 | 0.6412 | 0.5473 | no |
| AME | 2024-02-12 | 165.87 | 0.2807 | 0.5029 | no |
| BA | 2024-02-12 | 208.70 | 0.2204 | 0.5046 | no |
| BEN | 2024-02-12 | 23.61 | 0.4091 | 0.4963 | no |
| BG | 2024-02-12 | 81.59 | 0.2612 | 0.4428 | no |
| BKNG | 2024-02-12 | 146.80 | 0.2506 | 0.4573 | no |
| CHRW | 2024-02-12 | 70.32 | 0.2345 | 0.5173 | no |
| CMS | 2024-02-12 | 52.01 | 0.3273 | 0.4562 | no |
| CRM | 2024-02-12 | 285.37 | 0.2404 | 0.4940 | no |
| CTAS | 2024-02-12 | 150.62 | 0.2505 | 0.5064 | no |
| CZR | 2024-02-12 | 44.37 | 0.4102 | 0.4641 | no |
| D | 2024-02-12 | 39.39 | 0.4835 | 0.4830 | no |
| DD | 2024-02-12 | 80.62 | 0.2331 | 0.4802 | no |
| DG | 2024-02-12 | 128.37 | 0.2923 | 0.5667 | no |
| DLTR | 2024-02-12 | 139.50 | 0.2963 | 0.5550 | no |
| ECL | 2024-02-12 | 196.86 | 0.2575 | 0.4949 | no |
| ED | 2024-02-12 | 81.18 | 0.2529 | — | no |
| EOG | 2024-02-12 | 103.15 | 0.3052 | 0.5713 | no |
| EQIX | 2024-02-12 | 810.15 | 0.2747 | 0.4401 | no |
| EQT | 2024-02-12 | 33.35 | 0.2864 | 0.4887 | no |
| ES | 2024-02-12 | 48.94 | 0.2365 | 0.4508 | no |
| ETSY | 2024-02-12 | 78.21 | 0.5227 | — | no |
| FCX | 2024-02-12 | 36.33 | 0.2230 | 0.5065 | no |
| FE | 2024-02-12 | 33.76 | 0.2203 | 0.4600 | no |
| GEHC | 2024-02-12 | 81.27 | 0.2275 | 0.4873 | no |
| GNRC | 2024-02-12 | 126.34 | 0.3045 | 0.4631 | no |
| GRMN | 2024-02-12 | 117.79 | 0.2220 | 0.5017 | no |
| HD | 2024-02-12 | 339.49 | 0.2366 | 0.5080 | no |
| INTC | 2024-02-12 | 42.94 | 0.2138 | 0.5553 | no |
| LRCX | 2024-02-12 | 88.66 | 0.3417 | 0.5639 | no |
| NCLH | 2024-02-12 | 16.37 | 0.7810 | 0.4505 | no |
| NEM | 2024-02-12 | 31.26 | 0.2482 | 0.4764 | no |
| NFLX | 2024-02-12 | 56.04 | 0.2585 | — | no |
| NOW | 2024-02-12 | 162.82 | 0.4433 | 0.5256 | no |
| NVR | 2024-02-12 | 7449.69 | 0.2263 | — | no |
| OKE | 2024-02-12 | 61.22 | 0.3407 | 0.4410 | no |
| ON | 2024-02-12 | 81.00 | 0.5526 | 0.5434 | no |
| PFG | 2024-02-12 | 71.25 | 0.2800 | 0.4646 | no |
| PNR | 2024-02-12 | 72.36 | 0.2489 | 0.4938 | no |
| RMD | 2024-02-12 | 175.64 | 0.2134 | 0.4548 | no |
| SYY | 2024-02-12 | 74.37 | 0.2697 | 0.4854 | no |
| TECH | 2024-02-12 | 67.21 | 0.5243 | 0.4677 | no |
| WDC | 2024-02-12 | 42.55 | 0.4847 | 0.5434 | no |
| WMT | 2024-02-12 | 54.86 | 0.3743 | 0.5813 | no |
| XEL | 2024-02-12 | 53.05 | 0.3152 | 0.4580 | no |
| ZTS | 2024-02-12 | 190.68 | 0.2203 | 0.4847 | no |