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 | 2.58% | 5.21% | 2024-03-28 | -5.78% |
| buy & hold | participation factor overlay | 6 months | complete | 4.28% | 5.21% | 2024-03-28 | -7.33% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.69% | 6.06% | 2024-03-28 | -6.23% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.59% | 6.06% | 2024-03-28 | -7.99% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.00% | 5.70% | 2024-03-28 | -6.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.53% | 5.70% | 2024-03-28 | -7.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.64% | 5.92% | 2024-03-28 | -6.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.26% | 5.92% | 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 |
|---|---|---|---|---|---|
| AAL | 2024-02-26 | 15.13 | 0.3693 | 0.4456 | no |
| AAPL | 2024-02-26 | 180.27 | 0.2462 | 0.5169 | no |
| ABNB | 2024-02-26 | 149.96 | 0.2721 | 0.4489 | no |
| ADBE | 2024-02-26 | 556.56 | 0.2471 | 0.5547 | no |
| ADI | 2024-02-26 | 183.40 | 0.3695 | 0.5664 | no |
| AES | 2024-02-26 | 14.01 | 0.3953 | — | no |
| AIG | 2024-02-26 | 67.09 | 0.2968 | 0.4665 | no |
| ALB | 2024-02-26 | 114.80 | 0.6637 | 0.4846 | no |
| ALLE | 2024-02-26 | 124.50 | 0.2889 | 0.5109 | no |
| AMD | 2024-02-26 | 178.78 | 0.6043 | 0.5466 | no |
| AXP | 2024-02-26 | 207.63 | 0.2727 | 0.4574 | no |
| BAX | 2024-02-26 | 40.46 | 0.4638 | 0.4816 | no |
| BBWI | 2024-02-26 | 43.54 | 0.4441 | 0.4457 | no |
| BEN | 2024-02-26 | 23.37 | 0.2880 | 0.4963 | no |
| CHRW | 2024-02-26 | 68.89 | 0.2682 | 0.5147 | no |
| CI | 2024-02-26 | 326.80 | 0.2710 | 0.4695 | no |
| CMS | 2024-02-26 | 53.18 | 0.2493 | 0.4562 | no |
| CTVA | 2024-02-26 | 53.08 | 0.2976 | 0.4773 | no |
| CZR | 2024-02-26 | 41.38 | 0.3866 | 0.4538 | no |
| D | 2024-02-26 | 41.80 | 0.3510 | 0.4647 | no |
| EOG | 2024-02-26 | 103.01 | 0.2541 | 0.5657 | no |
| EQT | 2024-02-26 | 36.18 | 0.3464 | 0.4404 | no |
| EXR | 2024-02-26 | 123.75 | 0.2789 | 0.4611 | no |
| FE | 2024-02-26 | 33.64 | 0.2855 | 0.4600 | no |
| GEHC | 2024-02-26 | 88.55 | 0.2478 | 0.4873 | no |
| GRMN | 2024-02-26 | 128.95 | 0.2538 | 0.4898 | no |
| HAL | 2024-02-26 | 32.83 | 0.3519 | 0.4531 | no |
| IEX | 2024-02-26 | 228.35 | 0.2900 | 0.5093 | no |
| IQV | 2024-02-26 | 247.59 | 0.2800 | 0.4934 | no |
| KO | 2024-02-26 | 56.62 | 0.2457 | 0.4435 | no |
| L | 2024-02-26 | 74.61 | 0.2955 | — | no |
| LVS | 2024-02-26 | 51.97 | 0.3118 | 0.4484 | no |
| MMM | 2024-02-26 | 73.29 | 0.2405 | 0.5191 | no |
| NCLH | 2024-02-26 | 16.11 | 0.8377 | 0.4495 | no |
| NKE | 2024-02-26 | 98.55 | 0.4955 | 0.4453 | no |
| NOC | 2024-02-26 | 443.29 | 0.3154 | 0.5204 | no |
| NTRS | 2024-02-26 | 75.18 | 0.3343 | 0.5112 | no |
| ON | 2024-02-26 | 76.87 | 0.4028 | 0.5432 | no |
| OXY | 2024-02-26 | 56.69 | 0.3201 | 0.5601 | no |
| PAYC | 2024-02-26 | 179.98 | 0.2987 | 0.4541 | no |
| PCAR | 2024-02-26 | 103.05 | 0.3138 | 0.5170 | no |
| PFG | 2024-02-26 | 72.34 | 0.2842 | 0.4526 | no |
| PNC | 2024-02-26 | 133.21 | 0.2483 | 0.4477 | no |
| QCOM | 2024-02-26 | 147.33 | 0.3742 | 0.5476 | no |
| SYY | 2024-02-26 | 75.45 | 0.2737 | 0.4848 | no |
| T | 2024-02-26 | 14.85 | 0.2504 | 0.4411 | no |
| TXT | 2024-02-26 | 85.78 | 0.2703 | 0.5291 | no |
| VLTO | 2024-02-26 | 85.80 | 0.2538 | 0.4928 | no |
| VTRS | 2024-02-26 | 11.99 | 0.2456 | 0.4867 | no |
| WDC | 2024-02-26 | 42.68 | 0.2519 | 0.5429 | no |