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 | 2.95% | 6.15% | 2024-03-28 | -5.87% |
| buy & hold | participation factor overlay | 6 months | complete | 3.39% | 6.15% | 2024-03-28 | -8.58% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.64% | 5.67% | 2024-03-28 | -6.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.97% | 7.24% | 2024-08-23 | -6.71% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.78% | 6.77% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.02% | 10.16% | 2024-08-23 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.10% | 7.20% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.57% | 7.72% | 2024-08-23 | -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 | 2024-02-26 | 15.13 | 0.6371 | 0.4456 | no |
| ABBV | 2024-02-26 | 164.41 | 0.2887 | 0.5259 | no |
| ADI | 2024-02-26 | 183.40 | 0.3256 | 0.5664 | no |
| AIG | 2024-02-26 | 67.09 | 0.2603 | 0.4665 | no |
| ALB | 2024-02-26 | 114.80 | 0.4425 | 0.4846 | no |
| AMD | 2024-02-26 | 178.78 | 0.5555 | 0.5466 | no |
| AVGO | 2024-02-26 | 127.63 | 0.4195 | 0.5524 | no |
| AVY | 2024-02-26 | 203.22 | 0.2536 | 0.5088 | no |
| BAX | 2024-02-26 | 40.46 | 0.3607 | 0.4816 | no |
| BBWI | 2024-02-26 | 43.54 | 0.3142 | 0.4457 | no |
| CE | 2024-02-26 | 148.52 | 0.2388 | 0.4651 | no |
| CFG | 2024-02-26 | 28.26 | 0.3371 | 0.4357 | no |
| CMI | 2024-02-26 | 251.93 | 0.2537 | 0.5234 | no |
| COP | 2024-02-26 | 103.03 | 0.2399 | 0.5319 | no |
| CTVA | 2024-02-26 | 53.08 | 0.3512 | 0.4773 | no |
| D | 2024-02-26 | 41.80 | 0.3457 | 0.4647 | no |
| DGX | 2024-02-26 | 120.05 | 0.2678 | 0.4585 | no |
| DTE | 2024-02-26 | 99.07 | 0.2393 | 0.4615 | no |
| EOG | 2024-02-26 | 103.01 | 0.3461 | 0.5657 | no |
| EQT | 2024-02-26 | 36.18 | 0.4045 | 0.4404 | no |
| EXC | 2024-02-26 | 32.51 | 0.3714 | 0.4832 | no |
| GEHC | 2024-02-26 | 88.55 | 0.2793 | 0.4873 | no |
| GWW | 2024-02-26 | 942.82 | 0.3543 | 0.5194 | no |
| HAL | 2024-02-26 | 32.83 | 0.3018 | 0.4531 | no |
| HD | 2024-02-26 | 348.15 | 0.3274 | 0.5644 | no |
| HSY | 2024-02-26 | 179.75 | 0.2446 | 0.4519 | no |
| IBM | 2024-02-26 | 172.69 | 0.3109 | 0.5087 | no |
| IQV | 2024-02-26 | 247.59 | 0.3381 | 0.4934 | no |
| ITW | 2024-02-26 | 244.15 | 0.3150 | 0.5244 | no |
| L | 2024-02-26 | 74.61 | 0.2874 | — | no |
| LVS | 2024-02-26 | 51.97 | 0.2458 | 0.4484 | no |
| MGM | 2024-02-26 | 42.49 | 0.2508 | 0.4488 | no |
| NCLH | 2024-02-26 | 16.11 | 0.8050 | 0.4495 | no |
| NEE | 2024-02-26 | 52.02 | 0.2472 | 0.4437 | no |
| NKE | 2024-02-26 | 98.55 | 0.5613 | 0.4453 | no |
| NUE | 2024-02-26 | 182.63 | 0.2472 | 0.5048 | no |
| ON | 2024-02-26 | 76.87 | 0.3527 | 0.5432 | no |
| OXY | 2024-02-26 | 56.69 | 0.3626 | 0.5601 | no |
| PAYC | 2024-02-26 | 179.98 | 0.3296 | 0.4541 | no |
| PCAR | 2024-02-26 | 103.05 | 0.2480 | 0.5170 | no |
| PFG | 2024-02-26 | 72.34 | 0.3967 | 0.4526 | no |
| PNC | 2024-02-26 | 133.21 | 0.2424 | 0.4477 | no |
| QCOM | 2024-02-26 | 147.33 | 0.2971 | 0.5476 | no |
| RMD | 2024-02-26 | 179.71 | 0.5100 | 0.4548 | no |
| RVTY | 2024-02-26 | 103.21 | 0.3405 | 0.4363 | no |
| SO | 2024-02-26 | 62.05 | 0.2512 | 0.4474 | no |
| SYY | 2024-02-26 | 75.45 | 0.2714 | 0.4848 | no |
| T | 2024-02-26 | 14.85 | 0.2966 | 0.4411 | no |
| TXT | 2024-02-26 | 85.78 | 0.4407 | 0.5291 | no |
| WDC | 2024-02-26 | 42.68 | 0.2434 | 0.5429 | no |