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 | 1.06% | 4.61% | 2024-03-28 | -6.74% |
| buy & hold | participation factor overlay | 6 months | complete | 3.13% | 4.61% | 2024-03-28 | -7.97% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.61% | 5.15% | 2024-03-28 | -6.43% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.35% | 7.45% | 2024-08-23 | -6.43% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.54% | 5.64% | 2024-03-28 | -6.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.94% | 8.21% | 2024-08-23 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.69% | 4.71% | 2024-03-28 | -5.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.26% | 6.52% | 2024-08-23 | -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 |
|---|---|---|---|---|---|
| AAL | 2024-02-26 | 15.13 | 0.3496 | 0.4456 | no |
| AAPL | 2024-02-26 | 180.27 | 0.3508 | 0.5169 | no |
| ADI | 2024-02-26 | 183.40 | 0.3790 | 0.5664 | no |
| AES | 2024-02-26 | 14.01 | 0.2543 | — | no |
| ALB | 2024-02-26 | 114.80 | 0.7012 | 0.4846 | no |
| AMAT | 2024-02-26 | 195.92 | 0.2503 | 0.5807 | no |
| AMD | 2024-02-26 | 178.78 | 0.6883 | 0.5466 | no |
| AVGO | 2024-02-26 | 127.63 | 0.2791 | 0.5524 | no |
| AVY | 2024-02-26 | 203.22 | 0.2867 | 0.5088 | no |
| BAX | 2024-02-26 | 40.46 | 0.2929 | 0.4816 | no |
| BBWI | 2024-02-26 | 43.54 | 0.3764 | 0.4457 | no |
| BX | 2024-02-26 | 115.61 | 0.2464 | 0.4648 | no |
| CI | 2024-02-26 | 326.80 | 0.2892 | 0.4695 | no |
| CMS | 2024-02-26 | 53.18 | 0.3616 | 0.4562 | no |
| CRL | 2024-02-26 | 246.17 | 0.2408 | 0.4879 | no |
| CZR | 2024-02-26 | 41.38 | 0.2824 | 0.4538 | no |
| D | 2024-02-26 | 41.80 | 0.3744 | 0.4647 | no |
| DGX | 2024-02-26 | 120.05 | 0.2501 | 0.4585 | no |
| ECL | 2024-02-26 | 215.87 | 0.2799 | 0.4860 | no |
| EQT | 2024-02-26 | 36.18 | 0.4311 | 0.4404 | no |
| EXC | 2024-02-26 | 32.51 | 0.3733 | 0.4832 | no |
| FAST | 2024-02-26 | 34.20 | 0.3010 | 0.5108 | no |
| GLW | 2024-02-26 | 30.92 | 0.2660 | 0.4830 | no |
| HAL | 2024-02-26 | 32.83 | 0.3386 | 0.4531 | no |
| HD | 2024-02-26 | 348.15 | 0.3697 | 0.5644 | no |
| IBM | 2024-02-26 | 172.69 | 0.3488 | 0.5087 | no |
| IQV | 2024-02-26 | 247.59 | 0.4950 | 0.4934 | no |
| ITW | 2024-02-26 | 244.15 | 0.3624 | 0.5244 | no |
| LIN | 2024-02-26 | 432.04 | 0.2960 | 0.4821 | no |
| LVS | 2024-02-26 | 51.97 | 0.3656 | 0.4484 | no |
| MGM | 2024-02-26 | 42.49 | 0.2458 | 0.4488 | no |
| NCLH | 2024-02-26 | 16.11 | 0.5965 | 0.4495 | no |
| NKE | 2024-02-26 | 98.55 | 0.3342 | 0.4453 | no |
| NOW | 2024-02-26 | 154.94 | 0.2405 | 0.5254 | no |
| ON | 2024-02-26 | 76.87 | 0.3297 | 0.5432 | no |
| PAYC | 2024-02-26 | 179.98 | 0.3896 | 0.4541 | no |
| PCAR | 2024-02-26 | 103.05 | 0.2612 | 0.5170 | no |
| PFG | 2024-02-26 | 72.34 | 0.4188 | 0.4526 | no |
| PG | 2024-02-26 | 150.69 | 0.3207 | 0.4374 | no |
| PNC | 2024-02-26 | 133.21 | 0.3906 | 0.4477 | no |
| RMD | 2024-02-26 | 179.71 | 0.3632 | 0.4548 | no |
| RVTY | 2024-02-26 | 103.21 | 0.3163 | 0.4363 | no |
| SYY | 2024-02-26 | 75.45 | 0.2628 | 0.4848 | no |
| T | 2024-02-26 | 14.85 | 0.2933 | 0.4411 | no |
| TFC | 2024-02-26 | 31.25 | 0.2855 | 0.4422 | no |
| TSN | 2024-02-26 | 49.16 | 0.2550 | 0.4584 | no |
| TXT | 2024-02-26 | 85.78 | 0.3038 | 0.5291 | no |
| VICI | 2024-02-26 | 25.40 | 0.3617 | 0.4551 | no |
| VTRS | 2024-02-26 | 11.99 | 0.2412 | 0.4867 | no |
| WDC | 2024-02-26 | 42.68 | 0.2499 | 0.5429 | no |