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 | 0.95% | 5.47% | 2024-03-28 | -6.81% |
| buy & hold | participation factor overlay | 6 months | complete | 2.62% | 5.47% | 2024-03-28 | -9.23% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.52% | 5.43% | 2024-03-28 | -7.42% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.62% | 5.43% | 2024-03-28 | -8.74% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.05% | 6.23% | 2024-03-28 | -6.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.59% | 6.95% | 2024-08-23 | -7.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.41% | 7.04% | 2024-03-28 | -6.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.30% | 7.04% | 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 |
|---|---|---|---|---|---|
| AAL | 2024-02-26 | 15.13 | 0.4027 | 0.4456 | no |
| ABT | 2024-02-26 | 113.43 | 0.2614 | 0.4490 | no |
| ADI | 2024-02-26 | 183.40 | 0.4011 | 0.5664 | no |
| AES | 2024-02-26 | 14.01 | 0.2988 | — | no |
| AIG | 2024-02-26 | 67.09 | 0.3027 | 0.4665 | no |
| ALB | 2024-02-26 | 114.80 | 0.7330 | 0.4846 | no |
| AMD | 2024-02-26 | 178.78 | 0.6117 | 0.5466 | no |
| AVGO | 2024-02-26 | 127.63 | 0.3362 | 0.5524 | no |
| BAC | 2024-02-26 | 31.70 | 0.3228 | 0.4844 | no |
| BAX | 2024-02-26 | 40.46 | 0.2978 | 0.4816 | no |
| BBWI | 2024-02-26 | 43.54 | 0.3609 | 0.4457 | no |
| BEN | 2024-02-26 | 23.37 | 0.2525 | 0.4963 | no |
| BX | 2024-02-26 | 115.61 | 0.3239 | 0.4648 | no |
| CHRW | 2024-02-26 | 68.89 | 0.4686 | 0.5147 | no |
| CTVA | 2024-02-26 | 53.08 | 0.2910 | 0.4773 | no |
| D | 2024-02-26 | 41.80 | 0.2893 | 0.4647 | no |
| DG | 2024-02-26 | 132.57 | 0.3115 | 0.5670 | no |
| EOG | 2024-02-26 | 103.01 | 0.2127 | 0.5657 | no |
| EQT | 2024-02-26 | 36.18 | 0.5707 | 0.4404 | no |
| EXR | 2024-02-26 | 123.75 | 0.2746 | 0.4611 | no |
| FAST | 2024-02-26 | 34.20 | 0.2298 | 0.5108 | no |
| FE | 2024-02-26 | 33.64 | 0.3888 | 0.4600 | no |
| FITB | 2024-02-26 | 30.57 | 0.2356 | 0.4365 | no |
| GEHC | 2024-02-26 | 88.55 | 0.3381 | 0.4873 | no |
| GM | 2024-02-26 | 38.57 | 0.3636 | 0.4862 | no |
| GWW | 2024-02-26 | 942.82 | 0.2422 | 0.5194 | no |
| HAL | 2024-02-26 | 32.83 | 0.3448 | 0.4531 | no |
| HAS | 2024-02-26 | 45.17 | 0.2345 | 0.4673 | no |
| HD | 2024-02-26 | 348.15 | 0.2658 | 0.5644 | no |
| IBM | 2024-02-26 | 172.69 | 0.4269 | 0.5087 | no |
| IEX | 2024-02-26 | 228.35 | 0.2188 | 0.5093 | no |
| INTC | 2024-02-26 | 43.05 | 0.2562 | 0.5572 | no |
| IQV | 2024-02-26 | 247.59 | 0.3430 | 0.4934 | no |
| KO | 2024-02-26 | 56.62 | 0.2375 | 0.4435 | no |
| L | 2024-02-26 | 74.61 | 0.2803 | — | no |
| LVS | 2024-02-26 | 51.97 | 0.2953 | 0.4484 | no |
| NCLH | 2024-02-26 | 16.11 | 0.7502 | 0.4495 | no |
| NKE | 2024-02-26 | 98.55 | 0.4315 | 0.4453 | no |
| OXY | 2024-02-26 | 56.69 | 0.2561 | 0.5601 | no |
| PAYC | 2024-02-26 | 179.98 | 0.4127 | 0.4541 | no |
| PCAR | 2024-02-26 | 103.05 | 0.2608 | 0.5170 | no |
| PFG | 2024-02-26 | 72.34 | 0.3559 | 0.4526 | no |
| PKG | 2024-02-26 | 163.63 | 0.2531 | 0.4785 | no |
| PRU | 2024-02-26 | 95.54 | 0.3305 | 0.4626 | no |
| RVTY | 2024-02-26 | 103.21 | 0.2468 | 0.4363 | no |
| SYY | 2024-02-26 | 75.45 | 0.2362 | 0.4848 | no |
| TXT | 2024-02-26 | 85.78 | 0.3244 | 0.5291 | no |
| VICI | 2024-02-26 | 25.40 | 0.2999 | 0.4551 | no |
| VTRS | 2024-02-26 | 11.99 | 0.2313 | 0.4867 | no |
| ZION | 2024-02-26 | 35.63 | 0.2805 | 0.4389 | no |