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 | 4.15% | 7.30% | 2024-05-20 | -4.84% |
| buy & hold | participation factor overlay | 6 months | complete | 3.96% | 8.60% | 2024-07-16 | -9.02% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.82% | 6.23% | 2024-05-15 | -5.35% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.34% | 7.34% | 2024-07-16 | -8.22% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.83% | 3.98% | 2024-03-28 | -6.24% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.97% | 5.37% | 2024-08-30 | -7.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.26% | 3.72% | 2024-03-28 | -6.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.95% | 3.72% | 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 |
|---|---|---|---|---|---|
| ADI | 2024-03-04 | 188.64 | 0.2249 | 0.5664 | no |
| AEP | 2024-03-04 | 77.69 | 0.4283 | 0.4604 | no |
| AES | 2024-03-04 | 13.65 | 0.3233 | — | no |
| AIG | 2024-03-04 | 67.98 | 0.2337 | 0.4665 | no |
| ALGN | 2024-03-04 | 301.53 | 0.1944 | 0.5127 | no |
| AMCR | 2024-03-04 | 40.06 | 0.2246 | 0.4665 | no |
| AMD | 2024-03-04 | 205.16 | 0.4756 | 0.5466 | no |
| ANET | 2024-03-04 | 72.00 | 0.2713 | 0.5272 | no |
| AOS | 2024-03-04 | 79.97 | 0.2432 | 0.4801 | no |
| APA | 2024-03-04 | 27.74 | 0.2019 | 0.5516 | no |
| APH | 2024-03-04 | 27.21 | 0.2159 | 0.4852 | no |
| AXP | 2024-03-04 | 213.13 | 0.2187 | 0.4574 | no |
| BEN | 2024-03-04 | 23.96 | 0.2695 | 0.4963 | no |
| BMY | 2024-03-04 | 45.50 | 0.2138 | 0.5467 | no |
| CAT | 2024-03-04 | 324.91 | 0.2203 | 0.4961 | no |
| CINF | 2024-03-04 | 106.69 | 0.2152 | 0.5109 | no |
| CMI | 2024-03-04 | 258.49 | 0.2616 | 0.5234 | no |
| CTVA | 2024-03-04 | 52.02 | 0.2642 | 0.4773 | no |
| D | 2024-03-04 | 39.83 | 0.2134 | 0.4647 | no |
| EMN | 2024-03-04 | 77.45 | 0.2449 | 0.4693 | no |
| EQT | 2024-03-04 | 36.59 | 0.4540 | 0.4404 | no |
| FCX | 2024-03-04 | 36.83 | 0.3407 | 0.5065 | no |
| FE | 2024-03-04 | 32.74 | 0.3987 | 0.4600 | no |
| GOOG | 2024-03-04 | 135.26 | 0.2241 | — | no |
| GOOGL | 2024-03-04 | 134.38 | 0.2797 | 0.4685 | no |
| GRMN | 2024-03-04 | 130.97 | 0.2852 | 0.4898 | no |
| HSIC | 2024-03-04 | 76.50 | 0.2265 | 0.4855 | no |
| IEX | 2024-03-04 | 230.68 | 0.2544 | 0.5093 | no |
| IQV | 2024-03-04 | 251.05 | 0.2632 | 0.4933 | no |
| LOW | 2024-03-04 | 232.52 | 0.1953 | 0.5114 | no |
| MGM | 2024-03-04 | 42.67 | 0.2393 | 0.4457 | no |
| MLM | 2024-03-04 | 594.66 | 0.2367 | 0.5168 | no |
| MRNA | 2024-03-04 | 94.65 | 0.2858 | 0.5273 | no |
| MU | 2024-03-04 | 96.15 | 0.2823 | 0.6006 | no |
| NFLX | 2024-03-04 | 62.16 | 0.1887 | — | no |
| NKE | 2024-03-04 | 95.47 | 0.2276 | 0.4453 | no |
| PFG | 2024-03-04 | 72.28 | 0.2837 | 0.4526 | no |
| PH | 2024-03-04 | 525.04 | 0.2325 | 0.5063 | no |
| QCOM | 2024-03-04 | 156.74 | 0.2497 | 0.5476 | no |
| QRVO | 2024-03-04 | 121.00 | 0.2661 | — | no |
| REGN | 2024-03-04 | 973.63 | 0.1972 | 0.5752 | no |
| SYY | 2024-03-04 | 74.23 | 0.4367 | 0.4848 | no |
| TSCO | 2024-03-04 | 47.61 | 0.3465 | 0.5429 | no |
| TSN | 2024-03-04 | 48.08 | 0.2602 | 0.4578 | no |
| TT | 2024-03-04 | 279.95 | 0.2055 | 0.5031 | no |
| TXT | 2024-03-04 | 88.45 | 0.3372 | 0.5291 | no |
| UBER | 2024-03-04 | 81.94 | 0.3555 | 0.5137 | no |
| VICI | 2024-03-04 | 24.97 | 0.2320 | 0.4551 | no |
| XYL | 2024-03-04 | 123.71 | 0.2233 | 0.4930 | no |
| ZION | 2024-03-04 | 36.11 | 0.7129 | 0.4389 | no |