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 | 4.02% | 6.53% | 2024-05-21 | -5.11% |
| buy & hold | participation factor overlay | 6 months | complete | 7.86% | 10.12% | 2024-08-30 | -7.26% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.39% | 7.12% | 2024-05-21 | -5.52% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.85% | 12.18% | 2024-08-30 | -6.32% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.01% | 4.90% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.27% | 9.75% | 2024-08-30 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.06% | 4.87% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.90% | 6.18% | 2024-08-30 | -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 |
|---|---|---|---|---|---|
| AAPL | 2024-03-04 | 174.25 | 0.3159 | 0.5169 | no |
| ADI | 2024-03-04 | 188.64 | 0.3208 | 0.5664 | no |
| AEP | 2024-03-04 | 77.69 | 0.4055 | 0.4604 | no |
| AIG | 2024-03-04 | 67.98 | 0.2189 | 0.4665 | no |
| AJG | 2024-03-04 | 236.76 | 0.1870 | 0.4535 | no |
| ALGN | 2024-03-04 | 301.53 | 0.2106 | 0.5127 | no |
| AMAT | 2024-03-04 | 207.88 | 0.1924 | 0.5807 | no |
| AMCR | 2024-03-04 | 40.06 | 0.2142 | 0.4665 | no |
| AMD | 2024-03-04 | 205.16 | 0.4044 | 0.5466 | no |
| AMGN | 2024-03-04 | 262.98 | 0.2003 | 0.5870 | no |
| ANET | 2024-03-04 | 72.00 | 0.2313 | 0.5272 | no |
| AOS | 2024-03-04 | 79.97 | 0.2553 | 0.4801 | no |
| APA | 2024-03-04 | 27.74 | 0.2240 | 0.5516 | no |
| APD | 2024-03-04 | 220.58 | 0.2680 | 0.4773 | no |
| ATO | 2024-03-04 | 105.93 | 0.2688 | 0.4791 | no |
| BEN | 2024-03-04 | 23.96 | 0.2023 | 0.4963 | no |
| BRO | 2024-03-04 | 81.79 | 0.2754 | 0.4899 | no |
| CMS | 2024-03-04 | 53.42 | 0.1730 | 0.4562 | no |
| CTAS | 2024-03-04 | 154.01 | 0.1774 | 0.5022 | no |
| CTVA | 2024-03-04 | 52.02 | 0.1890 | 0.4773 | no |
| ECL | 2024-03-04 | 218.46 | 0.4171 | 0.4859 | no |
| EMN | 2024-03-04 | 77.45 | 0.2307 | 0.4693 | no |
| ES | 2024-03-04 | 51.62 | 0.3287 | 0.4557 | no |
| EXC | 2024-03-04 | 32.19 | 0.3623 | 0.4832 | no |
| FCX | 2024-03-04 | 36.83 | 0.3312 | 0.5065 | no |
| FE | 2024-03-04 | 32.74 | 0.3066 | 0.4600 | no |
| GE | 2024-03-04 | 125.30 | 0.2368 | 0.5018 | no |
| GLW | 2024-03-04 | 30.96 | 0.2412 | 0.4830 | no |
| GM | 2024-03-04 | 40.02 | 0.2423 | 0.4860 | no |
| GRMN | 2024-03-04 | 130.97 | 0.3977 | 0.4898 | no |
| HAS | 2024-03-04 | 45.55 | 0.3124 | 0.4655 | no |
| IEX | 2024-03-04 | 230.68 | 0.3154 | 0.5093 | no |
| LDOS | 2024-03-04 | 124.03 | 0.2823 | 0.5339 | no |
| MAS | 2024-03-04 | 74.08 | 0.1725 | 0.5009 | no |
| META | 2024-03-04 | 499.15 | 0.1843 | 0.5212 | no |
| MGM | 2024-03-04 | 42.67 | 0.3425 | 0.4457 | no |
| MRNA | 2024-03-04 | 94.65 | 0.2180 | 0.5273 | no |
| NFLX | 2024-03-04 | 62.16 | 0.2422 | — | no |
| PAYC | 2024-03-04 | 179.71 | 0.2773 | 0.4540 | no |
| PFG | 2024-03-04 | 72.28 | 0.3787 | 0.4526 | no |
| PH | 2024-03-04 | 525.04 | 0.2958 | 0.5063 | no |
| PNR | 2024-03-04 | 76.02 | 0.1876 | 0.4938 | no |
| QCOM | 2024-03-04 | 156.74 | 0.2738 | 0.5476 | no |
| QRVO | 2024-03-04 | 121.00 | 0.1856 | — | no |
| ROST | 2024-03-04 | 146.56 | 0.1998 | 0.4419 | no |
| SYY | 2024-03-04 | 74.23 | 0.2167 | 0.4848 | no |
| TXT | 2024-03-04 | 88.45 | 0.4590 | 0.5291 | no |
| VICI | 2024-03-04 | 24.97 | 0.3067 | 0.4551 | no |
| ZBH | 2024-03-04 | 120.85 | 0.2111 | 0.4755 | no |
| ZION | 2024-03-04 | 36.11 | 0.2979 | 0.4389 | no |