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 | 2.79% | 5.72% | 2024-05-17 | -4.88% |
| buy & hold | participation factor overlay | 6 months | complete | 4.17% | 6.53% | 2024-07-16 | -7.40% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.40% | 6.10% | 2024-05-20 | -5.00% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.89% | 7.89% | 2024-07-16 | -7.33% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.01% | 4.21% | 2024-03-28 | -6.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.52% | 7.89% | 2024-08-30 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.69% | 3.30% | 2024-03-28 | -5.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.50% | 5.90% | 2024-08-30 | -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 |
|---|---|---|---|---|---|
| ADI | 2024-03-04 | 188.64 | 0.2631 | 0.5664 | no |
| AEP | 2024-03-04 | 77.69 | 0.4574 | 0.4604 | no |
| AES | 2024-03-04 | 13.65 | 0.4439 | — | no |
| AIG | 2024-03-04 | 67.98 | 0.2144 | 0.4665 | no |
| AKAM | 2024-03-04 | 110.44 | 0.2103 | 0.5136 | no |
| AMAT | 2024-03-04 | 207.88 | 0.2653 | 0.5807 | no |
| AMCR | 2024-03-04 | 40.06 | 0.1773 | 0.4665 | no |
| AMD | 2024-03-04 | 205.16 | 0.4146 | 0.5466 | no |
| AME | 2024-03-04 | 177.97 | 0.2743 | 0.5027 | no |
| ATO | 2024-03-04 | 105.93 | 0.2403 | 0.4791 | no |
| AXON | 2024-03-04 | 316.00 | 0.1927 | 0.4804 | no |
| BAC | 2024-03-04 | 32.39 | 0.2284 | 0.4844 | no |
| BEN | 2024-03-04 | 23.96 | 0.2151 | 0.4963 | no |
| CAT | 2024-03-04 | 324.91 | 0.2699 | 0.4961 | no |
| CMG | 2024-03-04 | 53.78 | 0.2433 | 0.4392 | no |
| CMS | 2024-03-04 | 53.42 | 0.2014 | 0.4562 | no |
| CNC | 2024-03-04 | 78.01 | 0.2050 | 0.4792 | no |
| DAL | 2024-03-04 | 40.73 | 0.2418 | 0.4518 | no |
| ECL | 2024-03-04 | 218.46 | 0.2221 | 0.4859 | no |
| EQT | 2024-03-04 | 36.59 | 0.3615 | 0.4404 | no |
| EVRG | 2024-03-04 | 43.91 | 0.2021 | 0.4640 | no |
| EXC | 2024-03-04 | 32.19 | 0.3610 | 0.4832 | no |
| EXR | 2024-03-04 | 126.53 | 0.1751 | 0.4384 | no |
| FAST | 2024-03-04 | 34.90 | 0.2186 | 0.5108 | no |
| FCX | 2024-03-04 | 36.83 | 0.4938 | 0.5065 | no |
| FE | 2024-03-04 | 32.74 | 0.2670 | 0.4600 | no |
| GLW | 2024-03-04 | 30.96 | 0.2588 | 0.4830 | no |
| GM | 2024-03-04 | 40.02 | 0.3241 | 0.4860 | no |
| GOOGL | 2024-03-04 | 134.38 | 0.3174 | 0.4685 | no |
| HAL | 2024-03-04 | 33.37 | 0.2802 | 0.4531 | no |
| HSIC | 2024-03-04 | 76.50 | 0.1863 | 0.4855 | no |
| IEX | 2024-03-04 | 230.68 | 0.4018 | 0.5093 | no |
| IQV | 2024-03-04 | 251.05 | 0.2261 | 0.4933 | no |
| ITW | 2024-03-04 | 239.28 | 0.2004 | 0.5244 | no |
| LDOS | 2024-03-04 | 124.03 | 0.1790 | 0.5339 | no |
| LRCX | 2024-03-04 | 97.04 | 0.2629 | 0.5632 | no |
| MSFT | 2024-03-04 | 405.55 | 0.2202 | 0.5143 | no |
| NKE | 2024-03-04 | 95.47 | 0.3158 | 0.4453 | no |
| PAYC | 2024-03-04 | 179.71 | 0.2464 | 0.4540 | no |
| PFG | 2024-03-04 | 72.28 | 0.2855 | 0.4526 | no |
| QCOM | 2024-03-04 | 156.74 | 0.4625 | 0.5476 | no |
| SBAC | 2024-03-04 | 196.29 | 0.2858 | 0.4580 | no |
| SRE | 2024-03-04 | 64.28 | 0.2263 | 0.5141 | no |
| SYY | 2024-03-04 | 74.23 | 0.2458 | 0.4848 | no |
| TSCO | 2024-03-04 | 47.61 | 0.2300 | 0.5429 | no |
| TSN | 2024-03-04 | 48.08 | 0.3010 | 0.4578 | no |
| TXT | 2024-03-04 | 88.45 | 0.3088 | 0.5291 | no |
| WTW | 2024-03-04 | 261.82 | 0.1649 | 0.4616 | no |
| WYNN | 2024-03-04 | 98.39 | 0.1742 | 0.4413 | no |
| ZION | 2024-03-04 | 36.11 | 0.3948 | 0.4389 | no |