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 | 4.53% | 6.96% | 2024-05-21 | -4.92% |
| buy & hold | participation factor overlay | 6 months | complete | 7.50% | 9.96% | 2024-07-16 | -8.30% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.77% | 7.78% | 2024-05-21 | -5.16% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.36% | 10.46% | 2024-08-30 | -7.43% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.74% | 4.54% | 2024-03-28 | -6.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.18% | 6.35% | 2024-08-30 | -7.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.45% | 5.11% | 2024-03-28 | -6.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.26% | 5.57% | 2024-08-30 | -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 |
|---|---|---|---|---|---|
| ADI | 2024-03-04 | 188.64 | 0.2807 | 0.5664 | no |
| AEP | 2024-03-04 | 77.69 | 0.4382 | 0.4604 | no |
| AES | 2024-03-04 | 13.65 | 0.3642 | — | no |
| AIG | 2024-03-04 | 67.98 | 0.3221 | 0.4665 | no |
| ALGN | 2024-03-04 | 301.53 | 0.3954 | 0.5127 | no |
| AMAT | 2024-03-04 | 207.88 | 0.2275 | 0.5807 | no |
| AMCR | 2024-03-04 | 40.06 | 0.2079 | 0.4665 | no |
| AMD | 2024-03-04 | 205.16 | 0.5002 | 0.5466 | no |
| ANET | 2024-03-04 | 72.00 | 0.2521 | 0.5272 | no |
| AOS | 2024-03-04 | 79.97 | 0.2213 | 0.4801 | no |
| ATO | 2024-03-04 | 105.93 | 0.2820 | 0.4791 | no |
| CMS | 2024-03-04 | 53.42 | 0.2251 | 0.4562 | no |
| CNC | 2024-03-04 | 78.01 | 0.2180 | 0.4792 | no |
| CTAS | 2024-03-04 | 154.01 | 0.2078 | 0.5022 | no |
| D | 2024-03-04 | 39.83 | 0.2103 | 0.4647 | no |
| DAL | 2024-03-04 | 40.73 | 0.2157 | 0.4518 | no |
| ECL | 2024-03-04 | 218.46 | 0.2559 | 0.4859 | no |
| EMN | 2024-03-04 | 77.45 | 0.2205 | 0.4693 | no |
| EQT | 2024-03-04 | 36.59 | 0.3789 | 0.4404 | no |
| ES | 2024-03-04 | 51.62 | 0.2350 | 0.4557 | no |
| FCX | 2024-03-04 | 36.83 | 0.3846 | 0.5065 | no |
| FE | 2024-03-04 | 32.74 | 0.3339 | 0.4600 | no |
| FITB | 2024-03-04 | 31.84 | 0.2230 | 0.4365 | no |
| GEHC | 2024-03-04 | 92.54 | 0.2071 | 0.4873 | no |
| GLW | 2024-03-04 | 30.96 | 0.3021 | 0.4830 | no |
| GM | 2024-03-04 | 40.02 | 0.3639 | 0.4860 | no |
| GOOG | 2024-03-04 | 135.26 | 0.2327 | — | no |
| GOOGL | 2024-03-04 | 134.38 | 0.3190 | 0.4685 | no |
| GRMN | 2024-03-04 | 130.97 | 0.2632 | 0.4898 | no |
| HAL | 2024-03-04 | 33.37 | 0.4294 | 0.4531 | no |
| HAS | 2024-03-04 | 45.55 | 0.2483 | 0.4655 | no |
| HPQ | 2024-03-04 | 26.18 | 0.2025 | 0.4847 | no |
| IEX | 2024-03-04 | 230.68 | 0.1914 | 0.5093 | no |
| INTC | 2024-03-04 | 43.81 | 0.3100 | 0.5572 | no |
| LRCX | 2024-03-04 | 97.04 | 0.3288 | 0.5632 | no |
| MET | 2024-03-04 | 64.51 | 0.2405 | 0.4553 | no |
| NFLX | 2024-03-04 | 62.16 | 0.2703 | — | no |
| NKE | 2024-03-04 | 95.47 | 0.1960 | 0.4453 | no |
| PH | 2024-03-04 | 525.04 | 0.2023 | 0.5063 | no |
| PRU | 2024-03-04 | 95.30 | 0.2160 | 0.4626 | no |
| QCOM | 2024-03-04 | 156.74 | 0.2738 | 0.5476 | no |
| QRVO | 2024-03-04 | 121.00 | 0.1893 | — | no |
| REGN | 2024-03-04 | 973.63 | 0.1954 | 0.5752 | no |
| SBAC | 2024-03-04 | 196.29 | 0.3007 | 0.4580 | no |
| SWK | 2024-03-04 | 79.95 | 0.2096 | 0.5149 | no |
| T | 2024-03-04 | 14.92 | 0.2081 | 0.4411 | no |
| TXT | 2024-03-04 | 88.45 | 0.5010 | 0.5291 | no |
| UNP | 2024-03-04 | 239.72 | 0.1921 | 0.5008 | no |
| VICI | 2024-03-04 | 24.97 | 0.2567 | 0.4551 | no |
| ZION | 2024-03-04 | 36.11 | 0.4662 | 0.4389 | no |