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 | 0.03% | 3.91% | 2024-03-28 | -6.03% |
| buy & hold | participation factor overlay | 6 months | complete | 1.36% | 5.13% | 2024-07-16 | -8.78% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.11% | 3.57% | 2024-03-28 | -6.83% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.11% | 4.61% | 2024-07-16 | -9.14% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.28% | 3.33% | 2024-03-28 | -6.40% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.55% | 4.71% | 2024-08-30 | -7.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.67% | 2.83% | 2024-03-28 | -6.48% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.44% | 2.83% | 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 | 2024-03-11 | 187.46 | 0.2434 | 0.5664 | no |
| ADSK | 2024-03-11 | 252.31 | 0.2132 | 0.5453 | no |
| AES | 2024-03-11 | 14.36 | 0.2313 | — | no |
| AIG | 2024-03-11 | 69.68 | 0.3025 | 0.4665 | no |
| ALB | 2024-03-11 | 114.19 | 0.4308 | 0.4850 | no |
| ALGN | 2024-03-11 | 310.24 | 0.3043 | 0.5127 | no |
| AMAT | 2024-03-11 | 199.33 | 0.3657 | 0.5807 | no |
| AMD | 2024-03-11 | 203.01 | 0.6795 | 0.5466 | no |
| AME | 2024-03-11 | 177.93 | 0.2839 | 0.5027 | no |
| AMP | 2024-03-11 | 397.17 | 0.2024 | 0.4482 | no |
| AMT | 2024-03-11 | 188.73 | 0.2598 | 0.4492 | no |
| APH | 2024-03-11 | 27.11 | 0.2869 | 0.4852 | no |
| BAC | 2024-03-11 | 33.43 | 0.2461 | 0.4844 | no |
| BG | 2024-03-11 | 85.72 | 0.2446 | 0.4409 | no |
| BX | 2024-03-11 | 116.61 | 0.2276 | 0.4648 | no |
| CAT | 2024-03-11 | 326.27 | 0.2426 | 0.4961 | no |
| DD | 2024-03-11 | 85.50 | 0.3464 | 0.4806 | no |
| DUK | 2024-03-11 | 86.65 | 0.1995 | 0.4728 | no |
| ECL | 2024-03-11 | 217.20 | 0.2604 | 0.4861 | no |
| EIX | 2024-03-11 | 60.88 | 0.3795 | 0.4657 | no |
| EMN | 2024-03-11 | 80.22 | 0.2483 | 0.4697 | no |
| EMR | 2024-03-11 | 105.13 | 0.2004 | 0.5046 | no |
| FCX | 2024-03-11 | 38.56 | 0.3002 | 0.5065 | no |
| GEHC | 2024-03-11 | 93.40 | 0.2391 | 0.4873 | no |
| GM | 2024-03-11 | 38.34 | 0.3742 | 0.4860 | no |
| HAL | 2024-03-11 | 33.95 | 0.2240 | 0.4531 | no |
| HD | 2024-03-11 | 348.41 | 0.2547 | 0.5638 | no |
| INTU | 2024-03-11 | 636.05 | 0.2574 | 0.4912 | no |
| JNJ | 2024-03-11 | 148.75 | 0.2542 | 0.4947 | no |
| KR | 2024-03-11 | 52.93 | 0.2259 | 0.5685 | no |
| LRCX | 2024-03-11 | 92.34 | 0.3000 | 0.5632 | no |
| LVS | 2024-03-11 | 49.01 | 0.2047 | 0.4450 | no |
| MAS | 2024-03-11 | 73.09 | 0.2782 | 0.5009 | no |
| MOS | 2024-03-11 | 29.04 | 0.2025 | 0.4466 | no |
| NDAQ | 2024-03-11 | 57.94 | 0.2346 | 0.5279 | no |
| PANW | 2024-03-11 | 139.15 | 0.2390 | 0.5837 | no |
| PFG | 2024-03-11 | 72.29 | 0.2430 | 0.4526 | no |
| PTC | 2024-03-11 | 185.43 | 0.2240 | 0.5393 | no |
| SNA | 2024-03-11 | 276.44 | 0.3971 | 0.4660 | no |
| SNPS | 2024-03-11 | 562.99 | 0.3686 | 0.5786 | no |
| SPG | 2024-03-11 | 133.63 | 0.3429 | 0.4449 | no |
| SRE | 2024-03-11 | 65.63 | 0.2207 | 0.5141 | no |
| STT | 2024-03-11 | 66.82 | 0.3447 | 0.4909 | no |
| STZ | 2024-03-11 | 243.35 | 0.3564 | 0.4411 | no |
| SYY | 2024-03-11 | 74.68 | 0.2686 | 0.4846 | no |
| T | 2024-03-11 | 15.23 | 0.3851 | 0.4411 | no |
| TGT | 2024-03-11 | 155.20 | 0.2272 | 0.5011 | no |
| TRV | 2024-03-11 | 208.35 | 0.2039 | 0.4592 | no |
| TXT | 2024-03-11 | 91.36 | 0.2509 | 0.5291 | no |
| UBER | 2024-03-11 | 78.70 | 0.2810 | 0.5137 | no |