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 | 2.84% | 5.24% | 2024-05-15 | -5.25% |
| buy & hold | participation factor overlay | 6 months | complete | 6.78% | 10.00% | 2024-08-30 | -7.80% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.46% | 3.35% | 2024-05-15 | -5.85% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.02% | 8.20% | 2024-08-30 | -7.73% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.70% | 3.95% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.84% | 8.76% | 2024-08-30 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.04% | 3.30% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.90% | 4.59% | 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 |
|---|---|---|---|---|---|
| ADI | 2024-03-11 | 187.46 | 0.2707 | 0.5664 | no |
| AIG | 2024-03-11 | 69.68 | 0.1925 | 0.4665 | no |
| AMAT | 2024-03-11 | 199.33 | 0.4118 | 0.5807 | no |
| AMD | 2024-03-11 | 203.01 | 0.6763 | 0.5466 | no |
| AME | 2024-03-11 | 177.93 | 0.2447 | 0.5027 | no |
| APH | 2024-03-11 | 27.11 | 0.3716 | 0.4852 | no |
| ATO | 2024-03-11 | 109.44 | 0.3212 | 0.4791 | no |
| C | 2024-03-11 | 53.32 | 0.2991 | 0.4810 | no |
| CZR | 2024-03-11 | 41.92 | 0.3202 | 0.4513 | no |
| DE | 2024-03-11 | 360.90 | 0.3372 | 0.4981 | no |
| DHI | 2024-03-11 | 149.17 | 0.2256 | 0.5039 | no |
| ECL | 2024-03-11 | 217.20 | 0.2716 | 0.4861 | no |
| EIX | 2024-03-11 | 60.88 | 0.3434 | 0.4657 | no |
| EMN | 2024-03-11 | 80.22 | 0.2644 | 0.4697 | no |
| EXR | 2024-03-11 | 134.26 | 0.2190 | 0.4384 | no |
| F | 2024-03-11 | 10.48 | 0.2715 | 0.4576 | no |
| FCX | 2024-03-11 | 38.56 | 0.3096 | 0.5065 | no |
| GE | 2024-03-11 | 131.37 | 0.2158 | 0.5018 | no |
| GEHC | 2024-03-11 | 93.40 | 0.2470 | 0.4873 | no |
| GM | 2024-03-11 | 38.34 | 0.3188 | 0.4860 | no |
| GRMN | 2024-03-11 | 135.34 | 0.2586 | 0.4898 | no |
| HPE | 2024-03-11 | 16.60 | 0.3181 | 0.5210 | no |
| HSIC | 2024-03-11 | 75.15 | 0.2170 | 0.4855 | no |
| ICE | 2024-03-11 | 131.97 | 0.2435 | 0.4984 | no |
| IFF | 2024-03-11 | 74.67 | 0.2769 | 0.4740 | no |
| INTU | 2024-03-11 | 636.05 | 0.1927 | 0.4912 | no |
| KR | 2024-03-11 | 52.93 | 0.2163 | 0.5685 | no |
| LDOS | 2024-03-11 | 124.16 | 0.2482 | 0.5339 | no |
| LLY | 2024-03-11 | 739.53 | 0.2779 | 0.4991 | no |
| LRCX | 2024-03-11 | 92.34 | 0.1962 | 0.5632 | no |
| MAS | 2024-03-11 | 73.09 | 0.3409 | 0.5009 | no |
| MET | 2024-03-11 | 65.72 | 0.1928 | 0.4553 | no |
| MLM | 2024-03-11 | 588.03 | 0.2400 | 0.5168 | no |
| MMM | 2024-03-11 | 74.72 | 0.2298 | 0.5191 | no |
| NDSN | 2024-03-11 | 256.19 | 0.2920 | 0.4807 | no |
| OTIS | 2024-03-11 | 92.98 | 0.2188 | 0.5305 | no |
| PFG | 2024-03-11 | 72.29 | 0.2212 | 0.4526 | no |
| PNR | 2024-03-11 | 78.61 | 0.2732 | 0.4934 | no |
| SNA | 2024-03-11 | 276.44 | 0.3254 | 0.4660 | no |
| SNPS | 2024-03-11 | 562.99 | 0.3408 | 0.5786 | no |
| SPG | 2024-03-11 | 133.63 | 0.2888 | 0.4449 | no |
| SRE | 2024-03-11 | 65.63 | 0.3127 | 0.5141 | no |
| STT | 2024-03-11 | 66.82 | 0.2828 | 0.4909 | no |
| STZ | 2024-03-11 | 243.35 | 0.2812 | 0.4411 | no |
| SWKS | 2024-03-11 | 97.33 | 0.1962 | 0.5487 | no |
| T | 2024-03-11 | 15.23 | 0.2745 | 0.4411 | no |
| TXT | 2024-03-11 | 91.36 | 0.2378 | 0.5291 | no |
| TYL | 2024-03-11 | 418.10 | 0.2111 | 0.4928 | no |
| VICI | 2024-03-11 | 24.63 | 0.2066 | 0.4551 | no |
| XYL | 2024-03-11 | 123.00 | 0.2775 | 0.4923 | no |