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 | 1.35% | 3.75% | 2024-05-15 | -4.98% |
| buy & hold | participation factor overlay | 6 months | complete | 4.14% | 7.28% | 2024-08-30 | -7.55% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.58% | 2.92% | 2024-05-15 | -5.37% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.82% | 7.59% | 2024-08-30 | -7.45% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.59% | 3.26% | 2024-03-28 | -6.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.09% | 6.90% | 2024-08-30 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.91% | 2.32% | 2024-03-28 | -5.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.54% | 4.90% | 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 |
|---|---|---|---|---|---|
| ADBE | 2024-03-11 | 552.45 | 0.2461 | 0.5547 | no |
| ADI | 2024-03-11 | 187.46 | 0.2114 | 0.5664 | no |
| AEP | 2024-03-11 | 76.44 | 0.2471 | 0.4604 | no |
| AIG | 2024-03-11 | 69.68 | 0.2833 | 0.4665 | no |
| AKAM | 2024-03-11 | 110.74 | 0.2307 | 0.5136 | no |
| ALGN | 2024-03-11 | 310.24 | 0.3144 | 0.5127 | no |
| AMAT | 2024-03-11 | 199.33 | 0.3374 | 0.5807 | no |
| AMD | 2024-03-11 | 203.01 | 0.8471 | 0.5466 | no |
| AME | 2024-03-11 | 177.93 | 0.2329 | 0.5027 | no |
| AMP | 2024-03-11 | 397.17 | 0.2187 | 0.4482 | no |
| ANET | 2024-03-11 | 67.33 | 0.2476 | 0.5272 | no |
| APH | 2024-03-11 | 27.11 | 0.3499 | 0.4852 | no |
| ATO | 2024-03-11 | 109.44 | 0.2405 | 0.4791 | no |
| AVY | 2024-03-11 | 204.70 | 0.2470 | 0.5091 | no |
| CDW | 2024-03-11 | 236.67 | 0.2067 | 0.4978 | no |
| DUK | 2024-03-11 | 86.65 | 0.2063 | 0.4728 | no |
| ECL | 2024-03-11 | 217.20 | 0.2406 | 0.4861 | no |
| EIX | 2024-03-11 | 60.88 | 0.2511 | 0.4657 | no |
| EMN | 2024-03-11 | 80.22 | 0.3114 | 0.4697 | no |
| EMR | 2024-03-11 | 105.13 | 0.2460 | 0.5046 | no |
| FCX | 2024-03-11 | 38.56 | 0.4994 | 0.5065 | no |
| GE | 2024-03-11 | 131.37 | 0.2598 | 0.5018 | no |
| GEHC | 2024-03-11 | 93.40 | 0.2650 | 0.4873 | no |
| GM | 2024-03-11 | 38.34 | 0.2537 | 0.4860 | no |
| HII | 2024-03-11 | 277.59 | 0.3586 | 0.5379 | no |
| HPE | 2024-03-11 | 16.60 | 0.3727 | 0.5210 | no |
| HSIC | 2024-03-11 | 75.15 | 0.4339 | 0.4855 | no |
| ICE | 2024-03-11 | 131.97 | 0.2433 | 0.4984 | no |
| IEX | 2024-03-11 | 229.66 | 0.3123 | 0.5088 | no |
| JPM | 2024-03-11 | 177.70 | 0.2110 | 0.4389 | no |
| KR | 2024-03-11 | 52.93 | 0.2294 | 0.5685 | no |
| LLY | 2024-03-11 | 739.53 | 0.2695 | 0.4991 | no |
| MAS | 2024-03-11 | 73.09 | 0.2347 | 0.5009 | no |
| NDSN | 2024-03-11 | 256.19 | 0.2261 | 0.4807 | no |
| PAYC | 2024-03-11 | 177.52 | 0.2146 | 0.4540 | no |
| PCG | 2024-03-11 | 16.23 | 0.2121 | 0.4681 | no |
| PFG | 2024-03-11 | 72.29 | 0.3123 | 0.4526 | no |
| PNR | 2024-03-11 | 78.61 | 0.2706 | 0.4934 | no |
| QCOM | 2024-03-11 | 160.42 | 0.3322 | 0.5476 | no |
| SNA | 2024-03-11 | 276.44 | 0.2107 | 0.4660 | no |
| SNPS | 2024-03-11 | 562.99 | 0.3519 | 0.5786 | no |
| SPG | 2024-03-11 | 133.63 | 0.2777 | 0.4449 | no |
| SRE | 2024-03-11 | 65.63 | 0.3004 | 0.5141 | no |
| STT | 2024-03-11 | 66.82 | 0.2707 | 0.4909 | no |
| STZ | 2024-03-11 | 243.35 | 0.2197 | 0.4411 | no |
| SYY | 2024-03-11 | 74.68 | 0.3285 | 0.4846 | no |
| T | 2024-03-11 | 15.23 | 0.2208 | 0.4411 | no |
| TDG | 2024-03-11 | 1026.98 | 0.2209 | 0.5301 | no |
| TSN | 2024-03-11 | 49.75 | 0.2363 | 0.4540 | no |
| XYL | 2024-03-11 | 123.00 | 0.2466 | 0.4923 | no |