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 | 0.09% | 3.85% | 2024-03-28 | -5.20% |
| buy & hold | participation factor overlay | 6 months | complete | 1.60% | 5.96% | 2024-07-16 | -8.80% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.37% | 3.60% | 2024-03-28 | -5.79% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.10% | 6.90% | 2024-08-30 | -7.96% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.07% | 3.68% | 2024-03-28 | -6.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.36% | 5.47% | 2024-08-30 | -7.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -2.40% | 3.61% | 2024-03-28 | -6.66% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.30% | 4.06% | 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 |
|---|---|---|---|---|---|
| ADBE | 2024-03-11 | 552.45 | 0.2071 | 0.5547 | no |
| ADI | 2024-03-11 | 187.46 | 0.2436 | 0.5664 | no |
| AEP | 2024-03-11 | 76.44 | 0.2706 | 0.4604 | no |
| ALGN | 2024-03-11 | 310.24 | 0.2352 | 0.5127 | no |
| AMAT | 2024-03-11 | 199.33 | 0.5402 | 0.5807 | no |
| AMD | 2024-03-11 | 203.01 | 0.7896 | 0.5466 | no |
| AME | 2024-03-11 | 177.93 | 0.2606 | 0.5027 | no |
| AMP | 2024-03-11 | 397.17 | 0.2488 | 0.4482 | no |
| APH | 2024-03-11 | 27.11 | 0.2818 | 0.4852 | no |
| ATO | 2024-03-11 | 109.44 | 0.2444 | 0.4791 | no |
| BAC | 2024-03-11 | 33.43 | 0.2529 | 0.4844 | no |
| BG | 2024-03-11 | 85.72 | 0.2398 | 0.4409 | no |
| BX | 2024-03-11 | 116.61 | 0.2259 | 0.4648 | no |
| C | 2024-03-11 | 53.32 | 0.2723 | 0.4810 | no |
| CDW | 2024-03-11 | 236.67 | 0.2653 | 0.4978 | no |
| CE | 2024-03-11 | 153.56 | 0.2110 | 0.4654 | no |
| DD | 2024-03-11 | 85.50 | 0.4115 | 0.4806 | no |
| ECL | 2024-03-11 | 217.20 | 0.3200 | 0.4861 | no |
| EIX | 2024-03-11 | 60.88 | 0.2606 | 0.4657 | no |
| FCX | 2024-03-11 | 38.56 | 0.4712 | 0.5065 | no |
| GE | 2024-03-11 | 131.37 | 0.2487 | 0.5018 | no |
| GEHC | 2024-03-11 | 93.40 | 0.2879 | 0.4873 | no |
| GM | 2024-03-11 | 38.34 | 0.4370 | 0.4860 | no |
| GRMN | 2024-03-11 | 135.34 | 0.3425 | 0.4898 | no |
| HPE | 2024-03-11 | 16.60 | 0.2805 | 0.5210 | no |
| HSIC | 2024-03-11 | 75.15 | 0.2849 | 0.4855 | no |
| IEX | 2024-03-11 | 229.66 | 0.2023 | 0.5088 | no |
| IQV | 2024-03-11 | 256.24 | 0.2419 | 0.4933 | no |
| ITW | 2024-03-11 | 246.49 | 0.2473 | 0.5244 | no |
| JCI | 2024-03-11 | 59.49 | 0.2174 | 0.5127 | no |
| KLAC | 2024-03-11 | 67.72 | 0.2912 | 0.5783 | no |
| KR | 2024-03-11 | 52.93 | 0.3315 | 0.5685 | no |
| LOW | 2024-03-11 | 229.76 | 0.2448 | 0.5114 | no |
| MAS | 2024-03-11 | 73.09 | 0.2625 | 0.5009 | no |
| MLM | 2024-03-11 | 588.03 | 0.2098 | 0.5168 | no |
| MOS | 2024-03-11 | 29.04 | 0.3708 | 0.4466 | no |
| NUE | 2024-03-11 | 177.65 | 0.2997 | 0.5029 | no |
| PAYC | 2024-03-11 | 177.52 | 0.2691 | 0.4540 | no |
| PFG | 2024-03-11 | 72.29 | 0.3139 | 0.4526 | no |
| PNR | 2024-03-11 | 78.61 | 0.2010 | 0.4934 | no |
| SNA | 2024-03-11 | 276.44 | 0.3069 | 0.4660 | no |
| SNPS | 2024-03-11 | 562.99 | 0.3111 | 0.5786 | no |
| SPG | 2024-03-11 | 133.63 | 0.3994 | 0.4449 | no |
| STT | 2024-03-11 | 66.82 | 0.3154 | 0.4909 | no |
| SYY | 2024-03-11 | 74.68 | 0.2029 | 0.4846 | no |
| T | 2024-03-11 | 15.23 | 0.2003 | 0.4411 | no |
| TDG | 2024-03-11 | 1026.98 | 0.2098 | 0.5301 | no |
| TGT | 2024-03-11 | 155.20 | 0.3172 | 0.5011 | no |
| TXT | 2024-03-11 | 91.36 | 0.2928 | 0.5291 | no |
| XYL | 2024-03-11 | 123.00 | 0.2672 | 0.4923 | no |