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 | 1.97% | 3.36% | 2024-03-28 | -5.98% |
| buy & hold | participation factor overlay | 6 months | complete | 7.76% | 7.86% | 2024-09-17 | -6.12% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.00% | 3.01% | 2024-03-28 | -6.46% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.38% | 6.49% | 2024-09-16 | -6.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.98% | 2.88% | 2024-03-28 | -7.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.77% | 4.87% | 2024-09-17 | -7.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.21% | 2.90% | 2024-03-28 | -7.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.20% | 2.90% | 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 |
|---|---|---|---|---|---|
| AAL | 2024-03-18 | 13.98 | 0.1589 | 0.4485 | no |
| AFL | 2024-03-18 | 80.15 | 0.2301 | 0.4755 | no |
| AIG | 2024-03-18 | 71.97 | 0.1855 | 0.4665 | no |
| AMAT | 2024-03-18 | 197.76 | 0.3464 | 0.5808 | no |
| AMD | 2024-03-18 | 193.29 | 0.5554 | 0.5466 | no |
| AME | 2024-03-18 | 179.44 | 0.2014 | 0.5027 | no |
| AMGN | 2024-03-18 | 250.67 | 0.3065 | 0.5870 | no |
| BDX | 2024-03-18 | 177.08 | 0.1744 | 0.4472 | no |
| BIO | 2024-03-18 | 333.87 | 0.2156 | 0.4753 | no |
| BWA | 2024-03-18 | 31.53 | 0.1720 | 0.4565 | no |
| C | 2024-03-18 | 53.97 | 0.1946 | 0.4855 | no |
| CE | 2024-03-18 | 158.17 | 0.2174 | 0.4654 | no |
| CTAS | 2024-03-18 | 154.43 | 0.1700 | 0.5014 | no |
| CTVA | 2024-03-18 | 54.06 | 0.1960 | 0.4775 | no |
| CVX | 2024-03-18 | 140.59 | 0.3006 | 0.5830 | no |
| CZR | 2024-03-18 | 39.46 | 0.4170 | 0.4513 | no |
| D | 2024-03-18 | 42.83 | 0.2318 | 0.4647 | no |
| DD | 2024-03-18 | 88.35 | 0.2467 | 0.4806 | no |
| DXCM | 2024-03-18 | 131.68 | 0.1788 | 0.4616 | no |
| ECL | 2024-03-18 | 221.22 | 0.3788 | 0.4860 | no |
| EFX | 2024-03-18 | 249.72 | 0.2054 | 0.4825 | no |
| EMN | 2024-03-18 | 83.24 | 0.1575 | 0.4697 | no |
| EQT | 2024-03-18 | 32.56 | 0.3782 | 0.4404 | no |
| EXR | 2024-03-18 | 124.88 | 0.3324 | 0.4384 | no |
| GE | 2024-03-18 | 132.84 | 0.3479 | 0.5018 | no |
| HPQ | 2024-03-18 | 27.35 | 0.2165 | 0.4844 | no |
| HSIC | 2024-03-18 | 74.37 | 0.5159 | 0.4850 | no |
| KO | 2024-03-18 | 55.82 | 0.2221 | 0.4404 | no |
| L | 2024-03-18 | 76.45 | 0.2273 | — | no |
| LIN | 2024-03-18 | 453.72 | 0.1640 | 0.4820 | no |
| LLY | 2024-03-18 | 749.43 | 0.3838 | 0.4991 | no |
| LVS | 2024-03-18 | 48.27 | 0.1875 | 0.4450 | no |
| MMM | 2024-03-18 | 83.11 | 0.4747 | 0.5194 | no |
| MSFT | 2024-03-18 | 406.34 | 0.1639 | 0.5143 | no |
| MSI | 2024-03-18 | 336.08 | 0.2537 | 0.5520 | no |
| ORCL | 2024-03-18 | 123.71 | 0.1967 | 0.5554 | no |
| PFE | 2024-03-18 | 23.76 | 0.2553 | 0.5560 | no |
| PNC | 2024-03-18 | 136.83 | 0.2812 | 0.4540 | no |
| PNW | 2024-03-18 | 65.48 | 0.2008 | 0.4813 | no |
| PODD | 2024-03-18 | 165.11 | 0.2871 | 0.4881 | no |
| RF | 2024-03-18 | 17.36 | 0.1687 | 0.4401 | no |
| ROK | 2024-03-18 | 269.28 | 0.2725 | 0.5099 | no |
| SBUX | 2024-03-18 | 85.13 | 0.1976 | 0.4585 | no |
| SNPS | 2024-03-18 | 558.59 | 0.2882 | 0.5786 | no |
| SRE | 2024-03-18 | 64.91 | 0.1588 | 0.5141 | no |
| STZ | 2024-03-18 | 251.92 | 0.3216 | 0.4409 | no |
| TFX | 2024-03-18 | 212.21 | 0.4372 | 0.4966 | no |
| TXT | 2024-03-18 | 93.06 | 0.1937 | 0.5291 | no |
| USB | 2024-03-18 | 38.15 | 0.2888 | 0.4673 | no |
| WRB | 2024-03-18 | 53.38 | 0.2658 | 0.4626 | no |