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 | 4.18% | 4.67% | 2024-05-15 | -5.62% |
| buy & hold | participation factor overlay | 6 months | complete | 10.38% | 10.99% | 2024-08-30 | -6.74% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.39% | 3.19% | 2024-03-28 | -6.10% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.12% | 11.53% | 2024-09-16 | -6.10% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.13% | 3.58% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.23% | 8.62% | 2024-09-17 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.55% | 3.24% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.34% | 4.53% | 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 |
|---|---|---|---|---|---|
| AAL | 2024-03-18 | 13.98 | 0.1648 | 0.4485 | no |
| AFL | 2024-03-18 | 80.15 | 0.2858 | 0.4755 | no |
| AIG | 2024-03-18 | 71.97 | 0.2914 | 0.4665 | no |
| AKAM | 2024-03-18 | 107.47 | 0.2465 | 0.5136 | no |
| AMAT | 2024-03-18 | 197.76 | 0.5447 | 0.5808 | no |
| AMD | 2024-03-18 | 193.29 | 0.7765 | 0.5466 | no |
| AME | 2024-03-18 | 179.44 | 0.2207 | 0.5027 | no |
| AMGN | 2024-03-18 | 250.67 | 0.5051 | 0.5870 | no |
| AVGO | 2024-03-18 | 122.17 | 0.1860 | 0.5594 | no |
| BIO | 2024-03-18 | 333.87 | 0.4589 | 0.4753 | no |
| C | 2024-03-18 | 53.97 | 0.2395 | 0.4855 | no |
| COF | 2024-03-18 | 131.16 | 0.2372 | 0.4411 | no |
| CVX | 2024-03-18 | 140.59 | 0.2383 | 0.5830 | no |
| CZR | 2024-03-18 | 39.46 | 0.5507 | 0.4513 | no |
| DD | 2024-03-18 | 88.35 | 0.2346 | 0.4806 | no |
| ECL | 2024-03-18 | 221.22 | 0.1828 | 0.4860 | no |
| EFX | 2024-03-18 | 249.72 | 0.3145 | 0.4825 | no |
| EIX | 2024-03-18 | 60.66 | 0.1687 | 0.4657 | no |
| ELV | 2024-03-18 | 490.00 | 0.1556 | 0.4681 | no |
| EQT | 2024-03-18 | 32.56 | 0.3568 | 0.4404 | no |
| EXR | 2024-03-18 | 124.88 | 0.4159 | 0.4384 | no |
| FE | 2024-03-18 | 34.27 | 0.1688 | 0.4600 | no |
| GE | 2024-03-18 | 132.84 | 0.5221 | 0.5018 | no |
| GILD | 2024-03-18 | 68.35 | 0.2505 | 0.5695 | no |
| GPC | 2024-03-18 | 141.93 | 0.2076 | 0.5468 | no |
| GS | 2024-03-18 | 369.10 | 0.1762 | 0.4910 | no |
| HSIC | 2024-03-18 | 74.37 | 0.5164 | 0.4850 | no |
| INTU | 2024-03-18 | 617.47 | 0.2250 | 0.4912 | no |
| KHC | 2024-03-18 | 29.75 | 0.2631 | 0.4433 | no |
| KR | 2024-03-18 | 52.82 | 0.2381 | 0.5682 | no |
| L | 2024-03-18 | 76.45 | 0.1813 | — | no |
| LDOS | 2024-03-18 | 123.82 | 0.2142 | 0.5339 | no |
| LKQ | 2024-03-18 | 46.97 | 0.1602 | 0.5039 | no |
| LLY | 2024-03-18 | 749.43 | 0.5863 | 0.4991 | no |
| LRCX | 2024-03-18 | 90.51 | 0.1680 | 0.5634 | no |
| MMM | 2024-03-18 | 83.11 | 0.4390 | 0.5194 | no |
| MSFT | 2024-03-18 | 406.34 | 0.2381 | 0.5143 | no |
| MSI | 2024-03-18 | 336.08 | 0.2109 | 0.5520 | no |
| ORCL | 2024-03-18 | 123.71 | 0.1964 | 0.5554 | no |
| PNC | 2024-03-18 | 136.83 | 0.2109 | 0.4540 | no |
| PNW | 2024-03-18 | 65.48 | 0.2803 | 0.4813 | no |
| PODD | 2024-03-18 | 165.11 | 0.3025 | 0.4881 | no |
| RMD | 2024-03-18 | 186.55 | 0.2250 | 0.4548 | no |
| ROK | 2024-03-18 | 269.28 | 0.3195 | 0.5099 | no |
| TER | 2024-03-18 | 103.37 | 0.1581 | 0.5716 | no |
| TFC | 2024-03-18 | 31.18 | 0.1912 | 0.4489 | no |
| TFX | 2024-03-18 | 212.21 | 0.4421 | 0.4966 | no |
| TJX | 2024-03-18 | 94.49 | 0.2147 | 0.4529 | no |
| TXT | 2024-03-18 | 93.06 | 0.1861 | 0.5291 | no |
| ZION | 2024-03-18 | 36.88 | 0.1772 | 0.4416 | no |