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 | 3.37% | 3.39% | 2024-05-17 | -5.68% |
| buy & hold | participation factor overlay | 6 months | complete | 8.23% | 8.53% | 2024-09-17 | -6.98% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.48% | 2.57% | 2024-03-28 | -6.47% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.11% | 8.31% | 2024-09-17 | -7.08% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.76% | 2.89% | 2024-03-28 | -6.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.47% | 7.82% | 2024-09-17 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.21% | 2.42% | 2024-03-28 | -6.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.17% | 5.47% | 2024-09-17 | -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 |
|---|---|---|---|---|---|
| AAL | 2024-03-18 | 13.98 | 0.2247 | 0.4485 | no |
| AEP | 2024-03-18 | 75.29 | 0.1939 | 0.4604 | no |
| AFL | 2024-03-18 | 80.15 | 0.1827 | 0.4755 | no |
| AIG | 2024-03-18 | 71.97 | 0.1981 | 0.4665 | no |
| AIZ | 2024-03-18 | 174.23 | 0.1941 | 0.4421 | no |
| AMAT | 2024-03-18 | 197.76 | 0.2253 | 0.5808 | no |
| AMD | 2024-03-18 | 193.29 | 0.5338 | 0.5466 | no |
| AMGN | 2024-03-18 | 250.67 | 0.2519 | 0.5870 | no |
| AVY | 2024-03-18 | 205.27 | 0.1997 | 0.5091 | no |
| BDX | 2024-03-18 | 177.08 | 0.1711 | 0.4472 | no |
| BG | 2024-03-18 | 88.05 | 0.1854 | 0.4409 | no |
| BIIB | 2024-03-18 | 220.34 | 0.2614 | 0.6125 | no |
| BIO | 2024-03-18 | 333.87 | 0.2922 | 0.4753 | no |
| COF | 2024-03-18 | 131.16 | 0.1678 | 0.4411 | no |
| COST | 2024-03-18 | 716.03 | 0.2543 | 0.5674 | no |
| CVX | 2024-03-18 | 140.59 | 0.1867 | 0.5830 | no |
| CZR | 2024-03-18 | 39.46 | 0.4239 | 0.4513 | no |
| D | 2024-03-18 | 42.83 | 0.3469 | 0.4647 | no |
| DD | 2024-03-18 | 88.35 | 0.2189 | 0.4806 | no |
| DGX | 2024-03-18 | 121.78 | 0.1784 | 0.4582 | no |
| ECL | 2024-03-18 | 221.22 | 0.2186 | 0.4860 | no |
| ELV | 2024-03-18 | 490.00 | 0.1646 | 0.4681 | no |
| EQT | 2024-03-18 | 32.56 | 0.3357 | 0.4404 | no |
| EXR | 2024-03-18 | 124.88 | 0.3099 | 0.4384 | no |
| GE | 2024-03-18 | 132.84 | 0.3585 | 0.5018 | no |
| GILD | 2024-03-18 | 68.35 | 0.3785 | 0.5695 | no |
| HPQ | 2024-03-18 | 27.35 | 0.2517 | 0.4844 | no |
| HSIC | 2024-03-18 | 74.37 | 0.4298 | 0.4850 | no |
| INTU | 2024-03-18 | 617.47 | 0.1680 | 0.4912 | no |
| L | 2024-03-18 | 76.45 | 0.1739 | — | no |
| LDOS | 2024-03-18 | 123.82 | 0.2143 | 0.5339 | no |
| LKQ | 2024-03-18 | 46.97 | 0.2202 | 0.5039 | no |
| LLY | 2024-03-18 | 749.43 | 0.5083 | 0.4991 | no |
| LVS | 2024-03-18 | 48.27 | 0.1614 | 0.4450 | no |
| MLM | 2024-03-18 | 588.94 | 0.1806 | 0.5169 | no |
| MMM | 2024-03-18 | 83.11 | 0.6131 | 0.5194 | no |
| MSI | 2024-03-18 | 336.08 | 0.2192 | 0.5520 | no |
| NEE | 2024-03-18 | 55.91 | 0.1593 | 0.4437 | no |
| ORCL | 2024-03-18 | 123.71 | 0.3423 | 0.5554 | no |
| PODD | 2024-03-18 | 165.11 | 0.2908 | 0.4881 | no |
| ROK | 2024-03-18 | 269.28 | 0.4018 | 0.5099 | no |
| SBUX | 2024-03-18 | 85.13 | 0.3397 | 0.4585 | no |
| SNPS | 2024-03-18 | 558.59 | 0.3561 | 0.5786 | no |
| SPG | 2024-03-18 | 133.97 | 0.1860 | 0.4449 | no |
| STZ | 2024-03-18 | 251.92 | 0.2105 | 0.4409 | no |
| SWKS | 2024-03-18 | 97.04 | 0.1731 | 0.5487 | no |
| TER | 2024-03-18 | 103.37 | 0.3096 | 0.5716 | no |
| TFX | 2024-03-18 | 212.21 | 0.3404 | 0.4966 | no |
| TGT | 2024-03-18 | 149.54 | 0.1564 | 0.5011 | no |
| UBER | 2024-03-18 | 77.00 | 0.1551 | 0.5137 | no |