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 | 3.15% | 3.15% | 2024-06-18 | -6.13% |
| buy & hold | participation factor overlay | 6 months | complete | 9.41% | 9.69% | 2024-09-16 | -6.14% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.78% | 3.78% | 2024-06-18 | -5.95% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.60% | 9.95% | 2024-09-16 | -6.81% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.09% | 3.15% | 2024-03-28 | -6.82% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.66% | 6.02% | 2024-09-17 | -7.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.29% | 3.34% | 2024-03-28 | -7.06% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.80% | 4.11% | 2024-09-17 | -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 |
|---|---|---|---|---|---|
| AAL | 2024-03-18 | 13.98 | 0.2043 | 0.4485 | no |
| ADM | 2024-03-18 | 54.30 | 0.2205 | 0.4428 | no |
| AFL | 2024-03-18 | 80.15 | 0.2160 | 0.4755 | no |
| AIG | 2024-03-18 | 71.97 | 0.1884 | 0.4665 | no |
| AKAM | 2024-03-18 | 107.47 | 0.2152 | 0.5136 | no |
| AMAT | 2024-03-18 | 197.76 | 0.3964 | 0.5808 | no |
| AMD | 2024-03-18 | 193.29 | 0.5977 | 0.5466 | no |
| AME | 2024-03-18 | 179.44 | 0.2313 | 0.5027 | no |
| AMGN | 2024-03-18 | 250.67 | 0.2080 | 0.5870 | no |
| ANET | 2024-03-18 | 70.60 | 0.1993 | 0.5272 | no |
| BDX | 2024-03-18 | 177.08 | 0.1611 | 0.4472 | no |
| BIO | 2024-03-18 | 333.87 | 0.2619 | 0.4753 | no |
| BRK.B | 2024-03-18 | 408.70 | 0.1652 | — | no |
| CMG | 2024-03-18 | 55.36 | 0.1771 | 0.4390 | no |
| CZR | 2024-03-18 | 39.46 | 0.2654 | 0.4513 | no |
| D | 2024-03-18 | 42.83 | 0.2444 | 0.4647 | no |
| DAL | 2024-03-18 | 42.13 | 0.2525 | 0.4518 | no |
| DD | 2024-03-18 | 88.35 | 0.2977 | 0.4806 | no |
| DXCM | 2024-03-18 | 131.68 | 0.1947 | 0.4616 | no |
| ECL | 2024-03-18 | 221.22 | 0.2656 | 0.4860 | no |
| EFX | 2024-03-18 | 249.72 | 0.1733 | 0.4825 | no |
| EQT | 2024-03-18 | 32.56 | 0.3750 | 0.4404 | no |
| EXR | 2024-03-18 | 124.88 | 0.3471 | 0.4384 | no |
| GE | 2024-03-18 | 132.84 | 0.4616 | 0.5018 | no |
| GILD | 2024-03-18 | 68.35 | 0.2672 | 0.5695 | no |
| HD | 2024-03-18 | 353.03 | 0.2044 | 0.5638 | no |
| HPQ | 2024-03-18 | 27.35 | 0.1998 | 0.4844 | no |
| HSIC | 2024-03-18 | 74.37 | 0.5942 | 0.4850 | no |
| KMX | 2024-03-18 | 81.18 | 0.2500 | 0.5046 | no |
| KO | 2024-03-18 | 55.82 | 0.2045 | 0.4404 | no |
| L | 2024-03-18 | 76.45 | 0.2295 | — | no |
| LLY | 2024-03-18 | 749.43 | 0.3645 | 0.4991 | no |
| MMM | 2024-03-18 | 83.11 | 0.6722 | 0.5194 | no |
| MSFT | 2024-03-18 | 406.34 | 0.2445 | 0.5143 | no |
| MSI | 2024-03-18 | 336.08 | 0.1810 | 0.5520 | no |
| NOW | 2024-03-18 | 150.00 | 0.1711 | 0.5253 | no |
| ORCL | 2024-03-18 | 123.71 | 0.4119 | 0.5554 | no |
| PFE | 2024-03-18 | 23.76 | 0.1698 | 0.5560 | no |
| PNW | 2024-03-18 | 65.48 | 0.1895 | 0.4813 | no |
| PODD | 2024-03-18 | 165.11 | 0.4041 | 0.4881 | no |
| REGN | 2024-03-18 | 960.93 | 0.1926 | 0.5752 | no |
| ROK | 2024-03-18 | 269.28 | 0.3806 | 0.5099 | no |
| RSG | 2024-03-18 | 181.24 | 0.1662 | 0.4887 | no |
| SBUX | 2024-03-18 | 85.13 | 0.1689 | 0.4585 | no |
| SNPS | 2024-03-18 | 558.59 | 0.2903 | 0.5786 | no |
| STZ | 2024-03-18 | 251.92 | 0.2424 | 0.4409 | no |
| TFC | 2024-03-18 | 31.18 | 0.1618 | 0.4489 | no |
| TFX | 2024-03-18 | 212.21 | 0.4157 | 0.4966 | no |
| TJX | 2024-03-18 | 94.49 | 0.2563 | 0.4529 | no |
| ZION | 2024-03-18 | 36.88 | 0.2090 | 0.4416 | no |