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 | 0.81% | 2.70% | 2024-05-17 | -5.31% |
| buy & hold | participation factor overlay | 6 months | complete | 7.29% | 8.01% | 2024-09-19 | -5.48% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.25% | 2.21% | 2024-05-17 | -5.49% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.21% | 8.71% | 2024-09-24 | -5.49% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.34% | 1.66% | 2024-03-28 | -7.27% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.74% | 5.45% | 2024-09-24 | -7.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.04% | 1.89% | 2024-03-28 | -7.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.64% | 2.58% | 2024-09-24 | -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 |
|---|---|---|---|---|---|
| ADBE | 2024-03-25 | 496.79 | 0.2082 | 0.5367 | no |
| ADI | 2024-03-25 | 183.81 | 0.1912 | 0.5664 | no |
| ADM | 2024-03-25 | 57.06 | 0.4422 | 0.4428 | no |
| AFL | 2024-03-25 | 79.94 | 0.3738 | 0.4754 | no |
| AIG | 2024-03-25 | 72.28 | 0.2702 | 0.4659 | no |
| ALGN | 2024-03-25 | 318.17 | 0.2790 | 0.5097 | no |
| ALL | 2024-03-25 | 158.59 | 0.2269 | 0.4469 | no |
| AMD | 2024-03-25 | 172.90 | 0.2647 | 0.5466 | no |
| ANET | 2024-03-25 | 75.62 | 0.2204 | 0.5266 | no |
| APA | 2024-03-25 | 30.45 | 0.1982 | 0.5515 | no |
| APD | 2024-03-25 | 221.11 | 0.2634 | 0.4747 | no |
| AVY | 2024-03-25 | 205.27 | 0.2286 | 0.5085 | no |
| BF.B | 2024-03-25 | 47.62 | 0.2221 | — | no |
| BIIB | 2024-03-25 | 217.77 | 0.3474 | 0.6125 | no |
| BIO | 2024-03-25 | 350.06 | 0.1962 | 0.4753 | no |
| C | 2024-03-25 | 56.81 | 0.1905 | 0.4767 | no |
| CCI | 2024-03-25 | 90.00 | 0.2876 | 0.4656 | no |
| COF | 2024-03-25 | 135.16 | 0.2442 | 0.4401 | no |
| CPRT | 2024-03-25 | 57.41 | 0.2334 | 0.4440 | no |
| DAL | 2024-03-25 | 44.22 | 0.2534 | 0.4510 | no |
| DD | 2024-03-25 | 90.45 | 0.5276 | 0.4786 | no |
| ECL | 2024-03-25 | 223.55 | 0.2690 | 0.4847 | no |
| EFX | 2024-03-25 | 258.38 | 0.1940 | 0.4825 | no |
| ELV | 2024-03-25 | 492.54 | 0.1940 | 0.4681 | no |
| EMR | 2024-03-25 | 107.72 | 0.3005 | 0.5050 | no |
| EQT | 2024-03-25 | 33.33 | 0.3315 | 0.4403 | no |
| EXC | 2024-03-25 | 33.48 | 0.2777 | 0.4832 | no |
| EXR | 2024-03-25 | 126.97 | 0.2402 | 0.4374 | no |
| FANG | 2024-03-25 | 182.18 | 0.2236 | 0.5389 | no |
| GE | 2024-03-25 | 137.32 | 0.2505 | 0.5018 | no |
| HSIC | 2024-03-25 | 73.29 | 0.2644 | 0.4850 | no |
| IT | 2024-03-25 | 477.61 | 0.2082 | 0.4905 | no |
| JCI | 2024-03-25 | 62.01 | 0.4640 | 0.5130 | no |
| KO | 2024-03-25 | 56.37 | 0.2166 | 0.4404 | no |
| LIN | 2024-03-25 | 452.34 | 0.2770 | 0.4795 | no |
| MET | 2024-03-25 | 67.45 | 0.2779 | 0.4551 | no |
| MLM | 2024-03-25 | 599.16 | 0.3239 | 0.5169 | no |
| MMM | 2024-03-25 | 84.20 | 0.6162 | 0.5194 | no |
| MOS | 2024-03-25 | 28.90 | 0.3522 | 0.4459 | no |
| MSI | 2024-03-25 | 338.38 | 0.3670 | 0.5520 | no |
| MTB | 2024-03-25 | 132.48 | 0.2072 | 0.4601 | no |
| PRU | 2024-03-25 | 101.50 | 0.1928 | 0.4625 | no |
| QCOM | 2024-03-25 | 159.36 | 0.2201 | 0.5476 | no |
| RVTY | 2024-03-25 | 102.66 | 0.2296 | 0.4363 | no |
| SNPS | 2024-03-25 | 586.90 | 0.2731 | 0.5786 | no |
| SYY | 2024-03-25 | 76.31 | 0.2414 | 0.4846 | no |
| TFX | 2024-03-25 | 215.38 | 0.2665 | 0.4966 | no |
| TRV | 2024-03-25 | 215.99 | 0.2916 | 0.4591 | no |
| TYL | 2024-03-25 | 417.82 | 0.2526 | 0.4921 | no |
| XEL | 2024-03-25 | 48.47 | 0.2147 | 0.4580 | no |