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 | -0.93% | 1.83% | 2024-03-28 | -5.62% |
| buy & hold | participation factor overlay | 6 months | complete | 4.27% | 5.21% | 2024-09-24 | -5.62% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.47% | 2.00% | 2024-03-28 | -6.34% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.48% | 6.35% | 2024-09-24 | -6.34% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.05% | 1.83% | 2024-03-28 | -7.17% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.49% | 8.17% | 2024-09-24 | -7.17% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.05% | 2.00% | 2024-03-28 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.56% | 4.44% | 2024-09-24 | -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 |
|---|---|---|---|---|---|
| ADBE | 2024-03-25 | 496.79 | 0.2186 | 0.5367 | no |
| ADI | 2024-03-25 | 183.81 | 0.2244 | 0.5664 | no |
| ADM | 2024-03-25 | 57.06 | 0.2562 | 0.4428 | no |
| AFL | 2024-03-25 | 79.94 | 0.3549 | 0.4754 | no |
| AIG | 2024-03-25 | 72.28 | 0.3879 | 0.4659 | no |
| ALGN | 2024-03-25 | 318.17 | 0.2097 | 0.5097 | no |
| ALL | 2024-03-25 | 158.59 | 0.1933 | 0.4469 | no |
| AMD | 2024-03-25 | 172.90 | 0.2533 | 0.5466 | no |
| APA | 2024-03-25 | 30.45 | 0.1812 | 0.5515 | no |
| APD | 2024-03-25 | 221.11 | 0.2995 | 0.4747 | no |
| BF.B | 2024-03-25 | 47.62 | 0.3022 | — | no |
| BIIB | 2024-03-25 | 217.77 | 0.3260 | 0.6125 | no |
| BRK.B | 2024-03-25 | 410.67 | 0.3044 | — | no |
| CAH | 2024-03-25 | 107.15 | 0.1908 | 0.4506 | no |
| CCI | 2024-03-25 | 90.00 | 0.3198 | 0.4656 | no |
| CNP | 2024-03-25 | 26.25 | 0.2194 | 0.4561 | no |
| COF | 2024-03-25 | 135.16 | 0.3847 | 0.4401 | no |
| CPRT | 2024-03-25 | 57.41 | 0.2672 | 0.4440 | no |
| CSGP | 2024-03-25 | 96.22 | 0.2196 | 0.4540 | no |
| DAL | 2024-03-25 | 44.22 | 0.2553 | 0.4510 | no |
| DD | 2024-03-25 | 90.45 | 0.6099 | 0.4786 | no |
| DLTR | 2024-03-25 | 126.47 | 0.2262 | 0.5799 | no |
| ECL | 2024-03-25 | 223.55 | 0.2770 | 0.4847 | no |
| EFX | 2024-03-25 | 258.38 | 0.2482 | 0.4825 | no |
| EPAM | 2024-03-25 | 270.06 | 0.2500 | 0.4531 | no |
| EQT | 2024-03-25 | 33.33 | 0.2002 | 0.4403 | no |
| EXC | 2024-03-25 | 33.48 | 0.2421 | 0.4832 | no |
| FANG | 2024-03-25 | 182.18 | 0.1817 | 0.5389 | no |
| GD | 2024-03-25 | 267.72 | 0.2330 | 0.5407 | no |
| GE | 2024-03-25 | 137.32 | 0.3991 | 0.5018 | no |
| GEN | 2024-03-25 | 21.12 | 0.2393 | 0.5683 | no |
| GILD | 2024-03-25 | 67.24 | 0.2288 | 0.5695 | no |
| IT | 2024-03-25 | 477.61 | 0.2162 | 0.4905 | no |
| JCI | 2024-03-25 | 62.01 | 0.4508 | 0.5130 | no |
| KO | 2024-03-25 | 56.37 | 0.2651 | 0.4404 | no |
| MET | 2024-03-25 | 67.45 | 0.2310 | 0.4551 | no |
| MLM | 2024-03-25 | 599.16 | 0.2594 | 0.5169 | no |
| MMM | 2024-03-25 | 84.20 | 0.5227 | 0.5194 | no |
| MOS | 2024-03-25 | 28.90 | 0.2994 | 0.4459 | no |
| MSI | 2024-03-25 | 338.38 | 0.1957 | 0.5520 | no |
| NVDA | 2024-03-25 | 93.67 | 0.3176 | 0.5641 | no |
| PARA | 2024-03-25 | 4879.66 | 0.2373 | — | no |
| PODD | 2024-03-25 | 165.62 | 0.2736 | 0.4881 | no |
| ROK | 2024-03-25 | 272.71 | 0.4303 | 0.5099 | no |
| RVTY | 2024-03-25 | 102.66 | 0.1958 | 0.4363 | no |
| SWKS | 2024-03-25 | 96.09 | 0.1865 | 0.5487 | no |
| TJX | 2024-03-25 | 96.41 | 0.2060 | 0.4525 | no |
| TSN | 2024-03-25 | 53.50 | 0.2895 | 0.4532 | no |
| TXT | 2024-03-25 | 95.61 | 0.2869 | 0.5291 | no |
| XEL | 2024-03-25 | 48.47 | 0.2039 | 0.4580 | no |