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 | 1.64% | 3.14% | 2024-05-17 | -4.40% |
| buy & hold | participation factor overlay | 6 months | complete | 7.79% | 8.46% | 2024-09-23 | -5.23% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.60% | 3.14% | 2024-05-21 | -4.71% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.32% | 8.96% | 2024-09-24 | -5.22% |
| weekly rebalance | participation factor overlay | 3 months | complete | -2.65% | 1.77% | 2024-03-28 | -6.51% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.39% | 8.15% | 2024-09-24 | -6.51% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.40% | 1.74% | 2024-03-28 | -6.08% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.75% | 5.60% | 2024-09-24 | -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 |
|---|---|---|---|---|---|
| ADM | 2024-03-25 | 57.06 | 0.2457 | 0.4428 | no |
| AES | 2024-03-25 | 14.32 | 0.1771 | — | no |
| AFL | 2024-03-25 | 79.94 | 0.4558 | 0.4754 | no |
| AIG | 2024-03-25 | 72.28 | 0.2922 | 0.4659 | no |
| ALGN | 2024-03-25 | 318.17 | 0.3122 | 0.5097 | no |
| ALL | 2024-03-25 | 158.59 | 0.1764 | 0.4469 | no |
| APA | 2024-03-25 | 30.45 | 0.2286 | 0.5515 | no |
| AVY | 2024-03-25 | 205.27 | 0.2445 | 0.5085 | no |
| BG | 2024-03-25 | 92.45 | 0.2007 | 0.4409 | no |
| BIIB | 2024-03-25 | 217.77 | 0.3268 | 0.6125 | no |
| BRK.B | 2024-03-25 | 410.67 | 0.2492 | — | no |
| CAH | 2024-03-25 | 107.15 | 0.1990 | 0.4506 | no |
| CCI | 2024-03-25 | 90.00 | 0.2073 | 0.4656 | no |
| CNP | 2024-03-25 | 26.25 | 0.2795 | 0.4561 | no |
| COF | 2024-03-25 | 135.16 | 0.2434 | 0.4401 | no |
| COST | 2024-03-25 | 720.86 | 0.2258 | 0.5674 | no |
| CSGP | 2024-03-25 | 96.22 | 0.2283 | 0.4540 | no |
| CZR | 2024-03-25 | 41.33 | 0.1806 | 0.4513 | no |
| DAL | 2024-03-25 | 44.22 | 0.2594 | 0.4510 | no |
| DD | 2024-03-25 | 90.45 | 0.5938 | 0.4786 | no |
| ECL | 2024-03-25 | 223.55 | 0.3500 | 0.4847 | no |
| EMR | 2024-03-25 | 107.72 | 0.2574 | 0.5050 | no |
| EQT | 2024-03-25 | 33.33 | 0.2887 | 0.4403 | no |
| EXC | 2024-03-25 | 33.48 | 0.2830 | 0.4832 | no |
| FANG | 2024-03-25 | 182.18 | 0.2978 | 0.5389 | no |
| GE | 2024-03-25 | 137.32 | 0.2886 | 0.5018 | no |
| GEN | 2024-03-25 | 21.12 | 0.2104 | 0.5683 | no |
| GILD | 2024-03-25 | 67.24 | 0.3513 | 0.5695 | no |
| IT | 2024-03-25 | 477.61 | 0.1939 | 0.4905 | no |
| JCI | 2024-03-25 | 62.01 | 0.5307 | 0.5130 | no |
| KO | 2024-03-25 | 56.37 | 0.2215 | 0.4404 | no |
| LIN | 2024-03-25 | 452.34 | 0.2106 | 0.4795 | no |
| LYB | 2024-03-25 | 85.24 | 0.2329 | 0.4872 | no |
| MET | 2024-03-25 | 67.45 | 0.2747 | 0.4551 | no |
| MMM | 2024-03-25 | 84.20 | 0.5627 | 0.5194 | no |
| MSFT | 2024-03-25 | 417.12 | 0.1972 | 0.5139 | no |
| MSI | 2024-03-25 | 338.38 | 0.2256 | 0.5520 | no |
| PODD | 2024-03-25 | 165.62 | 0.3455 | 0.4881 | no |
| QCOM | 2024-03-25 | 159.36 | 0.2158 | 0.5476 | no |
| ROL | 2024-03-25 | 44.99 | 0.2923 | 0.4890 | no |
| RTX | 2024-03-25 | 91.42 | 0.2499 | 0.5466 | no |
| RVTY | 2024-03-25 | 102.66 | 0.2342 | 0.4363 | no |
| SNPS | 2024-03-25 | 586.90 | 0.3719 | 0.5786 | no |
| SPG | 2024-03-25 | 135.43 | 0.1909 | 0.4442 | no |
| TFX | 2024-03-25 | 215.38 | 0.1755 | 0.4966 | no |
| TGT | 2024-03-25 | 155.03 | 0.2003 | 0.5009 | no |
| TSN | 2024-03-25 | 53.50 | 0.1848 | 0.4532 | no |
| TXT | 2024-03-25 | 95.61 | 0.2152 | 0.5291 | no |
| XEL | 2024-03-25 | 48.47 | 0.2638 | 0.4580 | no |
| XYL | 2024-03-25 | 124.87 | 0.2567 | 0.4923 | no |