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 | 0.22% | 1.62% | 2024-03-28 | -4.78% |
| buy & hold | participation factor overlay | 6 months | complete | 6.24% | 6.98% | 2024-09-24 | -5.70% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.69% | 2.01% | 2024-03-28 | -4.88% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.82% | 6.58% | 2024-09-24 | -5.56% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.81% | 1.62% | 2024-03-28 | -6.82% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.11% | 5.59% | 2024-09-24 | -7.72% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.13% | 2.01% | 2024-03-28 | -7.06% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.73% | 3.56% | 2024-09-24 | -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 |
|---|---|---|---|---|---|
| ADM | 2024-03-25 | 57.06 | 0.3829 | 0.4428 | no |
| AFL | 2024-03-25 | 79.94 | 0.3678 | 0.4754 | no |
| AIG | 2024-03-25 | 72.28 | 0.3911 | 0.4659 | no |
| AJG | 2024-03-25 | 240.66 | 0.1921 | 0.4531 | no |
| ALGN | 2024-03-25 | 318.17 | 0.4028 | 0.5097 | no |
| ANET | 2024-03-25 | 75.62 | 0.1733 | 0.5266 | no |
| APA | 2024-03-25 | 30.45 | 0.2635 | 0.5515 | no |
| APD | 2024-03-25 | 221.11 | 0.1758 | 0.4747 | no |
| AVY | 2024-03-25 | 205.27 | 0.2442 | 0.5085 | no |
| BRK.B | 2024-03-25 | 410.67 | 0.2000 | — | no |
| CAH | 2024-03-25 | 107.15 | 0.2104 | 0.4506 | no |
| CCI | 2024-03-25 | 90.00 | 0.3322 | 0.4656 | no |
| COF | 2024-03-25 | 135.16 | 0.2185 | 0.4401 | no |
| CPRT | 2024-03-25 | 57.41 | 0.2564 | 0.4440 | no |
| DAL | 2024-03-25 | 44.22 | 0.2336 | 0.4510 | no |
| DD | 2024-03-25 | 90.45 | 0.6024 | 0.4786 | no |
| EFX | 2024-03-25 | 258.38 | 0.2765 | 0.4825 | no |
| EG | 2024-03-25 | 367.80 | 0.1989 | 0.4837 | no |
| EMR | 2024-03-25 | 107.72 | 0.2936 | 0.5050 | no |
| EQT | 2024-03-25 | 33.33 | 0.3721 | 0.4403 | no |
| FANG | 2024-03-25 | 182.18 | 0.3549 | 0.5389 | no |
| GE | 2024-03-25 | 137.32 | 0.3447 | 0.5018 | no |
| GEN | 2024-03-25 | 21.12 | 0.1943 | 0.5683 | no |
| HAS | 2024-03-25 | 49.60 | 0.1779 | 0.4648 | no |
| HSIC | 2024-03-25 | 73.29 | 0.2292 | 0.4850 | no |
| IT | 2024-03-25 | 477.61 | 0.1860 | 0.4905 | no |
| JCI | 2024-03-25 | 62.01 | 0.4579 | 0.5130 | no |
| KO | 2024-03-25 | 56.37 | 0.3273 | 0.4404 | no |
| KR | 2024-03-25 | 53.63 | 0.2060 | 0.5682 | no |
| LIN | 2024-03-25 | 452.34 | 0.3027 | 0.4795 | no |
| MLM | 2024-03-25 | 599.16 | 0.3224 | 0.5169 | no |
| MMM | 2024-03-25 | 84.20 | 0.5418 | 0.5194 | no |
| MOS | 2024-03-25 | 28.90 | 0.3186 | 0.4459 | no |
| MSFT | 2024-03-25 | 417.12 | 0.2009 | 0.5139 | no |
| MSI | 2024-03-25 | 338.38 | 0.2796 | 0.5520 | no |
| NCLH | 2024-03-25 | 20.93 | 0.2038 | 0.4512 | no |
| OXY | 2024-03-25 | 61.08 | 0.1860 | 0.5601 | no |
| PODD | 2024-03-25 | 165.62 | 0.4216 | 0.4881 | no |
| ROK | 2024-03-25 | 272.71 | 0.2105 | 0.5099 | no |
| RVTY | 2024-03-25 | 102.66 | 0.2357 | 0.4363 | no |
| SNPS | 2024-03-25 | 586.90 | 0.3209 | 0.5786 | no |
| SWKS | 2024-03-25 | 96.09 | 0.2171 | 0.5487 | no |
| SYY | 2024-03-25 | 76.31 | 0.1775 | 0.4846 | no |
| TGT | 2024-03-25 | 155.03 | 0.2130 | 0.5009 | no |
| TSN | 2024-03-25 | 53.50 | 0.2559 | 0.4532 | no |
| TXT | 2024-03-25 | 95.61 | 0.2392 | 0.5291 | no |
| WRB | 2024-03-25 | 54.24 | 0.2675 | 0.4623 | no |
| XEL | 2024-03-25 | 48.47 | 0.2061 | 0.4580 | no |
| XYL | 2024-03-25 | 124.87 | 0.2012 | 0.4923 | no |
| ZBRA | 2024-03-25 | 291.40 | 0.1857 | 0.4580 | no |