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 | -1.70% | 0.09% | 2024-05-17 | -5.79% |
| buy & hold | participation factor overlay | 6 months | complete | 6.32% | 7.16% | 2024-09-30 | -5.79% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.58% | 0.25% | 2024-05-17 | -5.70% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.23% | 7.98% | 2024-09-30 | -5.70% |
| weekly rebalance | participation factor overlay | 3 months | complete | -6.71% | 0.00% | 2024-04-01 | -7.39% |
| weekly rebalance | participation factor overlay | 6 months | complete | 3.88% | 4.97% | 2024-09-27 | -7.55% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.70% | 0.00% | 2024-04-01 | -7.49% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.77% | 1.82% | 2024-09-27 | -9.22% |
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 | 2024-04-01 | 15.42 | 0.2196 | 0.4503 | no |
| ADBE | 2024-04-01 | 504.99 | 0.2108 | 0.5356 | no |
| ADM | 2024-04-01 | 57.97 | 0.3923 | 0.4434 | no |
| ADSK | 2024-04-01 | 259.90 | 0.1871 | 0.5454 | no |
| AFL | 2024-04-01 | 81.48 | 0.1918 | 0.4761 | no |
| ALGN | 2024-04-01 | 327.01 | 0.1782 | 0.5094 | no |
| AMAT | 2024-04-01 | 202.91 | 0.2302 | 0.5833 | no |
| AMGN | 2024-04-01 | 261.92 | 0.2432 | 0.5862 | no |
| APD | 2024-04-01 | 229.30 | 0.2260 | 0.4762 | no |
| BF.B | 2024-04-01 | 47.78 | 0.2586 | — | no |
| BIO | 2024-04-01 | 346.83 | 0.2455 | 0.4753 | no |
| CB | 2024-04-01 | 252.44 | 0.3146 | 0.4745 | no |
| CNP | 2024-04-01 | 26.77 | 0.2323 | 0.4524 | no |
| COST | 2024-04-01 | 721.61 | 0.1797 | 0.5676 | no |
| CPRT | 2024-04-01 | 58.13 | 0.2187 | 0.4436 | no |
| CTAS | 2024-04-01 | 167.76 | 0.3493 | 0.4706 | no |
| CTVA | 2024-04-01 | 56.12 | 0.2893 | 0.4774 | no |
| DAL | 2024-04-01 | 47.16 | 0.2957 | 0.4517 | no |
| DD | 2024-04-01 | 91.90 | 0.6216 | 0.4803 | no |
| DHR | 2024-04-01 | 246.33 | 0.2853 | 0.4456 | no |
| DTE | 2024-04-01 | 104.01 | 0.2084 | 0.4594 | no |
| ECL | 2024-04-01 | 224.50 | 0.1783 | 0.4858 | no |
| EMR | 2024-04-01 | 108.62 | 0.2561 | 0.5067 | no |
| EOG | 2024-04-01 | 118.97 | 0.2955 | 0.5675 | no |
| FDX | 2024-04-01 | 217.79 | 0.3057 | 0.4807 | no |
| GE | 2024-04-01 | 138.06 | 0.3260 | 0.5018 | no |
| GILD | 2024-04-01 | 67.91 | 0.1954 | 0.5687 | no |
| HPQ | 2024-04-01 | 27.22 | 0.2677 | 0.4828 | no |
| HSIC | 2024-04-01 | 75.17 | 0.2304 | 0.4847 | no |
| HSY | 2024-04-01 | 182.19 | 0.1955 | 0.4435 | no |
| JCI | 2024-04-01 | 63.51 | 0.2456 | 0.5153 | no |
| KO | 2024-04-01 | 57.02 | 0.2338 | 0.4408 | no |
| LIN | 2024-04-01 | 451.11 | 0.2594 | 0.4816 | no |
| MET | 2024-04-01 | 68.89 | 0.2680 | 0.4561 | no |
| MMM | 2024-04-01 | 86.58 | 0.4260 | 0.5210 | no |
| MOS | 2024-04-01 | 30.23 | 0.2701 | 0.4466 | no |
| NVDA | 2024-04-01 | 90.04 | 0.3184 | 0.5603 | no |
| PG | 2024-04-01 | 151.39 | 0.1828 | 0.4382 | no |
| PNC | 2024-04-01 | 147.86 | 0.2249 | 0.4458 | no |
| PRU | 2024-04-01 | 103.91 | 0.2268 | 0.4635 | no |
| SNA | 2024-04-01 | 276.63 | 0.1861 | 0.4689 | no |
| SNPS | 2024-04-01 | 578.07 | 0.1817 | 0.5787 | no |
| TGT | 2024-04-01 | 163.03 | 0.2671 | 0.5016 | no |
| TRV | 2024-04-01 | 220.60 | 0.5191 | 0.4593 | no |
| TSCO | 2024-04-01 | 49.88 | 0.2181 | 0.5429 | no |
| TYL | 2024-04-01 | 425.27 | 0.2038 | 0.4920 | no |
| USB | 2024-04-01 | 40.50 | 0.2360 | 0.4606 | no |
| VRSN | 2024-04-01 | 185.44 | 0.3505 | 0.4798 | no |
| WAT | 2024-04-01 | 345.15 | 0.2121 | 0.4446 | no |
| WRB | 2024-04-01 | 55.45 | 0.2018 | 0.4629 | no |