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 | -1.91% | 0.00% | 2024-04-01 | -6.14% |
| buy & hold | participation factor overlay | 6 months | complete | 6.16% | 6.89% | 2024-09-30 | -6.14% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.63% | 0.00% | 2024-04-01 | -6.50% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.80% | 8.43% | 2024-09-30 | -6.50% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.49% | 0.00% | 2024-04-01 | -7.29% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.92% | 7.08% | 2024-09-27 | -7.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.16% | 0.00% | 2024-04-01 | -7.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.21% | 3.31% | 2024-09-27 | -7.63% |
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 |
|---|---|---|---|---|---|
| AAPL | 2024-04-01 | 169.34 | 0.2201 | 0.5099 | no |
| ADBE | 2024-04-01 | 504.99 | 0.3189 | 0.5356 | no |
| ADM | 2024-04-01 | 57.97 | 0.2712 | 0.4434 | no |
| AFL | 2024-04-01 | 81.48 | 0.2477 | 0.4761 | no |
| ALGN | 2024-04-01 | 327.01 | 0.1737 | 0.5094 | no |
| AMD | 2024-04-01 | 180.10 | 0.2626 | 0.5460 | no |
| AMGN | 2024-04-01 | 261.92 | 0.3503 | 0.5862 | no |
| APD | 2024-04-01 | 229.30 | 0.4124 | 0.4762 | no |
| BF.B | 2024-04-01 | 47.78 | 0.3021 | — | no |
| BIO | 2024-04-01 | 346.83 | 0.3882 | 0.4753 | no |
| BRK.B | 2024-04-01 | 421.49 | 0.1916 | — | no |
| C | 2024-04-01 | 59.34 | 0.1880 | 0.4762 | no |
| CAH | 2024-04-01 | 108.28 | 0.1872 | 0.4501 | no |
| CB | 2024-04-01 | 252.44 | 0.2210 | 0.4745 | no |
| CI | 2024-04-01 | 345.25 | 0.1700 | 0.4637 | no |
| CNP | 2024-04-01 | 26.77 | 0.2899 | 0.4524 | no |
| COST | 2024-04-01 | 721.61 | 0.1728 | 0.5676 | no |
| CTAS | 2024-04-01 | 167.76 | 0.3348 | 0.4706 | no |
| DAL | 2024-04-01 | 47.16 | 0.2830 | 0.4517 | no |
| DD | 2024-04-01 | 91.90 | 0.5408 | 0.4803 | no |
| ECL | 2024-04-01 | 224.50 | 0.1748 | 0.4858 | no |
| EFX | 2024-04-01 | 262.32 | 0.3291 | 0.4825 | no |
| EG | 2024-04-01 | 378.67 | 0.2497 | 0.4836 | no |
| EMR | 2024-04-01 | 108.62 | 0.2662 | 0.5067 | no |
| EOG | 2024-04-01 | 118.97 | 0.2302 | 0.5675 | no |
| FDX | 2024-04-01 | 217.79 | 0.4362 | 0.4807 | no |
| GD | 2024-04-01 | 274.19 | 0.1908 | 0.5420 | no |
| GE | 2024-04-01 | 138.06 | 0.4939 | 0.5018 | no |
| HPQ | 2024-04-01 | 27.22 | 0.2190 | 0.4828 | no |
| IRM | 2024-04-01 | 74.19 | 0.3375 | 0.4415 | no |
| JCI | 2024-04-01 | 63.51 | 0.2054 | 0.5153 | no |
| KO | 2024-04-01 | 57.02 | 0.3271 | 0.4408 | no |
| MET | 2024-04-01 | 68.89 | 0.3669 | 0.4561 | no |
| MGM | 2024-04-01 | 47.49 | 0.2001 | 0.4449 | no |
| MHK | 2024-04-01 | 130.81 | 0.1902 | 0.5230 | no |
| MMM | 2024-04-01 | 86.58 | 0.4244 | 0.5210 | no |
| NOC | 2024-04-01 | 458.75 | 0.2092 | 0.5229 | no |
| NVDA | 2024-04-01 | 90.04 | 0.3376 | 0.5603 | no |
| ORLY | 2024-04-01 | 75.21 | 0.2112 | 0.5689 | no |
| PARA | 2024-04-01 | 4994.10 | 0.2730 | — | no |
| QCOM | 2024-04-01 | 159.73 | 0.2276 | 0.5477 | no |
| ROK | 2024-04-01 | 279.74 | 0.2987 | 0.5123 | no |
| ROST | 2024-04-01 | 142.90 | 0.2279 | 0.4385 | no |
| RVTY | 2024-04-01 | 104.29 | 0.1753 | 0.4362 | no |
| SNPS | 2024-04-01 | 578.07 | 0.2494 | 0.5787 | no |
| TFX | 2024-04-01 | 220.46 | 0.2578 | 0.4942 | no |
| TRV | 2024-04-01 | 220.60 | 0.3200 | 0.4593 | no |
| TSN | 2024-04-01 | 53.75 | 0.1886 | 0.4536 | no |
| TXT | 2024-04-01 | 95.68 | 0.2119 | 0.5278 | no |
| WRB | 2024-04-01 | 55.45 | 0.1896 | 0.4629 | no |