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 | 2.12% | 2.59% | 2024-06-24 | -4.80% |
| buy & hold | participation factor overlay | 6 months | complete | 9.72% | 10.66% | 2024-09-30 | -5.26% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.85% | 2.36% | 2024-06-24 | -4.45% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.98% | 9.93% | 2024-09-30 | -5.17% |
| weekly rebalance | participation factor overlay | 3 months | complete | -5.18% | 0.00% | 2024-04-01 | -6.63% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.19% | 7.19% | 2024-09-27 | -6.63% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -6.37% | 0.00% | 2024-04-01 | -6.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 3.57% | 4.74% | 2024-09-27 | -6.37% |
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 | 0.1775 | 0.4503 | no |
| AAPL | 2024-04-01 | 169.34 | 0.2364 | 0.5099 | no |
| ADBE | 2024-04-01 | 504.99 | 0.2106 | 0.5356 | no |
| ADM | 2024-04-01 | 57.97 | 0.2707 | 0.4434 | no |
| AFL | 2024-04-01 | 81.48 | 0.2122 | 0.4761 | no |
| ALL | 2024-04-01 | 164.83 | 0.2627 | 0.4477 | no |
| AMAT | 2024-04-01 | 202.91 | 0.2355 | 0.5833 | no |
| AMGN | 2024-04-01 | 261.92 | 0.1975 | 0.5862 | no |
| APD | 2024-04-01 | 229.30 | 0.4746 | 0.4762 | no |
| BF.B | 2024-04-01 | 47.78 | 0.3295 | — | no |
| CB | 2024-04-01 | 252.44 | 0.3002 | 0.4745 | no |
| CNP | 2024-04-01 | 26.77 | 0.3962 | 0.4524 | no |
| COST | 2024-04-01 | 721.61 | 0.3540 | 0.5676 | no |
| CTAS | 2024-04-01 | 167.76 | 0.4143 | 0.4706 | no |
| DAL | 2024-04-01 | 47.16 | 0.2619 | 0.4517 | no |
| DD | 2024-04-01 | 91.90 | 0.5325 | 0.4803 | no |
| EFX | 2024-04-01 | 262.32 | 0.1856 | 0.4825 | no |
| EMR | 2024-04-01 | 108.62 | 0.2475 | 0.5067 | no |
| EOG | 2024-04-01 | 118.97 | 0.2001 | 0.5675 | no |
| FDX | 2024-04-01 | 217.79 | 0.3399 | 0.4807 | no |
| GE | 2024-04-01 | 138.06 | 0.4093 | 0.5018 | no |
| GILD | 2024-04-01 | 67.91 | 0.4377 | 0.5687 | no |
| HPQ | 2024-04-01 | 27.22 | 0.1785 | 0.4828 | no |
| IQV | 2024-04-01 | 253.33 | 0.2364 | 0.4928 | no |
| IRM | 2024-04-01 | 74.19 | 0.1896 | 0.4415 | no |
| KO | 2024-04-01 | 57.02 | 0.2344 | 0.4408 | no |
| LMT | 2024-04-01 | 425.33 | 0.1870 | 0.5151 | no |
| MET | 2024-04-01 | 68.89 | 0.2943 | 0.4561 | no |
| MMM | 2024-04-01 | 86.58 | 0.4675 | 0.5210 | no |
| MOS | 2024-04-01 | 30.23 | 0.2045 | 0.4466 | no |
| MPWR | 2024-04-01 | 666.16 | 0.2254 | 0.5313 | no |
| NFLX | 2024-04-01 | 60.80 | 0.2136 | — | no |
| NVDA | 2024-04-01 | 90.04 | 0.2754 | 0.5603 | no |
| OXY | 2024-04-01 | 62.22 | 0.3592 | 0.5631 | no |
| PTC | 2024-04-01 | 189.09 | 0.2055 | 0.5404 | no |
| QCOM | 2024-04-01 | 159.73 | 0.2437 | 0.5477 | no |
| QRVO | 2024-04-01 | 115.21 | 0.1935 | — | no |
| ROP | 2024-04-01 | 552.68 | 0.2728 | 0.4757 | no |
| RSG | 2024-04-01 | 186.03 | 0.2198 | 0.4885 | no |
| RVTY | 2024-04-01 | 104.29 | 0.2195 | 0.4362 | no |
| STE | 2024-04-01 | 218.82 | 0.2071 | 0.4415 | no |
| TFX | 2024-04-01 | 220.46 | 0.2464 | 0.4942 | no |
| TGT | 2024-04-01 | 163.03 | 0.2608 | 0.5016 | no |
| TJX | 2024-04-01 | 97.88 | 0.2437 | 0.4536 | no |
| TRV | 2024-04-01 | 220.60 | 0.4371 | 0.4593 | no |
| TSCO | 2024-04-01 | 49.88 | 0.1896 | 0.5429 | no |
| TSN | 2024-04-01 | 53.75 | 0.1988 | 0.4536 | no |
| TYL | 2024-04-01 | 425.27 | 0.1785 | 0.4920 | no |
| VRSN | 2024-04-01 | 185.44 | 0.1812 | 0.4798 | no |
| ZBRA | 2024-04-01 | 302.59 | 0.2024 | 0.4590 | no |