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 | -1.96% | 0.80% | 2024-05-17 | -5.30% |
| buy & hold | participation factor overlay | 6 months | complete | 7.54% | 7.74% | 2024-09-30 | -5.30% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.75% | 0.93% | 2024-05-17 | -5.07% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.14% | 8.31% | 2024-09-30 | -5.07% |
| weekly rebalance | participation factor overlay | 3 months | complete | -6.24% | 0.00% | 2024-04-01 | -6.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.71% | 5.19% | 2024-09-27 | -7.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -7.12% | 0.00% | 2024-04-01 | -7.21% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 1.69% | 2.28% | 2024-09-27 | -8.84% |
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 |
|---|---|---|---|---|---|
| ADBE | 2024-04-01 | 504.99 | 0.2067 | 0.5356 | no |
| ADM | 2024-04-01 | 57.97 | 0.4509 | 0.4434 | no |
| AFL | 2024-04-01 | 81.48 | 0.3029 | 0.4761 | no |
| AMAT | 2024-04-01 | 202.91 | 0.2238 | 0.5833 | no |
| AMGN | 2024-04-01 | 261.92 | 0.2730 | 0.5862 | no |
| APD | 2024-04-01 | 229.30 | 0.3466 | 0.4762 | no |
| BEN | 2024-04-01 | 24.72 | 0.1773 | 0.4943 | no |
| BF.B | 2024-04-01 | 47.78 | 0.3425 | — | no |
| BIO | 2024-04-01 | 346.83 | 0.2406 | 0.4753 | no |
| CB | 2024-04-01 | 252.44 | 0.2168 | 0.4745 | no |
| CNP | 2024-04-01 | 26.77 | 0.2401 | 0.4524 | no |
| COST | 2024-04-01 | 721.61 | 0.2116 | 0.5676 | no |
| CTAS | 2024-04-01 | 167.76 | 0.3774 | 0.4706 | no |
| DAL | 2024-04-01 | 47.16 | 0.2385 | 0.4517 | no |
| DD | 2024-04-01 | 91.90 | 0.5811 | 0.4803 | no |
| DHR | 2024-04-01 | 246.33 | 0.3114 | 0.4456 | no |
| ECL | 2024-04-01 | 224.50 | 0.2731 | 0.4858 | no |
| EFX | 2024-04-01 | 262.32 | 0.3515 | 0.4825 | no |
| EG | 2024-04-01 | 378.67 | 0.3315 | 0.4836 | no |
| EMR | 2024-04-01 | 108.62 | 0.2587 | 0.5067 | no |
| EOG | 2024-04-01 | 118.97 | 0.2315 | 0.5675 | no |
| EQT | 2024-04-01 | 36.09 | 0.3214 | 0.4426 | no |
| FDX | 2024-04-01 | 217.79 | 0.2617 | 0.4807 | no |
| GE | 2024-04-01 | 138.06 | 0.4392 | 0.5018 | no |
| GILD | 2024-04-01 | 67.91 | 0.2550 | 0.5687 | no |
| HSIC | 2024-04-01 | 75.17 | 0.3034 | 0.4847 | no |
| HSY | 2024-04-01 | 182.19 | 0.1924 | 0.4435 | no |
| KO | 2024-04-01 | 57.02 | 0.2815 | 0.4408 | no |
| LMT | 2024-04-01 | 425.33 | 0.2014 | 0.5151 | no |
| LVS | 2024-04-01 | 49.69 | 0.1928 | 0.4450 | no |
| MET | 2024-04-01 | 68.89 | 0.3228 | 0.4561 | no |
| MMM | 2024-04-01 | 86.58 | 0.5313 | 0.5210 | no |
| MOS | 2024-04-01 | 30.23 | 0.2747 | 0.4466 | no |
| MS | 2024-04-01 | 87.79 | 0.2744 | 0.4636 | no |
| NOC | 2024-04-01 | 458.75 | 0.2423 | 0.5229 | no |
| OXY | 2024-04-01 | 62.22 | 0.1758 | 0.5631 | no |
| PG | 2024-04-01 | 151.39 | 0.2673 | 0.4382 | no |
| RSG | 2024-04-01 | 186.03 | 0.2173 | 0.4885 | no |
| SNA | 2024-04-01 | 276.63 | 0.3151 | 0.4689 | no |
| SO | 2024-04-01 | 65.81 | 0.2455 | 0.4433 | no |
| STE | 2024-04-01 | 218.82 | 0.2600 | 0.4415 | no |
| STX | 2024-04-01 | 89.28 | 0.3491 | 0.5452 | no |
| TFX | 2024-04-01 | 220.46 | 0.1834 | 0.4942 | no |
| TGT | 2024-04-01 | 163.03 | 0.3211 | 0.5016 | no |
| TRV | 2024-04-01 | 220.60 | 0.2933 | 0.4593 | no |
| TXT | 2024-04-01 | 95.68 | 0.1827 | 0.5278 | no |
| TYL | 2024-04-01 | 425.27 | 0.1907 | 0.4920 | no |
| WAT | 2024-04-01 | 345.15 | 0.1660 | 0.4446 | no |
| WRB | 2024-04-01 | 55.45 | 0.2427 | 0.4629 | no |
| XEL | 2024-04-01 | 49.46 | 0.2475 | 0.4583 | no |