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 | -1.72% | 0.00% | 2024-04-08 | -5.27% |
| buy & hold | participation factor overlay | 6 months | complete | 4.59% | 5.69% | 2024-09-30 | -5.78% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.21% | 0.41% | 2024-04-09 | -5.94% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.21% | 6.93% | 2024-09-30 | -6.90% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.75% | 0.00% | 2024-04-08 | -5.79% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.52% | 6.78% | 2024-09-27 | -5.96% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.68% | 0.41% | 2024-04-09 | -6.15% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.26% | 3.72% | 2024-09-27 | -7.91% |
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 |
|---|---|---|---|---|---|
| ACGL | 2024-04-08 | 90.17 | 0.3210 | 0.4572 | no |
| ADI | 2024-04-08 | 187.49 | 0.2445 | 0.5682 | no |
| ADM | 2024-04-08 | 58.55 | 0.7958 | 0.4461 | no |
| AFL | 2024-04-08 | 81.04 | 0.2795 | 0.4851 | no |
| AJG | 2024-04-08 | 237.88 | 0.3219 | 0.4566 | no |
| ALGN | 2024-04-08 | 318.91 | 0.2671 | 0.5097 | no |
| ALL | 2024-04-08 | 165.05 | 0.2365 | 0.4531 | no |
| APD | 2024-04-08 | 226.09 | 0.2456 | 0.4804 | no |
| APH | 2024-04-08 | 29.03 | 0.3177 | 0.4878 | no |
| BF.B | 2024-04-08 | 47.42 | 0.2047 | — | no |
| CDNS | 2024-04-08 | 309.05 | 0.3041 | 0.5960 | no |
| CTAS | 2024-04-08 | 164.83 | 0.4706 | 0.4678 | no |
| CTVA | 2024-04-08 | 55.66 | 0.3328 | 0.4806 | no |
| DD | 2024-04-08 | 90.54 | 0.3134 | 0.4870 | no |
| DE | 2024-04-08 | 400.65 | 0.3583 | 0.5059 | no |
| DHR | 2024-04-08 | 241.22 | 0.2095 | 0.4440 | no |
| DOV | 2024-04-08 | 171.83 | 0.2019 | 0.5190 | no |
| EFX | 2024-04-08 | 251.60 | 0.2972 | 0.4728 | no |
| EMR | 2024-04-08 | 110.01 | 0.2455 | 0.5169 | no |
| EPAM | 2024-04-08 | 265.91 | 0.3004 | 0.4521 | no |
| EW | 2024-04-08 | 92.61 | 0.2282 | 0.4623 | no |
| FFIV | 2024-04-08 | 191.82 | 0.2135 | 0.5221 | no |
| GILD | 2024-04-08 | 64.04 | 0.3247 | 0.5668 | no |
| JCI | 2024-04-08 | 63.59 | 0.3578 | 0.5212 | no |
| KR | 2024-04-08 | 52.95 | 0.2573 | 0.5670 | no |
| LHX | 2024-04-08 | 200.10 | 0.3544 | 0.5423 | no |
| LIN | 2024-04-08 | 448.14 | 0.2030 | 0.4873 | no |
| MDLZ | 2024-04-08 | 63.48 | 0.2463 | 0.4531 | no |
| MET | 2024-04-08 | 68.52 | 0.2169 | 0.4626 | no |
| MSFT | 2024-04-08 | 417.05 | 0.2561 | 0.5110 | no |
| MSI | 2024-04-08 | 342.87 | 0.2013 | 0.5515 | no |
| NSC | 2024-04-08 | 238.38 | 0.3621 | 0.4963 | no |
| NVDA | 2024-04-08 | 88.45 | 0.4624 | 0.5615 | no |
| ORLY | 2024-04-08 | 74.50 | 0.2061 | 0.5683 | no |
| PARA | 2024-04-08 | 4291.16 | 0.3059 | — | no |
| PAYX | 2024-04-08 | 111.55 | 0.2169 | 0.4396 | no |
| PRU | 2024-04-08 | 102.59 | 0.2991 | 0.4745 | no |
| ROK | 2024-04-08 | 269.56 | 0.2965 | 0.5220 | no |
| ROL | 2024-04-08 | 43.79 | 0.3288 | 0.4906 | no |
| SNA | 2024-04-08 | 275.04 | 0.2435 | 0.4693 | no |
| SPG | 2024-04-08 | 133.35 | 0.4188 | 0.4432 | no |
| STX | 2024-04-08 | 87.53 | 0.2662 | 0.5488 | no |
| TER | 2024-04-08 | 107.05 | 0.2348 | 0.5751 | no |
| TRV | 2024-04-08 | 221.64 | 0.2748 | 0.4620 | no |
| TXT | 2024-04-08 | 96.77 | 0.2346 | 0.5244 | no |
| TYL | 2024-04-08 | 416.25 | 0.2839 | 0.4916 | no |
| USB | 2024-04-08 | 39.33 | 0.2084 | 0.4596 | no |
| WRB | 2024-04-08 | 54.78 | 0.2072 | 0.4662 | no |
| WST | 2024-04-08 | 391.42 | 0.2182 | 0.4703 | no |
| ZBH | 2024-04-08 | 124.55 | 0.2519 | 0.4700 | no |