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 | -3.97% | 0.06% | 2024-04-09 | -6.07% |
| buy & hold | participation factor overlay | 6 months | complete | 2.20% | 2.82% | 2024-09-30 | -6.07% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.64% | 0.28% | 2024-04-09 | -6.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 2.00% | 2.65% | 2024-09-30 | -6.11% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.54% | 0.06% | 2024-04-09 | -5.71% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.77% | 8.97% | 2024-09-27 | -5.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.71% | 0.28% | 2024-04-09 | -5.93% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.20% | 5.52% | 2024-09-27 | -5.93% |
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 |
|---|---|---|---|---|---|
| ABBV | 2024-04-08 | 155.56 | 0.2149 | 0.5224 | no |
| ACGL | 2024-04-08 | 90.17 | 0.2034 | 0.4572 | no |
| ADI | 2024-04-08 | 187.49 | 0.2636 | 0.5682 | no |
| ADM | 2024-04-08 | 58.55 | 0.7621 | 0.4461 | no |
| AFL | 2024-04-08 | 81.04 | 0.4018 | 0.4851 | no |
| AIZ | 2024-04-08 | 173.20 | 0.2065 | 0.4458 | no |
| AJG | 2024-04-08 | 237.88 | 0.4420 | 0.4566 | no |
| ALGN | 2024-04-08 | 318.91 | 0.2954 | 0.5097 | no |
| ALL | 2024-04-08 | 165.05 | 0.2181 | 0.4531 | no |
| APD | 2024-04-08 | 226.09 | 0.4135 | 0.4804 | no |
| AZO | 2024-04-08 | 3089.25 | 0.3074 | 0.5637 | no |
| BA | 2024-04-08 | 182.14 | 0.3169 | 0.5074 | no |
| BF.B | 2024-04-08 | 47.42 | 0.3728 | — | no |
| BIO | 2024-04-08 | 324.60 | 0.2236 | 0.4746 | no |
| C | 2024-04-08 | 57.53 | 0.2361 | 0.4738 | no |
| CDNS | 2024-04-08 | 309.05 | 0.2572 | 0.5960 | no |
| CI | 2024-04-08 | 343.53 | 0.2758 | 0.4644 | no |
| COR | 2024-04-08 | 237.33 | 0.2355 | 0.4369 | no |
| CPRT | 2024-04-08 | 56.59 | 0.2051 | 0.4434 | no |
| CTAS | 2024-04-08 | 164.83 | 0.4551 | 0.4678 | no |
| CVX | 2024-04-08 | 145.66 | 0.2245 | 0.5959 | no |
| DD | 2024-04-08 | 90.54 | 0.4001 | 0.4870 | no |
| DE | 2024-04-08 | 400.65 | 0.3743 | 0.5059 | no |
| EFX | 2024-04-08 | 251.60 | 0.1898 | 0.4728 | no |
| EMR | 2024-04-08 | 110.01 | 0.1993 | 0.5169 | no |
| EOG | 2024-04-08 | 125.66 | 0.2780 | 0.5719 | no |
| EPAM | 2024-04-08 | 265.91 | 0.3621 | 0.4521 | no |
| EXR | 2024-04-08 | 132.16 | 0.3554 | 0.4343 | no |
| FFIV | 2024-04-08 | 191.82 | 0.2998 | 0.5221 | no |
| HAL | 2024-04-08 | 39.07 | 0.3692 | 0.4579 | no |
| HSIC | 2024-04-08 | 72.37 | 0.2430 | 0.4873 | no |
| INTU | 2024-04-08 | 626.27 | 0.2047 | 0.4873 | no |
| JCI | 2024-04-08 | 63.59 | 0.3294 | 0.5212 | no |
| MGM | 2024-04-08 | 46.75 | 0.2781 | 0.4454 | no |
| MKTX | 2024-04-08 | 219.29 | 0.5018 | 0.5021 | no |
| MSFT | 2024-04-08 | 417.05 | 0.2623 | 0.5110 | no |
| NRG | 2024-04-08 | 69.55 | 0.2118 | 0.4607 | no |
| NSC | 2024-04-08 | 238.38 | 0.2766 | 0.4963 | no |
| NVDA | 2024-04-08 | 88.45 | 0.4641 | 0.5615 | no |
| ORLY | 2024-04-08 | 74.50 | 0.2241 | 0.5683 | no |
| PARA | 2024-04-08 | 4291.16 | 0.4881 | — | no |
| PRU | 2024-04-08 | 102.59 | 0.1971 | 0.4745 | no |
| ROK | 2024-04-08 | 269.56 | 0.4097 | 0.5220 | no |
| SBUX | 2024-04-08 | 81.58 | 0.1897 | 0.4580 | no |
| SPG | 2024-04-08 | 133.35 | 0.5206 | 0.4432 | no |
| SWKS | 2024-04-08 | 94.63 | 0.2079 | 0.5518 | no |
| TRV | 2024-04-08 | 221.64 | 0.3822 | 0.4620 | no |
| TXT | 2024-04-08 | 96.77 | 0.2138 | 0.5244 | no |
| TYL | 2024-04-08 | 416.25 | 0.3496 | 0.4916 | no |
| WST | 2024-04-08 | 391.42 | 0.3298 | 0.4703 | no |