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 | -0.01% | 0.18% | 2024-05-15 | -5.39% |
| buy & hold | participation factor overlay | 6 months | complete | 6.26% | 6.90% | 2024-09-30 | -6.59% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.91% | 0.45% | 2024-04-09 | -5.75% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.62% | 7.24% | 2024-09-30 | -6.18% |
| weekly rebalance | participation factor overlay | 3 months | complete | -3.59% | 0.14% | 2024-04-09 | -5.50% |
| weekly rebalance | participation factor overlay | 6 months | complete | 7.28% | 8.64% | 2024-09-27 | -5.50% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -4.84% | 0.45% | 2024-04-09 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.51% | 6.13% | 2024-09-27 | -5.56% |
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 |
|---|---|---|---|---|---|
| ADI | 2024-04-08 | 187.49 | 0.4517 | 0.5682 | no |
| ADM | 2024-04-08 | 58.55 | 0.6830 | 0.4461 | no |
| ADSK | 2024-04-08 | 244.76 | 0.2746 | 0.5443 | no |
| AFL | 2024-04-08 | 81.04 | 0.2442 | 0.4851 | no |
| AIZ | 2024-04-08 | 173.20 | 0.2463 | 0.4458 | no |
| AJG | 2024-04-08 | 237.88 | 0.3377 | 0.4566 | no |
| ALL | 2024-04-08 | 165.05 | 0.3313 | 0.4531 | no |
| AMGN | 2024-04-08 | 250.19 | 0.2255 | 0.5813 | no |
| APD | 2024-04-08 | 226.09 | 0.2828 | 0.4804 | no |
| APH | 2024-04-08 | 29.03 | 0.2950 | 0.4878 | no |
| C | 2024-04-08 | 57.53 | 0.2780 | 0.4738 | no |
| CDNS | 2024-04-08 | 309.05 | 0.2809 | 0.5960 | no |
| COF | 2024-04-08 | 138.67 | 0.2435 | 0.4417 | no |
| CTAS | 2024-04-08 | 164.83 | 0.4065 | 0.4678 | no |
| CVX | 2024-04-08 | 145.66 | 0.2659 | 0.5959 | no |
| DAL | 2024-04-08 | 45.04 | 0.3522 | 0.4617 | no |
| DD | 2024-04-08 | 90.54 | 0.4007 | 0.4870 | no |
| DE | 2024-04-08 | 400.65 | 0.4719 | 0.5059 | no |
| EFX | 2024-04-08 | 251.60 | 0.2982 | 0.4728 | no |
| EMR | 2024-04-08 | 110.01 | 0.2190 | 0.5169 | no |
| EOG | 2024-04-08 | 125.66 | 0.2965 | 0.5719 | no |
| EPAM | 2024-04-08 | 265.91 | 0.3071 | 0.4521 | no |
| EW | 2024-04-08 | 92.61 | 0.2843 | 0.4623 | no |
| EXR | 2024-04-08 | 132.16 | 0.2252 | 0.4343 | no |
| FDX | 2024-04-08 | 210.70 | 0.2885 | 0.4804 | no |
| GILD | 2024-04-08 | 64.04 | 0.4347 | 0.5668 | no |
| HSIC | 2024-04-08 | 72.37 | 0.2604 | 0.4873 | no |
| JCI | 2024-04-08 | 63.59 | 0.2938 | 0.5212 | no |
| KR | 2024-04-08 | 52.95 | 0.3544 | 0.5670 | no |
| L | 2024-04-08 | 76.21 | 0.2198 | — | no |
| LHX | 2024-04-08 | 200.10 | 0.3564 | 0.5423 | no |
| MDLZ | 2024-04-08 | 63.48 | 0.3144 | 0.4531 | no |
| MHK | 2024-04-08 | 123.25 | 0.2669 | 0.5211 | no |
| MSI | 2024-04-08 | 342.87 | 0.2480 | 0.5515 | no |
| NOW | 2024-04-08 | 156.67 | 0.2598 | 0.5233 | no |
| NRG | 2024-04-08 | 69.55 | 0.2520 | 0.4607 | no |
| NSC | 2024-04-08 | 238.38 | 0.2858 | 0.4963 | no |
| NVDA | 2024-04-08 | 88.45 | 0.3554 | 0.5615 | no |
| PARA | 2024-04-08 | 4291.16 | 0.4082 | — | no |
| PRU | 2024-04-08 | 102.59 | 0.2852 | 0.4745 | no |
| PTC | 2024-04-08 | 185.42 | 0.3426 | 0.5415 | no |
| ROK | 2024-04-08 | 269.56 | 0.2723 | 0.5220 | no |
| SNPS | 2024-04-08 | 575.40 | 0.2332 | 0.5772 | no |
| SPG | 2024-04-08 | 133.35 | 0.3944 | 0.4432 | no |
| SWKS | 2024-04-08 | 94.63 | 0.3934 | 0.5518 | no |
| SYK | 2024-04-08 | 343.02 | 0.2812 | 0.4879 | no |
| TRV | 2024-04-08 | 221.64 | 0.4867 | 0.4620 | no |
| TYL | 2024-04-08 | 416.25 | 0.3844 | 0.4916 | no |
| WDC | 2024-04-08 | 56.41 | 0.3013 | 0.5474 | no |
| ZBRA | 2024-04-08 | 295.11 | 0.3274 | 0.4609 | no |