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 | -0.48% | 0.00% | 2024-04-08 | -4.82% |
| buy & hold | participation factor overlay | 6 months | complete | 6.17% | 6.36% | 2024-09-30 | -5.52% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.60% | 0.23% | 2024-04-09 | -5.07% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 6.09% | 6.38% | 2024-09-30 | -5.84% |
| weekly rebalance | participation factor overlay | 3 months | complete | -4.49% | 0.00% | 2024-04-08 | -5.67% |
| weekly rebalance | participation factor overlay | 6 months | complete | 5.90% | 6.78% | 2024-10-04 | -6.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -5.25% | 0.23% | 2024-04-09 | -5.90% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 2.99% | 3.96% | 2024-09-27 | -7.56% |
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 |
|---|---|---|---|---|---|
| ACGL | 2024-04-08 | 90.17 | 0.2073 | 0.4572 | no |
| ADI | 2024-04-08 | 187.49 | 0.2989 | 0.5682 | no |
| ADM | 2024-04-08 | 58.55 | 0.7847 | 0.4461 | no |
| AJG | 2024-04-08 | 237.88 | 0.3776 | 0.4566 | no |
| ALGN | 2024-04-08 | 318.91 | 0.2264 | 0.5097 | no |
| ALL | 2024-04-08 | 165.05 | 0.2736 | 0.4531 | no |
| AMGN | 2024-04-08 | 250.19 | 0.3335 | 0.5813 | no |
| AMT | 2024-04-08 | 174.22 | 0.2696 | 0.4427 | no |
| APD | 2024-04-08 | 226.09 | 0.2149 | 0.4804 | no |
| APH | 2024-04-08 | 29.03 | 0.2782 | 0.4878 | no |
| BA | 2024-04-08 | 182.14 | 0.2314 | 0.5074 | no |
| CDNS | 2024-04-08 | 309.05 | 0.2844 | 0.5960 | no |
| CI | 2024-04-08 | 343.53 | 0.2973 | 0.4644 | no |
| COR | 2024-04-08 | 237.33 | 0.3469 | 0.4369 | no |
| CTAS | 2024-04-08 | 164.83 | 0.5159 | 0.4678 | no |
| CTVA | 2024-04-08 | 55.66 | 0.2510 | 0.4806 | no |
| DAL | 2024-04-08 | 45.04 | 0.3785 | 0.4617 | no |
| DD | 2024-04-08 | 90.54 | 0.4413 | 0.4870 | no |
| DE | 2024-04-08 | 400.65 | 0.5041 | 0.5059 | no |
| DHR | 2024-04-08 | 241.22 | 0.2926 | 0.4440 | no |
| EFX | 2024-04-08 | 251.60 | 0.2675 | 0.4728 | no |
| EMR | 2024-04-08 | 110.01 | 0.2614 | 0.5169 | no |
| EOG | 2024-04-08 | 125.66 | 0.2277 | 0.5719 | no |
| EPAM | 2024-04-08 | 265.91 | 0.2557 | 0.4521 | no |
| FDX | 2024-04-08 | 210.70 | 0.3294 | 0.4804 | no |
| FFIV | 2024-04-08 | 191.82 | 0.2351 | 0.5221 | no |
| HAL | 2024-04-08 | 39.07 | 0.3370 | 0.4579 | no |
| HIG | 2024-04-08 | 98.93 | 0.2104 | 0.4536 | no |
| HSIC | 2024-04-08 | 72.37 | 0.3174 | 0.4873 | no |
| JCI | 2024-04-08 | 63.59 | 0.3607 | 0.5212 | no |
| LMT | 2024-04-08 | 427.08 | 0.2129 | 0.5129 | no |
| MET | 2024-04-08 | 68.52 | 0.3340 | 0.4626 | no |
| MGM | 2024-04-08 | 46.75 | 0.3112 | 0.4454 | no |
| MKTX | 2024-04-08 | 219.29 | 0.3038 | 0.5021 | no |
| MSI | 2024-04-08 | 342.87 | 0.2518 | 0.5515 | no |
| NSC | 2024-04-08 | 238.38 | 0.2411 | 0.4963 | no |
| NVDA | 2024-04-08 | 88.45 | 0.2510 | 0.5615 | no |
| ORCL | 2024-04-08 | 121.57 | 0.2381 | 0.5431 | no |
| ROK | 2024-04-08 | 269.56 | 0.3275 | 0.5220 | no |
| ROL | 2024-04-08 | 43.79 | 0.2390 | 0.4906 | no |
| RSG | 2024-04-08 | 183.03 | 0.2259 | 0.4896 | no |
| SNA | 2024-04-08 | 275.04 | 0.2217 | 0.4693 | no |
| SNPS | 2024-04-08 | 575.40 | 0.2325 | 0.5772 | no |
| SPG | 2024-04-08 | 133.35 | 0.4212 | 0.4432 | no |
| TRV | 2024-04-08 | 221.64 | 0.3758 | 0.4620 | no |
| TSCO | 2024-04-08 | 47.92 | 0.2839 | 0.5439 | no |
| TYL | 2024-04-08 | 416.25 | 0.2620 | 0.4916 | no |
| WDC | 2024-04-08 | 56.41 | 0.3117 | 0.5474 | no |
| WRB | 2024-04-08 | 54.78 | 0.2356 | 0.4662 | no |
| WST | 2024-04-08 | 391.42 | 0.3257 | 0.4703 | no |