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 | 2.11% | 2.25% | 2024-05-17 | -3.72% |
| buy & hold | participation factor overlay | 6 months | complete | 7.68% | 8.18% | 2024-10-14 | -6.27% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.77% | 1.88% | 2024-07-12 | -3.79% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.22% | 8.62% | 2024-10-14 | -7.00% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.30% | 1.43% | 2024-05-15 | -5.26% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.42% | 9.88% | 2024-10-14 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.10% | 1.52% | 2024-05-15 | -5.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.03% | 6.41% | 2024-10-14 | -7.24% |
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 |
|---|---|---|---|---|---|
| AAL | 2024-04-15 | 13.28 | 0.2642 | 0.4584 | no |
| AAPL | 2024-04-15 | 173.47 | 0.3931 | 0.5067 | no |
| ABBV | 2024-04-15 | 152.66 | 0.2604 | 0.5084 | no |
| ADM | 2024-04-15 | 56.37 | 0.6153 | 0.4562 | no |
| AMGN | 2024-04-15 | 250.61 | 0.1874 | 0.5681 | no |
| APH | 2024-04-15 | 28.14 | 0.2107 | 0.4895 | no |
| BA | 2024-04-15 | 170.74 | 0.3777 | 0.5093 | no |
| BEN | 2024-04-15 | 22.54 | 0.2415 | 0.4952 | no |
| CDNS | 2024-04-15 | 310.50 | 0.4369 | 0.5885 | no |
| CNP | 2024-04-15 | 25.93 | 0.3320 | 0.4515 | no |
| COF | 2024-04-15 | 136.76 | 0.2756 | 0.4437 | no |
| COP | 2024-04-15 | 122.42 | 0.2112 | 0.5459 | no |
| CTAS | 2024-04-15 | 166.05 | 0.3705 | 0.4679 | no |
| CVX | 2024-04-15 | 144.12 | 0.2327 | 0.6032 | no |
| EBAY | 2024-04-15 | 49.68 | 0.2328 | 0.5023 | no |
| FICO | 2024-04-15 | 1185.21 | 0.2362 | 0.5007 | no |
| FTNT | 2024-04-15 | 67.08 | 0.2586 | 0.5508 | no |
| GILD | 2024-04-15 | 63.32 | 0.2304 | 0.5619 | no |
| GLW | 2024-04-15 | 30.45 | 0.2231 | 0.4834 | no |
| GS | 2024-04-15 | 386.53 | 0.2282 | 0.4829 | no |
| HAL | 2024-04-15 | 37.64 | 0.2546 | 0.4631 | no |
| HSIC | 2024-04-15 | 71.33 | 0.2763 | 0.4826 | no |
| ISRG | 2024-04-15 | 392.25 | 0.4378 | 0.4809 | no |
| JBHT | 2024-04-15 | 182.34 | 0.2589 | 0.4917 | no |
| LHX | 2024-04-15 | 195.74 | 0.2636 | 0.5442 | no |
| MDLZ | 2024-04-15 | 62.80 | 0.1906 | 0.4478 | no |
| MMM | 2024-04-15 | 87.47 | 0.1964 | 0.5364 | no |
| MOS | 2024-04-15 | 28.96 | 0.4392 | 0.4553 | no |
| MPC | 2024-04-15 | 200.52 | 0.2726 | 0.5013 | no |
| NRG | 2024-04-15 | 71.77 | 0.2710 | 0.4601 | no |
| ON | 2024-04-15 | 67.85 | 0.1897 | 0.5408 | no |
| PARA | 2024-04-15 | 3596.40 | 0.5221 | — | no |
| PAYX | 2024-04-15 | 113.81 | 0.3792 | 0.4390 | no |
| PFE | 2024-04-15 | 21.98 | 0.1992 | 0.5466 | no |
| POOL | 2024-04-15 | 365.47 | 0.1838 | 0.5017 | no |
| RMD | 2024-04-15 | 183.53 | 0.1861 | 0.4516 | no |
| ROK | 2024-04-15 | 277.52 | 0.2304 | 0.5275 | no |
| ROST | 2024-04-15 | 134.80 | 0.2768 | 0.4342 | no |
| RTX | 2024-04-15 | 97.00 | 0.2951 | 0.5441 | no |
| SBUX | 2024-04-15 | 80.11 | 0.4334 | 0.4580 | no |
| SLB | 2024-04-15 | 49.30 | 0.1875 | 0.4688 | no |
| SMCI | 2024-04-15 | 91.20 | 0.3613 | 0.5049 | no |
| STT | 2024-04-15 | 71.52 | 0.2102 | 0.4690 | no |
| TRV | 2024-04-15 | 214.86 | 0.2537 | 0.4624 | no |
| TXT | 2024-04-15 | 94.83 | 0.1851 | 0.5260 | no |
| TYL | 2024-04-15 | 414.71 | 0.1809 | 0.4884 | no |
| UAL | 2024-04-15 | 42.15 | 0.2125 | 0.4846 | no |
| WDC | 2024-04-15 | 54.95 | 0.1911 | 0.5436 | no |
| WMT | 2024-04-15 | 59.05 | 0.3942 | 0.5720 | no |
| XRAY | 2024-04-15 | 29.36 | 0.1934 | 0.5057 | no |