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 | 0.66% | 0.71% | 2024-05-17 | -3.61% |
| buy & hold | participation factor overlay | 6 months | complete | 5.40% | 5.90% | 2024-10-14 | -5.32% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 1.53% | 1.58% | 2024-07-12 | -3.66% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.83% | 6.51% | 2024-09-30 | -6.44% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.60% | 1.44% | 2024-05-15 | -3.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.47% | 12.23% | 2024-10-14 | -3.95% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.67% | 1.52% | 2024-05-15 | -4.83% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.89% | 8.19% | 2024-10-14 | -5.03% |
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 | 0.1913 | 0.4584 | no |
| AAPL | 2024-04-15 | 173.47 | 0.3555 | 0.5067 | no |
| ABBV | 2024-04-15 | 152.66 | 0.2331 | 0.5084 | no |
| ADM | 2024-04-15 | 56.37 | 0.5145 | 0.4562 | no |
| AIZ | 2024-04-15 | 169.56 | 0.1814 | 0.4404 | no |
| AMD | 2024-04-15 | 164.43 | 0.2855 | 0.5483 | no |
| AMGN | 2024-04-15 | 250.61 | 0.2410 | 0.5681 | no |
| APH | 2024-04-15 | 28.14 | 0.3843 | 0.4895 | no |
| BA | 2024-04-15 | 170.74 | 0.2458 | 0.5093 | no |
| BF.B | 2024-04-15 | 46.53 | 0.4077 | — | no |
| CCI | 2024-04-15 | 84.62 | 0.3060 | 0.4612 | no |
| CDNS | 2024-04-15 | 310.50 | 0.3153 | 0.5885 | no |
| COF | 2024-04-15 | 136.76 | 0.2590 | 0.4437 | no |
| CSGP | 2024-04-15 | 91.58 | 0.2849 | 0.4505 | no |
| CTAS | 2024-04-15 | 166.05 | 0.3640 | 0.4679 | no |
| DD | 2024-04-15 | 89.30 | 0.1734 | 0.4906 | no |
| DHR | 2024-04-15 | 239.07 | 0.1757 | 0.4439 | no |
| DTE | 2024-04-15 | 98.88 | 0.2069 | 0.4585 | no |
| EOG | 2024-04-15 | 124.57 | 0.2890 | 0.5756 | no |
| EPAM | 2024-04-15 | 261.11 | 0.2251 | 0.4454 | no |
| EXPE | 2024-04-15 | 129.70 | 0.2961 | 0.4488 | no |
| FTNT | 2024-04-15 | 67.08 | 0.2682 | 0.5508 | no |
| GLW | 2024-04-15 | 30.45 | 0.3078 | 0.4834 | no |
| HII | 2024-04-15 | 265.40 | 0.1852 | 0.5429 | no |
| HON | 2024-04-15 | 186.15 | 0.2238 | 0.5294 | no |
| HSIC | 2024-04-15 | 71.33 | 0.2430 | 0.4826 | no |
| INTU | 2024-04-15 | 617.44 | 0.2774 | 0.4839 | no |
| ISRG | 2024-04-15 | 392.25 | 0.2636 | 0.4809 | no |
| JBHT | 2024-04-15 | 182.34 | 0.2009 | 0.4917 | no |
| LHX | 2024-04-15 | 195.74 | 0.2367 | 0.5442 | no |
| MDLZ | 2024-04-15 | 62.80 | 0.1829 | 0.4478 | no |
| MMM | 2024-04-15 | 87.47 | 0.2399 | 0.5364 | no |
| MOS | 2024-04-15 | 28.96 | 0.2499 | 0.4553 | no |
| MPC | 2024-04-15 | 200.52 | 0.2536 | 0.5013 | no |
| NRG | 2024-04-15 | 71.77 | 0.2642 | 0.4601 | no |
| PARA | 2024-04-15 | 3596.40 | 0.6022 | — | no |
| PAYX | 2024-04-15 | 113.81 | 0.2056 | 0.4390 | no |
| POOL | 2024-04-15 | 365.47 | 0.2907 | 0.5017 | no |
| QCOM | 2024-04-15 | 165.42 | 0.2270 | 0.5436 | no |
| ROK | 2024-04-15 | 277.52 | 0.2605 | 0.5275 | no |
| ROST | 2024-04-15 | 134.80 | 0.3129 | 0.4342 | no |
| RTX | 2024-04-15 | 97.00 | 0.2694 | 0.5441 | no |
| SBUX | 2024-04-15 | 80.11 | 0.3452 | 0.4580 | no |
| TRV | 2024-04-15 | 214.86 | 0.2056 | 0.4624 | no |
| TSN | 2024-04-15 | 53.40 | 0.2192 | 0.4526 | no |
| TYL | 2024-04-15 | 414.71 | 0.2737 | 0.4884 | no |
| VLO | 2024-04-15 | 162.83 | 0.2033 | 0.4802 | no |
| WDC | 2024-04-15 | 54.95 | 0.5939 | 0.5436 | no |
| ZBH | 2024-04-15 | 123.27 | 0.2137 | 0.4739 | no |
| ZBRA | 2024-04-15 | 292.32 | 0.2905 | 0.4640 | no |