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 | 2.35% | 2.35% | 2024-07-15 | -3.48% |
| buy & hold | participation factor overlay | 6 months | complete | 9.06% | 9.70% | 2024-10-14 | -5.18% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 2.37% | 2.37% | 2024-07-15 | -3.47% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.10% | 9.68% | 2024-10-14 | -5.46% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.66% | 0.21% | 2024-05-21 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 9.46% | 9.90% | 2024-10-14 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -1.37% | 0.43% | 2024-05-21 | -4.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.41% | 6.70% | 2024-10-14 | -6.71% |
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 | 0.4457 | 0.4584 | no |
| AAPL | 2024-04-15 | 173.47 | 0.3556 | 0.5067 | no |
| ABBV | 2024-04-15 | 152.66 | 0.2598 | 0.5084 | no |
| ADM | 2024-04-15 | 56.37 | 0.6295 | 0.4562 | no |
| AFL | 2024-04-15 | 76.94 | 0.2749 | 0.4655 | no |
| AIZ | 2024-04-15 | 169.56 | 0.1876 | 0.4404 | no |
| AMD | 2024-04-15 | 164.43 | 0.2377 | 0.5483 | no |
| AMGN | 2024-04-15 | 250.61 | 0.2736 | 0.5681 | no |
| APH | 2024-04-15 | 28.14 | 0.2823 | 0.4895 | no |
| BA | 2024-04-15 | 170.74 | 0.1750 | 0.5093 | no |
| CAT | 2024-04-15 | 361.09 | 0.2032 | 0.5077 | no |
| CCI | 2024-04-15 | 84.62 | 0.2574 | 0.4612 | no |
| CDNS | 2024-04-15 | 310.50 | 0.3570 | 0.5885 | no |
| CEG | 2024-04-15 | 191.21 | 0.2254 | 0.4445 | no |
| CNC | 2024-04-15 | 75.73 | 0.1810 | 0.4759 | no |
| CNP | 2024-04-15 | 25.93 | 0.1816 | 0.4515 | no |
| CSGP | 2024-04-15 | 91.58 | 0.2541 | 0.4505 | no |
| CSX | 2024-04-15 | 34.47 | 0.2092 | 0.5047 | no |
| CTAS | 2024-04-15 | 166.05 | 0.3322 | 0.4679 | no |
| CTVA | 2024-04-15 | 53.14 | 0.1992 | 0.4833 | no |
| DD | 2024-04-15 | 89.30 | 0.2324 | 0.4906 | no |
| DPZ | 2024-04-15 | 477.87 | 0.2116 | 0.4417 | no |
| EOG | 2024-04-15 | 124.57 | 0.3560 | 0.5756 | no |
| EPAM | 2024-04-15 | 261.11 | 0.1796 | 0.4454 | no |
| FTNT | 2024-04-15 | 67.08 | 0.2040 | 0.5508 | no |
| GLW | 2024-04-15 | 30.45 | 0.1817 | 0.4834 | no |
| GS | 2024-04-15 | 386.53 | 0.2229 | 0.4829 | no |
| HII | 2024-04-15 | 265.40 | 0.2047 | 0.5429 | no |
| ICE | 2024-04-15 | 130.76 | 0.2844 | 0.4964 | no |
| ISRG | 2024-04-15 | 392.25 | 0.5050 | 0.4809 | no |
| JBHT | 2024-04-15 | 182.34 | 0.3229 | 0.4917 | no |
| LHX | 2024-04-15 | 195.74 | 0.2630 | 0.5442 | no |
| MMM | 2024-04-15 | 87.47 | 0.2290 | 0.5364 | no |
| MOS | 2024-04-15 | 28.96 | 0.3156 | 0.4553 | no |
| ORLY | 2024-04-15 | 72.92 | 0.1815 | 0.5703 | no |
| PARA | 2024-04-15 | 3596.40 | 0.3355 | — | no |
| PAYX | 2024-04-15 | 113.81 | 0.3492 | 0.4390 | no |
| RHI | 2024-04-15 | 62.63 | 0.2812 | 0.4789 | no |
| RMD | 2024-04-15 | 183.53 | 0.2421 | 0.4516 | no |
| RTX | 2024-04-15 | 97.00 | 0.1968 | 0.5441 | no |
| SBUX | 2024-04-15 | 80.11 | 0.3297 | 0.4580 | no |
| SLB | 2024-04-15 | 49.30 | 0.2972 | 0.4688 | no |
| STX | 2024-04-15 | 83.08 | 0.3198 | 0.5426 | no |
| TRV | 2024-04-15 | 214.86 | 0.2444 | 0.4624 | no |
| TYL | 2024-04-15 | 414.71 | 0.2445 | 0.4884 | no |
| WDC | 2024-04-15 | 54.95 | 0.4209 | 0.5436 | no |
| WMB | 2024-04-15 | 35.24 | 0.1963 | 0.4391 | no |
| WMT | 2024-04-15 | 59.05 | 0.2470 | 0.5720 | no |
| ZBH | 2024-04-15 | 123.27 | 0.3356 | 0.4739 | no |
| ZBRA | 2024-04-15 | 292.32 | 0.1932 | 0.4640 | no |