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 | 3.58% | 5.02% | 2024-07-16 | -2.80% |
| buy & hold | participation factor overlay | 6 months | complete | 10.90% | 12.24% | 2024-10-18 | -6.09% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.82% | 6.83% | 2024-07-16 | -3.15% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 13.58% | 15.04% | 2024-10-16 | -4.69% |
| weekly rebalance | participation factor overlay | 3 months | complete | 2.53% | 3.53% | 2024-07-16 | -4.04% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.17% | 13.79% | 2024-10-18 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 2.38% | 3.58% | 2024-05-21 | -4.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.28% | 10.88% | 2024-10-18 | -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 |
|---|---|---|---|---|---|
| ADM | 2024-04-22 | 57.42 | 0.3469 | 0.4577 | no |
| AEE | 2024-04-22 | 68.47 | 0.2166 | 0.4667 | no |
| AIZ | 2024-04-22 | 168.35 | 0.2015 | 0.4391 | no |
| ALGN | 2024-04-22 | 300.87 | 0.2519 | 0.4955 | no |
| ALL | 2024-04-22 | 164.91 | 0.2334 | 0.4541 | no |
| APD | 2024-04-22 | 218.92 | 0.2348 | 0.4845 | no |
| AVY | 2024-04-22 | 201.26 | 0.2428 | 0.5138 | no |
| CB | 2024-04-22 | 244.69 | 0.1857 | 0.4805 | no |
| CCI | 2024-04-22 | 83.11 | 0.2205 | 0.4462 | no |
| CME | 2024-04-22 | 194.42 | 0.1756 | 0.5175 | no |
| CMS | 2024-04-22 | 54.90 | 0.3253 | 0.4554 | no |
| COF | 2024-04-22 | 138.97 | 0.1819 | 0.4425 | no |
| CSCO | 2024-04-22 | 45.85 | 0.2814 | 0.4963 | no |
| CZR | 2024-04-22 | 38.57 | 0.4129 | 0.4498 | no |
| DAL | 2024-04-22 | 46.48 | 0.1812 | 0.4641 | no |
| DD | 2024-04-22 | 88.26 | 0.2116 | 0.4908 | no |
| DTE | 2024-04-22 | 100.44 | 0.4494 | 0.4615 | no |
| DXCM | 2024-04-22 | 131.26 | 0.1798 | 0.4547 | no |
| EFX | 2024-04-22 | 215.74 | 0.3462 | 0.4849 | no |
| ETN | 2024-04-22 | 296.24 | 0.1848 | 0.5310 | no |
| EXPE | 2024-04-22 | 127.73 | 0.1714 | 0.4539 | no |
| FCX | 2024-04-22 | 46.88 | 0.1840 | 0.5267 | no |
| FE | 2024-04-22 | 34.37 | 0.3758 | 0.4589 | no |
| GE | 2024-04-22 | 146.88 | 0.1669 | 0.5099 | no |
| GEN | 2024-04-22 | 19.78 | 0.5669 | 0.5495 | no |
| HIG | 2024-04-22 | 95.45 | 0.3151 | 0.4550 | no |
| HRL | 2024-04-22 | 31.63 | 0.2082 | 0.4546 | no |
| HSIC | 2024-04-22 | 70.95 | 0.3414 | 0.4769 | no |
| HUBB | 2024-04-22 | 379.20 | 0.2262 | 0.5235 | no |
| KO | 2024-04-22 | 56.05 | 0.2000 | 0.4359 | no |
| LHX | 2024-04-22 | 197.28 | 0.3656 | 0.5432 | no |
| LLY | 2024-04-22 | 717.44 | 0.3913 | 0.4759 | no |
| MHK | 2024-04-22 | 109.35 | 0.2107 | 0.5243 | no |
| MOS | 2024-04-22 | 28.38 | 0.1895 | 0.4574 | no |
| MPC | 2024-04-22 | 186.90 | 0.3478 | 0.5081 | no |
| NCLH | 2024-04-22 | 18.48 | 0.2411 | 0.4553 | no |
| NOW | 2024-04-22 | 144.65 | 0.1789 | 0.5135 | no |
| NRG | 2024-04-22 | 67.83 | 0.2352 | 0.4623 | no |
| NVDA | 2024-04-22 | 77.88 | 0.3643 | 0.5562 | no |
| NXPI | 2024-04-22 | 209.21 | 0.3203 | 0.5330 | no |
| OXY | 2024-04-22 | 63.00 | 0.2531 | 0.5776 | no |
| PARA | 2024-04-22 | 3056.94 | 0.3564 | — | no |
| PFE | 2024-04-22 | 22.05 | 0.1936 | 0.5387 | no |
| RHI | 2024-04-22 | 61.75 | 0.1815 | 0.4764 | no |
| ROST | 2024-04-22 | 131.21 | 0.1957 | 0.4346 | no |
| RSG | 2024-04-22 | 185.93 | 0.3092 | 0.4904 | no |
| SBUX | 2024-04-22 | 82.62 | 0.2742 | 0.4563 | no |
| SYF | 2024-04-22 | 40.04 | 0.2347 | 0.4486 | no |
| TDY | 2024-04-22 | 403.63 | 0.1846 | 0.4741 | no |
| TT | 2024-04-22 | 284.96 | 0.2415 | 0.5213 | no |