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 | -2.05% | 1.74% | 2024-07-16 | -6.21% |
| buy & hold | participation factor overlay | 6 months | complete | 4.76% | 5.91% | 2024-10-18 | -6.21% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -2.19% | 1.52% | 2024-07-16 | -6.00% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.82% | 5.47% | 2024-10-14 | -6.00% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.96% | 1.21% | 2024-07-31 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.71% | 10.11% | 2024-10-18 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -3.19% | 1.36% | 2024-07-31 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.91% | 6.47% | 2024-10-18 | -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 |
|---|---|---|---|---|---|
| AEP | 2024-05-13 | 85.30 | 0.3844 | 0.4773 | no |
| AKAM | 2024-05-13 | 91.47 | 0.3078 | 0.4664 | no |
| ALGN | 2024-05-13 | 273.23 | 0.2995 | 0.4748 | no |
| AMCR | 2024-05-13 | 45.34 | 0.2786 | 0.4677 | no |
| AMD | 2024-05-13 | 151.28 | 0.6378 | 0.5479 | no |
| ANET | 2024-05-13 | 78.02 | 0.2117 | 0.4760 | no |
| AVY | 2024-05-13 | 215.34 | 0.2306 | 0.4643 | no |
| BAX | 2024-05-13 | 34.27 | 0.2553 | 0.4626 | no |
| BEN | 2024-05-13 | 21.02 | 0.3074 | 0.4856 | no |
| BIIB | 2024-05-13 | 223.00 | 0.3705 | 0.5779 | no |
| BIO | 2024-05-13 | 281.29 | 0.4754 | 0.4454 | no |
| BRO | 2024-05-13 | 85.58 | 0.2349 | 0.4921 | no |
| CCI | 2024-05-13 | 87.28 | 0.3826 | 0.4395 | no |
| COF | 2024-05-13 | 139.35 | 0.3777 | 0.4831 | no |
| CSCO | 2024-05-13 | 45.68 | 0.3873 | 0.4902 | no |
| CVX | 2024-05-13 | 150.01 | 0.2296 | 0.5743 | no |
| DD | 2024-05-13 | 94.54 | 0.4312 | 0.4767 | no |
| DVN | 2024-05-13 | 46.78 | 0.2998 | 0.5915 | no |
| DXCM | 2024-05-13 | 128.23 | 0.3016 | 0.4558 | no |
| ED | 2024-05-13 | 89.87 | 0.2431 | — | no |
| EMN | 2024-05-13 | 91.41 | 0.4675 | 0.4966 | no |
| ETR | 2024-05-13 | 52.55 | 0.2759 | 0.4874 | no |
| ETSY | 2024-05-13 | 62.71 | 0.3496 | 0.5043 | no |
| EXC | 2024-05-13 | 34.85 | 0.2166 | 0.4996 | no |
| FCX | 2024-05-13 | 50.54 | 0.6342 | 0.5595 | no |
| GE | 2024-05-13 | 160.94 | 0.2350 | 0.5270 | no |
| GEN | 2024-05-13 | 22.39 | 0.2363 | 0.4969 | no |
| GL | 2024-05-13 | 85.23 | 0.2030 | 0.4920 | no |
| GRMN | 2024-05-13 | 162.46 | 0.5743 | 0.5221 | no |
| HD | 2024-05-13 | 326.37 | 0.2591 | 0.5586 | no |
| HIG | 2024-05-13 | 97.50 | 0.2093 | 0.4691 | no |
| HPQ | 2024-05-13 | 26.85 | 0.2013 | 0.4799 | no |
| ICE | 2024-05-13 | 130.36 | 0.3428 | 0.5060 | no |
| JBL | 2024-05-13 | 117.91 | 0.2734 | 0.5064 | no |
| MCK | 2024-05-13 | 552.74 | 0.2203 | 0.4275 | no |
| MOS | 2024-05-13 | 27.43 | 0.2287 | 0.4525 | no |
| NCLH | 2024-05-13 | 16.17 | 0.3235 | 0.4290 | no |
| PARA | 2024-05-13 | 2697.30 | 0.6297 | — | no |
| PFE | 2024-05-13 | 24.27 | 0.2565 | 0.5485 | no |
| PG | 2024-05-13 | 157.14 | 0.3301 | 0.4309 | no |
| PGR | 2024-05-13 | 199.13 | 0.2116 | 0.4797 | no |
| TFX | 2024-05-13 | 199.69 | 0.3275 | 0.4830 | no |
| UBER | 2024-05-13 | 67.00 | 0.4853 | 0.4892 | no |
| UNP | 2024-05-13 | 234.09 | 0.2819 | 0.5041 | no |
| VLO | 2024-05-13 | 146.74 | 0.4660 | 0.4952 | no |
| VLTO | 2024-05-13 | 95.71 | 0.2098 | 0.5026 | no |
| WAB | 2024-05-13 | 166.33 | 0.3042 | 0.5149 | no |
| WM | 2024-05-13 | 203.22 | 0.2964 | 0.4979 | no |
| WMB | 2024-05-13 | 36.45 | 0.2000 | 0.4607 | no |
| WYNN | 2024-05-13 | 95.69 | 0.4000 | 0.4356 | no |