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 | -0.86% | 2.41% | 2024-07-16 | -6.04% |
| buy & hold | participation factor overlay | 6 months | complete | 5.65% | 6.59% | 2024-11-11 | -6.04% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -0.18% | 3.16% | 2024-07-16 | -5.94% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.87% | 8.97% | 2024-11-11 | -5.94% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.27% | 3.27% | 2024-08-13 | -3.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.41% | 11.98% | 2024-10-14 | -4.30% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.58% | 2.24% | 2024-07-31 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.47% | 9.08% | 2024-11-11 | -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 |
|---|---|---|---|---|---|
| AEP | 2024-05-13 | 85.30 | 0.2189 | 0.4773 | no |
| AKAM | 2024-05-13 | 91.47 | 0.2370 | 0.4664 | no |
| ALGN | 2024-05-13 | 273.23 | 0.2830 | 0.4748 | no |
| AMCR | 2024-05-13 | 45.34 | 0.3756 | 0.4677 | no |
| AMD | 2024-05-13 | 151.28 | 0.4140 | 0.5479 | no |
| AMT | 2024-05-13 | 171.40 | 0.2551 | 0.4446 | no |
| BAX | 2024-05-13 | 34.27 | 0.3032 | 0.4626 | no |
| BIIB | 2024-05-13 | 223.00 | 0.3730 | 0.5779 | no |
| BIO | 2024-05-13 | 281.29 | 0.5879 | 0.4454 | no |
| BSX | 2024-05-13 | 73.68 | 0.2555 | 0.4550 | no |
| CCI | 2024-05-13 | 87.28 | 0.3724 | 0.4395 | no |
| COF | 2024-05-13 | 139.35 | 0.2192 | 0.4831 | no |
| CSCO | 2024-05-13 | 45.68 | 0.2926 | 0.4902 | no |
| DD | 2024-05-13 | 94.54 | 0.2870 | 0.4767 | no |
| DVN | 2024-05-13 | 46.78 | 0.2838 | 0.5915 | no |
| DXCM | 2024-05-13 | 128.23 | 0.2395 | 0.4558 | no |
| EG | 2024-05-13 | 365.72 | 0.2238 | 0.4876 | no |
| EMN | 2024-05-13 | 91.41 | 0.4449 | 0.4966 | no |
| ETR | 2024-05-13 | 52.55 | 0.2855 | 0.4874 | no |
| FCX | 2024-05-13 | 50.54 | 0.5856 | 0.5595 | no |
| GE | 2024-05-13 | 160.94 | 0.3600 | 0.5270 | no |
| GEN | 2024-05-13 | 22.39 | 0.4118 | 0.4969 | no |
| GL | 2024-05-13 | 85.23 | 0.2356 | 0.4920 | no |
| GRMN | 2024-05-13 | 162.46 | 0.4231 | 0.5221 | no |
| HPE | 2024-05-13 | 16.17 | 0.3732 | 0.5172 | no |
| HSIC | 2024-05-13 | 73.32 | 0.2612 | 0.4729 | no |
| HSY | 2024-05-13 | 190.60 | 0.2218 | 0.4348 | no |
| ICE | 2024-05-13 | 130.36 | 0.3857 | 0.5060 | no |
| INCY | 2024-05-13 | 57.00 | 0.2875 | 0.5261 | no |
| ISRG | 2024-05-13 | 389.16 | 0.2292 | 0.4729 | no |
| LLY | 2024-05-13 | 750.63 | 0.2912 | 0.4892 | no |
| MCK | 2024-05-13 | 552.74 | 0.2476 | 0.4275 | no |
| MOS | 2024-05-13 | 27.43 | 0.2731 | 0.4525 | no |
| MSFT | 2024-05-13 | 410.03 | 0.2808 | 0.4780 | no |
| NCLH | 2024-05-13 | 16.17 | 0.2562 | 0.4290 | no |
| NOC | 2024-05-13 | 455.69 | 0.2835 | 0.5128 | no |
| NWS | 2024-05-13 | 25.57 | 0.2984 | — | no |
| PARA | 2024-05-13 | 2697.30 | 0.7055 | — | no |
| PG | 2024-05-13 | 157.14 | 0.2643 | 0.4309 | no |
| PNW | 2024-05-13 | 70.81 | 0.3807 | 0.4463 | no |
| PSX | 2024-05-13 | 134.32 | 0.2543 | 0.5011 | no |
| SPG | 2024-05-13 | 131.44 | 0.2543 | 0.4279 | no |
| TFX | 2024-05-13 | 199.69 | 0.2401 | 0.4830 | no |
| UBER | 2024-05-13 | 67.00 | 0.3550 | 0.4892 | no |
| UNP | 2024-05-13 | 234.09 | 0.2566 | 0.5041 | no |
| VLO | 2024-05-13 | 146.74 | 0.4164 | 0.4952 | no |
| VLTO | 2024-05-13 | 95.71 | 0.2816 | 0.5026 | no |
| WAB | 2024-05-13 | 166.33 | 0.3859 | 0.5149 | no |
| WFC | 2024-05-13 | 58.87 | 0.2519 | 0.4364 | no |
| WYNN | 2024-05-13 | 95.69 | 0.4407 | 0.4356 | no |