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 | -2.29% | 2.55% | 2024-07-16 | -7.71% |
| buy & hold | participation factor overlay | 6 months | complete | 5.03% | 5.76% | 2024-11-11 | -7.71% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.49% | 2.46% | 2024-07-16 | -6.72% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.62% | 8.38% | 2024-11-07 | -6.72% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.08% | 2.77% | 2024-07-31 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.82% | 11.99% | 2024-10-18 | -5.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 0.88% | 2.69% | 2024-07-31 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.71% | 9.36% | 2024-10-18 | -5.44% |
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 | 0.3104 | 0.4773 | no |
| AKAM | 2024-05-13 | 91.47 | 0.2851 | 0.4664 | no |
| ALGN | 2024-05-13 | 273.23 | 0.2509 | 0.4748 | no |
| AMCR | 2024-05-13 | 45.34 | 0.4597 | 0.4677 | no |
| AMD | 2024-05-13 | 151.28 | 0.6053 | 0.5479 | no |
| ANET | 2024-05-13 | 78.02 | 0.3336 | 0.4760 | no |
| AVY | 2024-05-13 | 215.34 | 0.2748 | 0.4643 | no |
| BEN | 2024-05-13 | 21.02 | 0.3467 | 0.4856 | no |
| BF.B | 2024-05-13 | 45.74 | 0.3663 | — | no |
| BG | 2024-05-13 | 98.99 | 0.3499 | 0.4795 | no |
| BIO | 2024-05-13 | 281.29 | 0.5108 | 0.4454 | no |
| CCI | 2024-05-13 | 87.28 | 0.3023 | 0.4395 | no |
| CME | 2024-05-13 | 190.13 | 0.3015 | 0.5166 | no |
| COF | 2024-05-13 | 139.35 | 0.3962 | 0.4831 | no |
| CSCO | 2024-05-13 | 45.68 | 0.4046 | 0.4902 | no |
| DD | 2024-05-13 | 94.54 | 0.4623 | 0.4767 | no |
| DVN | 2024-05-13 | 46.78 | 0.2611 | 0.5915 | no |
| DXCM | 2024-05-13 | 128.23 | 0.4718 | 0.4558 | no |
| EMN | 2024-05-13 | 91.41 | 0.4467 | 0.4966 | no |
| FCX | 2024-05-13 | 50.54 | 0.5458 | 0.5595 | no |
| FTV | 2024-05-13 | 57.48 | 0.2537 | 0.5273 | no |
| GEN | 2024-05-13 | 22.39 | 0.3830 | 0.4969 | no |
| GRMN | 2024-05-13 | 162.46 | 0.4006 | 0.5221 | no |
| HIG | 2024-05-13 | 97.50 | 0.2477 | 0.4691 | no |
| HPE | 2024-05-13 | 16.17 | 0.2385 | 0.5172 | no |
| HWM | 2024-05-13 | 80.53 | 0.2758 | 0.5447 | no |
| ICE | 2024-05-13 | 130.36 | 0.4301 | 0.5060 | no |
| LRCX | 2024-05-13 | 90.33 | 0.2461 | 0.5611 | no |
| LUV | 2024-05-13 | 26.01 | 0.3397 | 0.4723 | no |
| MCK | 2024-05-13 | 552.74 | 0.3004 | 0.4275 | no |
| MSCI | 2024-05-13 | 472.64 | 0.3704 | 0.5053 | no |
| NCLH | 2024-05-13 | 16.17 | 0.5003 | 0.4290 | no |
| NOC | 2024-05-13 | 455.69 | 0.2662 | 0.5128 | no |
| NWS | 2024-05-13 | 25.57 | 0.2889 | — | no |
| PARA | 2024-05-13 | 2697.30 | 1.0300 | — | no |
| PFE | 2024-05-13 | 24.27 | 0.3576 | 0.5485 | no |
| PG | 2024-05-13 | 157.14 | 0.2637 | 0.4309 | no |
| PTC | 2024-05-13 | 180.82 | 0.2861 | 0.5253 | no |
| ROST | 2024-05-13 | 131.37 | 0.2652 | 0.4312 | no |
| SNPS | 2024-05-13 | 561.37 | 0.3055 | 0.5627 | no |
| SPG | 2024-05-13 | 131.44 | 0.2334 | 0.4279 | no |
| STT | 2024-05-13 | 71.92 | 0.3018 | 0.4737 | no |
| TFX | 2024-05-13 | 199.69 | 0.3005 | 0.4830 | no |
| UBER | 2024-05-13 | 67.00 | 0.4038 | 0.4892 | no |
| UNP | 2024-05-13 | 234.09 | 0.3072 | 0.5041 | no |
| VLO | 2024-05-13 | 146.74 | 0.5873 | 0.4952 | no |
| VLTO | 2024-05-13 | 95.71 | 0.3180 | 0.5026 | no |
| WAB | 2024-05-13 | 166.33 | 0.4324 | 0.5149 | no |
| WFC | 2024-05-13 | 58.87 | 0.4213 | 0.4364 | no |
| WYNN | 2024-05-13 | 95.69 | 0.3741 | 0.4356 | no |