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 | -2.10% | 1.45% | 2024-07-16 | -5.94% |
| buy & hold | participation factor overlay | 6 months | complete | 3.60% | 5.21% | 2024-10-14 | -5.94% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.26% | 1.94% | 2024-07-16 | -5.56% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.25% | 8.37% | 2024-11-07 | -5.56% |
| weekly rebalance | participation factor overlay | 3 months | complete | 0.45% | 1.84% | 2024-07-31 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.55% | 11.82% | 2024-10-18 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.85% | 1.84% | 2024-07-31 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.41% | 8.17% | 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 |
|---|---|---|---|---|---|
| AEP | 2024-05-13 | 85.30 | 0.2768 | 0.4773 | no |
| AJG | 2024-05-13 | 244.69 | 0.2805 | 0.4823 | no |
| AKAM | 2024-05-13 | 91.47 | 0.3658 | 0.4664 | no |
| ALGN | 2024-05-13 | 273.23 | 0.2469 | 0.4748 | no |
| AMCR | 2024-05-13 | 45.34 | 0.3354 | 0.4677 | no |
| AMD | 2024-05-13 | 151.28 | 0.9398 | 0.5479 | no |
| AMT | 2024-05-13 | 171.40 | 0.2647 | 0.4446 | no |
| ANET | 2024-05-13 | 78.02 | 0.2922 | 0.4760 | no |
| BA | 2024-05-13 | 179.04 | 0.2928 | 0.5008 | no |
| BAX | 2024-05-13 | 34.27 | 0.2960 | 0.4626 | no |
| BG | 2024-05-13 | 98.99 | 0.2577 | 0.4795 | no |
| BIIB | 2024-05-13 | 223.00 | 0.2726 | 0.5779 | no |
| BIO | 2024-05-13 | 281.29 | 0.5280 | 0.4454 | no |
| CCI | 2024-05-13 | 87.28 | 0.3877 | 0.4395 | no |
| CME | 2024-05-13 | 190.13 | 0.2603 | 0.5166 | no |
| COF | 2024-05-13 | 139.35 | 0.3346 | 0.4831 | no |
| CSCO | 2024-05-13 | 45.68 | 0.3825 | 0.4902 | no |
| DD | 2024-05-13 | 94.54 | 0.3314 | 0.4767 | no |
| DVN | 2024-05-13 | 46.78 | 0.2769 | 0.5915 | no |
| DXCM | 2024-05-13 | 128.23 | 0.3903 | 0.4558 | no |
| EMN | 2024-05-13 | 91.41 | 0.4578 | 0.4966 | no |
| ETR | 2024-05-13 | 52.55 | 0.2732 | 0.4874 | no |
| FCX | 2024-05-13 | 50.54 | 0.7024 | 0.5595 | no |
| GE | 2024-05-13 | 160.94 | 0.2671 | 0.5270 | no |
| GRMN | 2024-05-13 | 162.46 | 0.3754 | 0.5221 | no |
| HIG | 2024-05-13 | 97.50 | 0.2576 | 0.4691 | no |
| HPE | 2024-05-13 | 16.17 | 0.2886 | 0.5172 | no |
| HSIC | 2024-05-13 | 73.32 | 0.3222 | 0.4729 | no |
| HWM | 2024-05-13 | 80.53 | 0.3689 | 0.5447 | no |
| ICE | 2024-05-13 | 130.36 | 0.4515 | 0.5060 | no |
| IT | 2024-05-13 | 440.55 | 0.2443 | 0.4954 | no |
| LDOS | 2024-05-13 | 143.61 | 0.3149 | 0.5275 | no |
| LVS | 2024-05-13 | 45.05 | 0.3469 | 0.4340 | no |
| MCK | 2024-05-13 | 552.74 | 0.3126 | 0.4275 | no |
| MPC | 2024-05-13 | 171.49 | 0.3474 | 0.5014 | no |
| NCLH | 2024-05-13 | 16.17 | 0.4600 | 0.4290 | no |
| NOC | 2024-05-13 | 455.69 | 0.3249 | 0.5128 | no |
| PARA | 2024-05-13 | 2697.30 | 0.5995 | — | no |
| PG | 2024-05-13 | 157.14 | 0.3462 | 0.4309 | no |
| SMCI | 2024-05-13 | 81.08 | 0.2419 | 0.4561 | no |
| TDY | 2024-05-13 | 394.23 | 0.3560 | 0.4676 | no |
| TFX | 2024-05-13 | 199.69 | 0.2835 | 0.4830 | no |
| TYL | 2024-05-13 | 486.73 | 0.2487 | 0.4458 | no |
| UBER | 2024-05-13 | 67.00 | 0.4902 | 0.4892 | no |
| UNP | 2024-05-13 | 234.09 | 0.2938 | 0.5041 | no |
| UPS | 2024-05-13 | 128.83 | 0.2970 | 0.4869 | no |
| VLO | 2024-05-13 | 146.74 | 0.4775 | 0.4952 | no |
| WAB | 2024-05-13 | 166.33 | 0.3862 | 0.5149 | no |
| WYNN | 2024-05-13 | 95.69 | 0.4673 | 0.4356 | no |
| XEL | 2024-05-13 | 51.41 | 0.2644 | 0.4843 | no |