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 | 2.72% | 4.13% | 2024-07-16 | -3.76% |
| buy & hold | participation factor overlay | 6 months | complete | 7.64% | 8.60% | 2024-10-18 | -6.64% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 3.91% | 5.28% | 2024-07-16 | -3.70% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 9.76% | 10.79% | 2024-10-18 | -6.63% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.06% | 3.96% | 2024-05-15 | -5.26% |
| weekly rebalance | participation factor overlay | 6 months | complete | 11.80% | 13.27% | 2024-10-18 | -5.56% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.14% | 4.07% | 2024-05-15 | -5.29% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.17% | 9.51% | 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 |
|---|---|---|---|---|---|
| ADM | 2024-04-22 | 57.42 | 0.2938 | 0.4577 | no |
| ALL | 2024-04-22 | 164.91 | 0.2950 | 0.4541 | no |
| ATO | 2024-04-22 | 110.32 | 0.2152 | 0.4771 | no |
| AVY | 2024-04-22 | 201.26 | 0.1774 | 0.5138 | no |
| BA | 2024-04-22 | 169.82 | 0.2205 | 0.5089 | no |
| BAX | 2024-04-22 | 38.19 | 0.1874 | 0.4792 | no |
| BWA | 2024-04-22 | 32.07 | 0.1848 | 0.4545 | no |
| CMS | 2024-04-22 | 54.90 | 0.3239 | 0.4554 | no |
| COF | 2024-04-22 | 138.97 | 0.2434 | 0.4425 | no |
| CRM | 2024-04-22 | 274.51 | 0.1783 | 0.5149 | no |
| CSCO | 2024-04-22 | 45.85 | 0.2754 | 0.4963 | no |
| CTAS | 2024-04-22 | 163.11 | 0.3027 | 0.4674 | no |
| CVX | 2024-04-22 | 144.12 | 0.1778 | 0.6076 | no |
| CZR | 2024-04-22 | 38.57 | 0.4397 | 0.4498 | no |
| DD | 2024-04-22 | 88.26 | 0.2228 | 0.4908 | no |
| DTE | 2024-04-22 | 100.44 | 0.3066 | 0.4615 | no |
| DXCM | 2024-04-22 | 131.26 | 0.3349 | 0.4547 | no |
| ELV | 2024-04-22 | 507.38 | 0.1914 | 0.4723 | no |
| EOG | 2024-04-22 | 123.57 | 0.1993 | 0.5796 | no |
| ES | 2024-04-22 | 53.79 | 0.1774 | 0.4544 | no |
| ETN | 2024-04-22 | 296.24 | 0.3049 | 0.5310 | no |
| EXPE | 2024-04-22 | 127.73 | 0.2092 | 0.4539 | no |
| FANG | 2024-04-22 | 186.16 | 0.2068 | 0.5565 | no |
| FCX | 2024-04-22 | 46.88 | 0.2358 | 0.5267 | no |
| FE | 2024-04-22 | 34.37 | 0.2332 | 0.4589 | no |
| GEN | 2024-04-22 | 19.78 | 0.5621 | 0.5495 | no |
| HIG | 2024-04-22 | 95.45 | 0.1830 | 0.4550 | no |
| HRL | 2024-04-22 | 31.63 | 0.2770 | 0.4546 | no |
| HSIC | 2024-04-22 | 70.95 | 0.3394 | 0.4769 | no |
| IVZ | 2024-04-22 | 13.96 | 0.2762 | 0.4813 | no |
| JPM | 2024-04-22 | 177.51 | 0.2033 | 0.4397 | no |
| LHX | 2024-04-22 | 197.28 | 0.3864 | 0.5432 | no |
| LLY | 2024-04-22 | 717.44 | 0.1736 | 0.4759 | no |
| MHK | 2024-04-22 | 109.35 | 0.3433 | 0.5243 | no |
| MPC | 2024-04-22 | 186.90 | 0.3433 | 0.5081 | no |
| MSCI | 2024-04-22 | 497.84 | 0.3864 | 0.5107 | no |
| NRG | 2024-04-22 | 67.83 | 0.5508 | 0.4623 | no |
| NVDA | 2024-04-22 | 77.88 | 0.4784 | 0.5562 | no |
| PARA | 2024-04-22 | 3056.94 | 0.4461 | — | no |
| PCG | 2024-04-22 | 16.59 | 0.2272 | 0.4674 | no |
| RMD | 2024-04-22 | 175.77 | 0.2147 | 0.4493 | no |
| RSG | 2024-04-22 | 185.93 | 0.3925 | 0.4904 | no |
| SBUX | 2024-04-22 | 82.62 | 0.2110 | 0.4563 | no |
| SMCI | 2024-04-22 | 73.19 | 0.3280 | 0.4986 | no |
| TRMB | 2024-04-22 | 58.78 | 0.2077 | 0.5319 | no |
| TT | 2024-04-22 | 284.96 | 0.2678 | 0.5213 | no |
| UPS | 2024-04-22 | 123.41 | 0.1897 | 0.4868 | no |
| VLO | 2024-04-22 | 153.30 | 0.1733 | 0.4858 | no |
| WMB | 2024-04-22 | 35.35 | 0.1901 | 0.4493 | no |
| XRAY | 2024-04-22 | 28.46 | 0.2486 | 0.4985 | no |