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 | 4.66% | 6.22% | 2024-07-16 | -3.28% |
| buy & hold | participation factor overlay | 6 months | complete | 13.74% | 14.85% | 2024-10-18 | -6.05% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.19% | 5.77% | 2024-07-16 | -3.25% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 12.07% | 13.10% | 2024-10-18 | -5.83% |
| weekly rebalance | participation factor overlay | 3 months | complete | 4.32% | 5.25% | 2024-07-16 | -3.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.72% | 15.61% | 2024-10-14 | -3.95% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.48% | 5.02% | 2024-05-15 | -4.83% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.46% | 12.09% | 2024-10-18 | -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 |
|---|---|---|---|---|---|
| ACGL | 2024-04-22 | 89.06 | 0.2159 | 0.4553 | no |
| ADM | 2024-04-22 | 57.42 | 0.2847 | 0.4577 | no |
| ADSK | 2024-04-22 | 218.70 | 0.2083 | 0.5369 | no |
| AEE | 2024-04-22 | 68.47 | 0.1961 | 0.4667 | no |
| APD | 2024-04-22 | 218.92 | 0.2741 | 0.4845 | no |
| ATO | 2024-04-22 | 110.32 | 0.2454 | 0.4771 | no |
| BF.B | 2024-04-22 | 45.96 | 0.1929 | — | no |
| BLDR | 2024-04-22 | 178.07 | 0.2001 | 0.5218 | no |
| BXP | 2024-04-22 | 53.93 | 0.3610 | 0.4322 | no |
| C | 2024-04-22 | 55.45 | 0.1821 | 0.4546 | no |
| CB | 2024-04-22 | 244.69 | 0.2120 | 0.4805 | no |
| CCI | 2024-04-22 | 83.11 | 0.2577 | 0.4462 | no |
| CEG | 2024-04-22 | 178.90 | 0.3415 | 0.4467 | no |
| CMS | 2024-04-22 | 54.90 | 0.3341 | 0.4554 | no |
| CSCO | 2024-04-22 | 45.85 | 0.3136 | 0.4963 | no |
| CTAS | 2024-04-22 | 163.11 | 0.3049 | 0.4674 | no |
| CZR | 2024-04-22 | 38.57 | 0.3677 | 0.4498 | no |
| DAL | 2024-04-22 | 46.48 | 0.2202 | 0.4641 | no |
| DD | 2024-04-22 | 88.26 | 0.3580 | 0.4908 | no |
| DTE | 2024-04-22 | 100.44 | 0.4356 | 0.4615 | no |
| DXCM | 2024-04-22 | 131.26 | 0.3687 | 0.4547 | no |
| EFX | 2024-04-22 | 215.74 | 0.2132 | 0.4849 | no |
| ETN | 2024-04-22 | 296.24 | 0.2932 | 0.5310 | no |
| EXPE | 2024-04-22 | 127.73 | 0.2023 | 0.4539 | no |
| FCX | 2024-04-22 | 46.88 | 0.3838 | 0.5267 | no |
| FE | 2024-04-22 | 34.37 | 0.3036 | 0.4589 | no |
| HIG | 2024-04-22 | 95.45 | 0.3430 | 0.4550 | no |
| HSIC | 2024-04-22 | 70.95 | 0.2913 | 0.4769 | no |
| HUBB | 2024-04-22 | 379.20 | 0.2573 | 0.5235 | no |
| IRM | 2024-04-22 | 69.69 | 0.3031 | 0.4351 | no |
| JPM | 2024-04-22 | 177.51 | 0.2435 | 0.4397 | no |
| LHX | 2024-04-22 | 197.28 | 0.3285 | 0.5432 | no |
| MOS | 2024-04-22 | 28.38 | 0.2685 | 0.4574 | no |
| MPC | 2024-04-22 | 186.90 | 0.2416 | 0.5081 | no |
| MSCI | 2024-04-22 | 497.84 | 0.2142 | 0.5107 | no |
| NRG | 2024-04-22 | 67.83 | 0.3486 | 0.4623 | no |
| NVDA | 2024-04-22 | 77.88 | 0.3905 | 0.5562 | no |
| OXY | 2024-04-22 | 63.00 | 0.3224 | 0.5776 | no |
| PARA | 2024-04-22 | 3056.94 | 0.5246 | — | no |
| PFE | 2024-04-22 | 22.05 | 0.2148 | 0.5387 | no |
| PODD | 2024-04-22 | 165.73 | 0.2208 | 0.4834 | no |
| RSG | 2024-04-22 | 185.93 | 0.2653 | 0.4904 | no |
| SMCI | 2024-04-22 | 73.19 | 0.2166 | 0.4986 | no |
| STLD | 2024-04-22 | 132.73 | 0.2516 | 0.5568 | no |
| SYF | 2024-04-22 | 40.04 | 0.1908 | 0.4486 | no |
| TSN | 2024-04-22 | 55.26 | 0.1962 | 0.4530 | no |
| TT | 2024-04-22 | 284.96 | 0.1882 | 0.5213 | no |
| VLO | 2024-04-22 | 153.30 | 0.3236 | 0.4858 | no |
| WMB | 2024-04-22 | 35.35 | 0.1982 | 0.4493 | no |
| WMT | 2024-04-22 | 58.12 | 0.2280 | 0.5719 | no |