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 | 3.24% | 4.61% | 2024-07-16 | -3.81% |
| buy & hold | participation factor overlay | 6 months | complete | 7.40% | 8.92% | 2024-10-16 | -5.45% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 6.01% | 7.15% | 2024-07-16 | -4.14% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 11.20% | 13.12% | 2024-10-16 | -5.57% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.90% | 4.54% | 2024-07-16 | -3.37% |
| weekly rebalance | participation factor overlay | 6 months | complete | 13.45% | 14.97% | 2024-10-18 | -5.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.09% | 3.82% | 2024-07-16 | -3.88% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 10.36% | 11.82% | 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 |
|---|---|---|---|---|---|
| ADM | 2024-04-22 | 57.42 | 0.3563 | 0.4577 | no |
| ADSK | 2024-04-22 | 218.70 | 0.3279 | 0.5369 | no |
| AIZ | 2024-04-22 | 168.35 | 0.1875 | 0.4391 | no |
| ALL | 2024-04-22 | 164.91 | 0.2189 | 0.4541 | no |
| APTV | 2024-04-22 | 70.27 | 0.2036 | 0.4475 | no |
| AVY | 2024-04-22 | 201.26 | 0.1804 | 0.5138 | no |
| C | 2024-04-22 | 55.45 | 0.1973 | 0.4546 | no |
| CCI | 2024-04-22 | 83.11 | 0.3110 | 0.4462 | no |
| CMS | 2024-04-22 | 54.90 | 0.2047 | 0.4554 | no |
| CRM | 2024-04-22 | 274.51 | 0.1822 | 0.5149 | no |
| CSCO | 2024-04-22 | 45.85 | 0.2354 | 0.4963 | no |
| CTAS | 2024-04-22 | 163.11 | 0.2372 | 0.4674 | no |
| CZR | 2024-04-22 | 38.57 | 0.3946 | 0.4498 | no |
| DD | 2024-04-22 | 88.26 | 0.1849 | 0.4908 | no |
| DTE | 2024-04-22 | 100.44 | 0.2583 | 0.4615 | no |
| DXCM | 2024-04-22 | 131.26 | 0.2913 | 0.4547 | no |
| EFX | 2024-04-22 | 215.74 | 0.3324 | 0.4849 | no |
| ETN | 2024-04-22 | 296.24 | 0.2875 | 0.5310 | no |
| EXPE | 2024-04-22 | 127.73 | 0.1849 | 0.4539 | no |
| FE | 2024-04-22 | 34.37 | 0.2240 | 0.4589 | no |
| GEN | 2024-04-22 | 19.78 | 0.4099 | 0.5495 | no |
| GOOGL | 2024-04-22 | 152.86 | 0.2411 | 0.4732 | no |
| GPC | 2024-04-22 | 150.04 | 0.2489 | 0.5552 | no |
| HIG | 2024-04-22 | 95.45 | 0.2361 | 0.4550 | no |
| HON | 2024-04-22 | 182.55 | 0.1694 | 0.5303 | no |
| HRL | 2024-04-22 | 31.63 | 0.1873 | 0.4546 | no |
| HSIC | 2024-04-22 | 70.95 | 0.2848 | 0.4769 | no |
| HUBB | 2024-04-22 | 379.20 | 0.2218 | 0.5235 | no |
| KO | 2024-04-22 | 56.05 | 0.2670 | 0.4359 | no |
| L | 2024-04-22 | 75.25 | 0.1799 | — | no |
| LHX | 2024-04-22 | 197.28 | 0.4444 | 0.5432 | no |
| LLY | 2024-04-22 | 717.44 | 0.2260 | 0.4759 | no |
| MCD | 2024-04-22 | 257.62 | 0.1694 | 0.4527 | no |
| MHK | 2024-04-22 | 109.35 | 0.2275 | 0.5243 | no |
| MOH | 2024-04-22 | 367.49 | 0.1904 | 0.4590 | no |
| MOS | 2024-04-22 | 28.38 | 0.2261 | 0.4574 | no |
| MPC | 2024-04-22 | 186.90 | 0.2037 | 0.5081 | no |
| MSCI | 2024-04-22 | 497.84 | 0.5173 | 0.5107 | no |
| NRG | 2024-04-22 | 67.83 | 0.4111 | 0.4623 | no |
| NVDA | 2024-04-22 | 77.88 | 0.2347 | 0.5562 | no |
| PARA | 2024-04-22 | 3056.94 | 0.5213 | — | no |
| PFE | 2024-04-22 | 22.05 | 0.2813 | 0.5387 | no |
| RSG | 2024-04-22 | 185.93 | 0.1928 | 0.4904 | no |
| SMCI | 2024-04-22 | 73.19 | 0.3684 | 0.4986 | no |
| TDY | 2024-04-22 | 403.63 | 0.2218 | 0.4741 | no |
| TYL | 2024-04-22 | 407.36 | 0.1948 | 0.4868 | no |
| UPS | 2024-04-22 | 123.41 | 0.2235 | 0.4868 | no |
| VLO | 2024-04-22 | 153.30 | 0.1791 | 0.4858 | no |
| VRSN | 2024-04-22 | 181.75 | 0.1993 | 0.4836 | no |
| XRAY | 2024-04-22 | 28.46 | 0.2766 | 0.4985 | no |