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 | -3.30% | 2.91% | 2024-07-16 | -6.60% |
| buy & hold | participation factor overlay | 6 months | complete | 7.91% | 7.91% | 2024-11-06 | -6.85% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.73% | 2.77% | 2024-07-16 | -5.09% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 8.25% | 8.25% | 2024-11-06 | -5.09% |
| weekly rebalance | participation factor overlay | 3 months | complete | 1.56% | 4.35% | 2024-07-31 | -3.95% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.51% | 13.63% | 2024-10-14 | -4.30% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.49% | 3.55% | 2024-07-31 | -5.02% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.77% | 9.77% | 2024-11-06 | -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 |
|---|---|---|---|---|---|
| ALB | 2024-05-06 | 125.22 | 0.3116 | 0.4910 | no |
| AMD | 2024-05-06 | 153.10 | 0.7922 | 0.5494 | no |
| AON | 2024-05-06 | 277.35 | 0.2582 | 0.4662 | no |
| BAX | 2024-05-06 | 35.57 | 0.3212 | 0.4626 | no |
| BEN | 2024-05-06 | 20.78 | 0.2767 | 0.4856 | no |
| CCI | 2024-05-06 | 85.60 | 0.4421 | 0.4401 | no |
| CE | 2024-05-06 | 156.10 | 0.4565 | 0.4809 | no |
| CME | 2024-05-06 | 190.10 | 0.3035 | 0.5166 | no |
| CNP | 2024-05-06 | 27.72 | 0.2577 | 0.4739 | no |
| CRM | 2024-05-06 | 271.35 | 0.2495 | 0.5037 | no |
| CTAS | 2024-05-06 | 165.63 | 0.2388 | 0.4670 | no |
| DD | 2024-05-06 | 93.61 | 0.3522 | 0.4765 | no |
| DVN | 2024-05-06 | 47.35 | 0.4737 | 0.5916 | no |
| EFX | 2024-05-06 | 225.15 | 0.2847 | 0.4853 | no |
| FCX | 2024-05-06 | 49.77 | 0.3783 | 0.5644 | no |
| FE | 2024-05-06 | 35.59 | 0.2591 | 0.4682 | no |
| FMC | 2024-05-06 | 56.47 | 0.5752 | 0.4287 | no |
| GRMN | 2024-05-06 | 160.50 | 0.2817 | 0.5260 | no |
| HD | 2024-05-06 | 324.44 | 0.3181 | 0.5615 | no |
| HPE | 2024-05-06 | 16.06 | 0.2953 | 0.5179 | no |
| HSIC | 2024-05-06 | 68.45 | 0.3914 | 0.4650 | no |
| HUBB | 2024-05-06 | 371.74 | 0.3157 | 0.5333 | no |
| HUM | 2024-05-06 | 311.97 | 0.2407 | 0.4821 | no |
| HWM | 2024-05-06 | 79.21 | 0.3724 | 0.5445 | no |
| ICE | 2024-05-06 | 126.89 | 0.2788 | 0.5060 | no |
| INTU | 2024-05-06 | 620.38 | 0.3270 | 0.4661 | no |
| IR | 2024-05-06 | 87.86 | 0.2771 | 0.5423 | no |
| ISRG | 2024-05-06 | 382.63 | 0.3715 | 0.4746 | no |
| KEYS | 2024-05-06 | 150.30 | 0.2394 | 0.4978 | no |
| LDOS | 2024-05-06 | 138.59 | 0.2421 | 0.5277 | no |
| LHX | 2024-05-06 | 203.54 | 0.3991 | 0.5399 | no |
| LKQ | 2024-05-06 | 40.39 | 0.2428 | 0.4937 | no |
| LVS | 2024-05-06 | 45.00 | 0.2386 | 0.4344 | no |
| MDT | 2024-05-06 | 76.67 | 0.2644 | 0.4305 | no |
| NCLH | 2024-05-06 | 16.17 | 0.3298 | 0.4297 | no |
| NUE | 2024-05-06 | 169.67 | 0.2557 | 0.4939 | no |
| NWS | 2024-05-06 | 24.93 | 0.3558 | — | no |
| ODFL | 2024-05-06 | 182.48 | 0.2379 | 0.4811 | no |
| PARA | 2024-05-06 | 2762.69 | 0.6001 | — | no |
| PCAR | 2024-05-06 | 98.01 | 0.2461 | 0.5283 | no |
| RL | 2024-05-06 | 162.92 | 0.2873 | 0.4306 | no |
| SLB | 2024-05-06 | 44.98 | 0.2636 | 0.5122 | no |
| STLD | 2024-05-06 | 131.98 | 0.4421 | 0.5366 | no |
| UNP | 2024-05-06 | 228.79 | 0.3579 | 0.5041 | no |
| VICI | 2024-05-06 | 24.92 | 0.3200 | 0.4612 | no |
| VRSN | 2024-05-06 | 165.98 | 0.4035 | 0.4659 | no |
| VRTX | 2024-05-06 | 402.77 | 0.3195 | 0.5727 | no |
| WDC | 2024-05-06 | 54.16 | 0.2698 | 0.5380 | no |
| WST | 2024-05-06 | 364.08 | 0.3875 | 0.4678 | no |
| XEL | 2024-05-06 | 50.13 | 0.2827 | 0.4841 | no |