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 | -4.37% | 1.76% | 2024-05-15 | -6.36% |
| buy & hold | participation factor overlay | 6 months | complete | 7.36% | 7.36% | 2024-11-06 | -6.89% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -3.15% | 1.71% | 2024-05-15 | -5.38% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 7.62% | 7.62% | 2024-11-06 | -5.44% |
| weekly rebalance | participation factor overlay | 3 months | complete | -0.04% | 4.24% | 2024-07-31 | -5.14% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.30% | 13.59% | 2024-10-18 | -5.20% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.13% | 3.81% | 2024-07-31 | -5.04% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.14% | 10.56% | 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 |
|---|---|---|---|---|---|
| AAL | 2024-05-06 | 13.92 | 0.2872 | 0.4768 | no |
| ALB | 2024-05-06 | 125.22 | 0.2782 | 0.4910 | no |
| AMD | 2024-05-06 | 153.10 | 0.5383 | 0.5494 | no |
| AON | 2024-05-06 | 277.35 | 0.3802 | 0.4662 | no |
| BALL | 2024-05-06 | 66.53 | 0.3159 | 0.4526 | no |
| BDX | 2024-05-06 | 176.48 | 0.2618 | 0.4540 | no |
| BMY | 2024-05-06 | 39.64 | 0.2399 | 0.5543 | no |
| CCI | 2024-05-06 | 85.60 | 0.3497 | 0.4401 | no |
| CE | 2024-05-06 | 156.10 | 0.2802 | 0.4809 | no |
| CME | 2024-05-06 | 190.10 | 0.3691 | 0.5166 | no |
| CNP | 2024-05-06 | 27.72 | 0.2530 | 0.4739 | no |
| CRL | 2024-05-06 | 235.60 | 0.2620 | 0.4701 | no |
| CSCO | 2024-05-06 | 44.64 | 0.3189 | 0.4933 | no |
| CSX | 2024-05-06 | 32.69 | 0.2834 | 0.4919 | no |
| DD | 2024-05-06 | 93.61 | 0.3941 | 0.4765 | no |
| DVN | 2024-05-06 | 47.35 | 0.4653 | 0.5916 | no |
| EOG | 2024-05-06 | 121.51 | 0.3161 | 0.6026 | no |
| FCX | 2024-05-06 | 49.77 | 0.3357 | 0.5644 | no |
| FE | 2024-05-06 | 35.59 | 0.2397 | 0.4682 | no |
| FFIV | 2024-05-06 | 166.41 | 0.3484 | 0.4861 | no |
| FMC | 2024-05-06 | 56.47 | 0.4905 | 0.4287 | no |
| GE | 2024-05-06 | 162.96 | 0.2897 | 0.5269 | no |
| GRMN | 2024-05-06 | 160.50 | 0.2603 | 0.5260 | no |
| HD | 2024-05-06 | 324.44 | 0.2736 | 0.5615 | no |
| HIG | 2024-05-06 | 94.43 | 0.2548 | 0.4691 | no |
| HPE | 2024-05-06 | 16.06 | 0.4915 | 0.5179 | no |
| HSIC | 2024-05-06 | 68.45 | 0.4188 | 0.4650 | no |
| HUBB | 2024-05-06 | 371.74 | 0.2296 | 0.5333 | no |
| IQV | 2024-05-06 | 224.97 | 0.2980 | 0.4346 | no |
| IR | 2024-05-06 | 87.86 | 0.2852 | 0.5423 | no |
| ITW | 2024-05-06 | 232.01 | 0.2933 | 0.5390 | no |
| J | 2024-05-06 | 120.67 | 0.2786 | 0.5410 | no |
| LDOS | 2024-05-06 | 138.59 | 0.2575 | 0.5277 | no |
| LUV | 2024-05-06 | 24.91 | 0.2442 | 0.4716 | no |
| LVS | 2024-05-06 | 45.00 | 0.3197 | 0.4344 | no |
| MDT | 2024-05-06 | 76.67 | 0.3653 | 0.4305 | no |
| NCLH | 2024-05-06 | 16.17 | 0.4435 | 0.4297 | no |
| NUE | 2024-05-06 | 169.67 | 0.2390 | 0.4939 | no |
| PARA | 2024-05-06 | 2762.69 | 0.6524 | — | no |
| PH | 2024-05-06 | 531.06 | 0.2455 | 0.5283 | no |
| ROST | 2024-05-06 | 127.79 | 0.3002 | 0.4330 | no |
| SRE | 2024-05-06 | 68.08 | 0.2568 | 0.5288 | no |
| UNP | 2024-05-06 | 228.79 | 0.4118 | 0.5041 | no |
| VICI | 2024-05-06 | 24.92 | 0.2917 | 0.4612 | no |
| VLO | 2024-05-06 | 147.93 | 0.4411 | 0.4953 | no |
| VRSN | 2024-05-06 | 165.98 | 0.4645 | 0.4659 | no |
| VRTX | 2024-05-06 | 402.77 | 0.2859 | 0.5727 | no |
| WDC | 2024-05-06 | 54.16 | 0.2881 | 0.5380 | no |
| WST | 2024-05-06 | 364.08 | 0.2382 | 0.4678 | no |
| XEL | 2024-05-06 | 50.13 | 0.4272 | 0.4841 | no |