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 | 0.56% | 3.95% | 2024-08-26 | -5.93% |
| buy & hold | participation factor overlay | 6 months | complete | 4.87% | 7.03% | 2024-10-18 | -5.93% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 0.92% | 4.78% | 2024-07-31 | -5.78% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.92% | 7.19% | 2024-10-18 | -5.78% |
| weekly rebalance | participation factor overlay | 3 months | complete | 5.70% | 7.81% | 2024-08-30 | -5.58% |
| weekly rebalance | participation factor overlay | 6 months | complete | 12.91% | 14.96% | 2024-11-25 | -5.58% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.94% | 6.85% | 2024-08-30 | -6.71% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 9.84% | 11.51% | 2024-11-25 | -6.71% |
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 | 2024-06-10 | 11.43 | 0.2067 | 0.4729 | no |
| ABNB | 2024-06-10 | 146.01 | 0.2640 | 0.4485 | no |
| ADM | 2024-06-10 | 56.75 | 0.3270 | 0.4678 | no |
| AEE | 2024-06-10 | 66.05 | 0.2372 | 0.4792 | no |
| BF.B | 2024-06-10 | 40.70 | 0.5131 | — | no |
| BSX | 2024-06-10 | 76.95 | 0.2094 | 0.4568 | no |
| BWA | 2024-06-10 | 33.18 | 0.2251 | 0.4297 | no |
| CCI | 2024-06-10 | 87.67 | 0.2254 | 0.4428 | no |
| COO | 2024-06-10 | 93.61 | 0.2057 | 0.4292 | no |
| CRM | 2024-06-10 | 237.57 | 0.2614 | 0.4603 | no |
| CSCO | 2024-06-10 | 43.30 | 0.3079 | 0.4869 | no |
| CSGP | 2024-06-10 | 76.15 | 0.3032 | 0.4329 | no |
| CTVA | 2024-06-10 | 51.48 | 0.2284 | 0.4904 | no |
| CVX | 2024-06-10 | 142.36 | 0.4132 | 0.5746 | no |
| DG | 2024-06-10 | 120.24 | 0.3150 | 0.5604 | no |
| DLTR | 2024-06-10 | 111.28 | 0.4416 | 0.5524 | no |
| F | 2024-06-10 | 10.60 | 0.2686 | 0.4336 | no |
| FANG | 2024-06-10 | 179.32 | 0.3866 | 0.5750 | no |
| FCX | 2024-06-10 | 48.13 | 0.2326 | 0.5578 | no |
| GE | 2024-06-10 | 159.88 | 0.2018 | 0.5265 | no |
| GEHC | 2024-06-10 | 75.67 | 0.4408 | 0.5122 | no |
| HII | 2024-06-10 | 237.70 | 0.2153 | 0.5495 | no |
| HRL | 2024-06-10 | 27.72 | 0.2265 | 0.4386 | no |
| HSIC | 2024-06-10 | 67.94 | 0.2131 | 0.4720 | no |
| HWM | 2024-06-10 | 82.83 | 0.2754 | 0.5446 | no |
| KHC | 2024-06-10 | 29.94 | 0.2294 | 0.4389 | no |
| KMI | 2024-06-10 | 17.84 | 0.2222 | 0.5367 | no |
| LMT | 2024-06-10 | 443.86 | 0.2910 | 0.5647 | no |
| LRCX | 2024-06-10 | 93.73 | 0.2173 | 0.5626 | no |
| MDLZ | 2024-06-10 | 62.94 | 0.2257 | 0.4513 | no |
| MPWR | 2024-06-10 | 732.65 | 0.2975 | 0.5231 | no |
| MS | 2024-06-10 | 90.92 | 0.3057 | 0.4662 | no |
| MSCI | 2024-06-10 | 474.04 | 0.2979 | 0.5041 | no |
| MSFT | 2024-06-10 | 417.34 | 0.2800 | 0.4764 | no |
| NEM | 2024-06-10 | 39.03 | 0.4306 | 0.4816 | no |
| NOC | 2024-06-10 | 423.80 | 0.2115 | 0.5125 | no |
| PARA | 2024-06-10 | 1438.56 | 0.5080 | — | no |
| POOL | 2024-06-10 | 323.84 | 0.4607 | 0.4563 | no |
| SBAC | 2024-06-10 | 183.44 | 0.3877 | 0.4470 | no |
| SCHW | 2024-06-10 | 71.31 | 0.2101 | 0.4840 | no |
| SLB | 2024-06-10 | 41.94 | 0.2838 | 0.5120 | no |
| STT | 2024-06-10 | 69.39 | 0.2934 | 0.4737 | no |
| TDY | 2024-06-10 | 387.71 | 0.4470 | 0.4728 | no |
| TER | 2024-06-10 | 138.25 | 0.2814 | 0.5469 | no |
| TGT | 2024-06-10 | 134.10 | 0.2180 | 0.5392 | no |
| TRMB | 2024-06-10 | 54.62 | 0.2665 | 0.5164 | no |
| VLO | 2024-06-10 | 145.08 | 0.3820 | 0.4960 | no |
| VRSK | 2024-06-10 | 258.26 | 0.2919 | 0.4872 | no |
| VTRS | 2024-06-10 | 9.49 | 0.2916 | 0.4481 | no |
| XOM | 2024-06-10 | 105.19 | 0.2755 | — | no |