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 | 5.53% | 5.55% | 2024-09-19 | -5.43% |
| buy & hold | participation factor overlay | 6 months | complete | 2.97% | 8.94% | 2024-11-29 | -7.66% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.49% | 4.49% | 2024-09-24 | -7.05% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 4.62% | 9.75% | 2024-11-29 | -7.05% |
| weekly rebalance | participation factor overlay | 3 months | complete | 9.93% | 9.93% | 2024-09-24 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.57% | 14.05% | 2024-12-02 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.83% | 6.83% | 2024-09-24 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 6.04% | 11.42% | 2024-12-02 | -7.24% |
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 |
|---|---|---|---|---|---|
| ABT | 2024-06-24 | 101.39 | 0.1980 | 0.4472 | no |
| ACGL | 2024-06-24 | 96.89 | 0.3293 | 0.4470 | no |
| ADM | 2024-06-24 | 56.60 | 0.1970 | 0.4678 | no |
| AEE | 2024-06-24 | 65.83 | 0.2399 | 0.4792 | no |
| ALGN | 2024-06-24 | 241.45 | 0.3185 | 0.4753 | no |
| ANET | 2024-06-24 | 83.66 | 0.2666 | 0.4771 | no |
| APD | 2024-06-24 | 258.57 | 0.1935 | 0.4824 | no |
| BF.B | 2024-06-24 | 40.66 | 0.1986 | — | no |
| BG | 2024-06-24 | 98.62 | 0.3091 | 0.4803 | no |
| BIIB | 2024-06-24 | 225.74 | 0.2668 | 0.5747 | no |
| CME | 2024-06-24 | 179.33 | 0.2226 | 0.5139 | no |
| CSX | 2024-06-24 | 32.49 | 0.2174 | 0.4851 | no |
| CVX | 2024-06-24 | 142.23 | 0.2546 | 0.5736 | no |
| CZR | 2024-06-24 | 38.93 | 0.2293 | 0.4508 | no |
| DAL | 2024-06-24 | 48.14 | 0.3734 | 0.4511 | no |
| DG | 2024-06-24 | 122.78 | 0.2183 | 0.5587 | no |
| DLTR | 2024-06-24 | 107.00 | 0.2407 | 0.5519 | no |
| DVN | 2024-06-24 | 43.21 | 0.2511 | 0.5880 | no |
| EIX | 2024-06-24 | 63.86 | 0.1929 | 0.4967 | no |
| EMR | 2024-06-24 | 105.03 | 0.2691 | 0.5267 | no |
| ES | 2024-06-24 | 52.27 | 0.1881 | 0.4680 | no |
| F | 2024-06-24 | 10.43 | 0.3863 | 0.4334 | no |
| FANG | 2024-06-24 | 180.59 | 0.2704 | 0.5727 | no |
| FCX | 2024-06-24 | 48.09 | 0.2962 | 0.5535 | no |
| GE | 2024-06-24 | 161.95 | 0.2731 | 0.5264 | no |
| GL | 2024-06-24 | 81.66 | 0.3092 | 0.4875 | no |
| GOOGL | 2024-06-24 | 178.67 | 0.1887 | 0.5188 | no |
| GS | 2024-06-24 | 431.15 | 0.2949 | 0.4571 | no |
| HSIC | 2024-06-24 | 67.44 | 0.3473 | 0.4720 | no |
| IP | 2024-06-24 | 42.31 | 0.2202 | 0.4931 | no |
| IT | 2024-06-24 | 451.79 | 0.2723 | 0.4931 | no |
| JBL | 2024-06-24 | 112.83 | 0.1961 | 0.5051 | no |
| KEYS | 2024-06-24 | 136.50 | 0.3381 | 0.5048 | no |
| LMT | 2024-06-24 | 442.17 | 0.2295 | 0.5647 | no |
| MCD | 2024-06-24 | 245.32 | 0.4454 | 0.4426 | no |
| MDT | 2024-06-24 | 75.97 | 0.1886 | 0.4508 | no |
| MLM | 2024-06-24 | 536.26 | 0.2614 | 0.5291 | no |
| MS | 2024-06-24 | 91.02 | 0.2378 | 0.4601 | no |
| NEE | 2024-06-24 | 67.91 | 0.2048 | 0.4505 | no |
| NI | 2024-06-24 | 26.54 | 0.2825 | 0.4715 | no |
| PHM | 2024-06-24 | 109.61 | 0.2656 | 0.5394 | no |
| RMD | 2024-06-24 | 185.90 | 0.2225 | 0.4278 | no |
| SBUX | 2024-06-24 | 75.61 | 0.1979 | 0.4587 | no |
| SWKS | 2024-06-24 | 97.73 | 0.3257 | 0.5435 | no |
| TGT | 2024-06-24 | 134.98 | 0.4310 | 0.5406 | no |
| UBER | 2024-06-24 | 69.83 | 0.2547 | 0.4896 | no |
| UNP | 2024-06-24 | 215.68 | 0.2118 | 0.4934 | no |
| VLO | 2024-06-24 | 141.33 | 0.2533 | 0.4946 | no |
| VMC | 2024-06-24 | 243.62 | 0.2349 | 0.5302 | no |
| VTRS | 2024-06-24 | 9.54 | 0.1935 | 0.4472 | no |