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 | 5.57% | 5.57% | 2024-09-24 | -7.12% |
| buy & hold | participation factor overlay | 6 months | complete | 4.82% | 10.09% | 2024-11-25 | -7.12% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 5.61% | 5.61% | 2024-09-24 | -7.99% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 5.56% | 9.43% | 2024-11-25 | -7.99% |
| weekly rebalance | participation factor overlay | 3 months | complete | 11.42% | 11.42% | 2024-09-24 | -3.86% |
| weekly rebalance | participation factor overlay | 6 months | complete | 8.10% | 14.02% | 2024-12-02 | -7.37% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.69% | 8.69% | 2024-09-24 | -5.03% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 5.68% | 11.51% | 2024-12-02 | -7.65% |
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 |
|---|---|---|---|---|---|
| ACGL | 2024-06-24 | 96.89 | 0.3334 | 0.4470 | no |
| ADM | 2024-06-24 | 56.60 | 0.2840 | 0.4678 | no |
| ADSK | 2024-06-24 | 239.67 | 0.2666 | 0.4935 | no |
| ALGN | 2024-06-24 | 241.45 | 0.2566 | 0.4753 | no |
| ALL | 2024-06-24 | 153.87 | 0.3023 | 0.4574 | no |
| APA | 2024-06-24 | 25.75 | 0.2655 | 0.6051 | no |
| BG | 2024-06-24 | 98.62 | 0.2916 | 0.4803 | no |
| BIIB | 2024-06-24 | 225.74 | 0.2193 | 0.5747 | no |
| CINF | 2024-06-24 | 110.05 | 0.1916 | 0.4941 | no |
| CME | 2024-06-24 | 179.33 | 0.3109 | 0.5139 | no |
| CVX | 2024-06-24 | 142.23 | 0.2537 | 0.5736 | no |
| CZR | 2024-06-24 | 38.93 | 0.2625 | 0.4508 | no |
| DAL | 2024-06-24 | 48.14 | 0.3084 | 0.4511 | no |
| DLTR | 2024-06-24 | 107.00 | 0.1989 | 0.5519 | no |
| ECL | 2024-06-24 | 238.57 | 0.2129 | 0.4836 | no |
| EMR | 2024-06-24 | 105.03 | 0.2137 | 0.5267 | no |
| EXPE | 2024-06-24 | 125.23 | 0.2525 | 0.4597 | no |
| FANG | 2024-06-24 | 180.59 | 0.1981 | 0.5727 | no |
| FAST | 2024-06-24 | 31.21 | 0.2238 | 0.5160 | no |
| FCX | 2024-06-24 | 48.09 | 0.2505 | 0.5535 | no |
| FMC | 2024-06-24 | 51.92 | 0.3939 | 0.4671 | no |
| GE | 2024-06-24 | 161.95 | 0.2431 | 0.5264 | no |
| GOOGL | 2024-06-24 | 178.67 | 0.2509 | 0.5188 | no |
| GS | 2024-06-24 | 431.15 | 0.2442 | 0.4571 | no |
| HSIC | 2024-06-24 | 67.44 | 0.3876 | 0.4720 | no |
| JBL | 2024-06-24 | 112.83 | 0.2384 | 0.5051 | no |
| KEYS | 2024-06-24 | 136.50 | 0.2141 | 0.5048 | no |
| KR | 2024-06-24 | 47.76 | 0.2078 | 0.5518 | no |
| MCD | 2024-06-24 | 245.32 | 0.3054 | 0.4426 | no |
| MDT | 2024-06-24 | 75.97 | 0.1654 | 0.4508 | no |
| MLM | 2024-06-24 | 536.26 | 0.1636 | 0.5291 | no |
| MS | 2024-06-24 | 91.02 | 0.3340 | 0.4601 | no |
| MSCI | 2024-06-24 | 472.15 | 0.2276 | 0.5036 | no |
| MU | 2024-06-24 | 141.43 | 0.2605 | 0.5775 | no |
| NEM | 2024-06-24 | 40.91 | 0.2510 | 0.4814 | no |
| NOW | 2024-06-24 | 148.40 | 0.1747 | 0.4829 | no |
| PH | 2024-06-24 | 497.01 | 0.3258 | 0.5279 | no |
| QRVO | 2024-06-24 | 112.18 | 0.2266 | — | no |
| RF | 2024-06-24 | 17.38 | 0.2766 | 0.4262 | no |
| RMD | 2024-06-24 | 185.90 | 0.2042 | 0.4278 | no |
| STZ | 2024-06-24 | 249.20 | 0.2633 | 0.4343 | no |
| SWKS | 2024-06-24 | 97.73 | 0.3734 | 0.5435 | no |
| TGT | 2024-06-24 | 134.98 | 0.6713 | 0.5406 | no |
| TYL | 2024-06-24 | 488.51 | 0.2208 | 0.4484 | no |
| UBER | 2024-06-24 | 69.83 | 0.2746 | 0.4896 | no |
| UNP | 2024-06-24 | 215.68 | 0.3796 | 0.4934 | no |
| VLO | 2024-06-24 | 141.33 | 0.2750 | 0.4946 | no |
| VMC | 2024-06-24 | 243.62 | 0.1828 | 0.5302 | no |
| VTRS | 2024-06-24 | 9.54 | 0.2027 | 0.4472 | no |
| XEL | 2024-06-24 | 49.89 | 0.1958 | 0.4843 | no |