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 | 4.04% | 4.42% | 2024-09-19 | -7.54% |
| buy & hold | participation factor overlay | 6 months | complete | 1.02% | 7.97% | 2024-11-25 | -8.42% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 4.53% | 4.78% | 2024-09-19 | -6.51% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 1.73% | 7.45% | 2024-11-25 | -7.25% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.56% | 10.56% | 2024-09-24 | -5.20% |
| weekly rebalance | participation factor overlay | 6 months | complete | 10.66% | 16.11% | 2024-12-04 | -6.84% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 8.81% | 8.81% | 2024-09-24 | -5.44% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 8.39% | 13.65% | 2024-12-04 | -6.86% |
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 | 0.2567 | 0.4470 | no |
| ADM | 2024-06-24 | 56.60 | 0.2072 | 0.4678 | no |
| AEE | 2024-06-24 | 65.83 | 0.2698 | 0.4792 | no |
| AES | 2024-06-24 | 16.54 | 0.4252 | — | no |
| ALGN | 2024-06-24 | 241.45 | 0.2979 | 0.4753 | no |
| ALL | 2024-06-24 | 153.87 | 0.3277 | 0.4574 | no |
| APA | 2024-06-24 | 25.75 | 0.2945 | 0.6051 | no |
| BF.B | 2024-06-24 | 40.66 | 0.2129 | — | no |
| BG | 2024-06-24 | 98.62 | 0.3814 | 0.4803 | no |
| BIIB | 2024-06-24 | 225.74 | 0.3621 | 0.5747 | no |
| BX | 2024-06-24 | 115.51 | 0.2337 | 0.4815 | no |
| CVX | 2024-06-24 | 142.23 | 0.2491 | 0.5736 | no |
| CZR | 2024-06-24 | 38.93 | 0.3387 | 0.4508 | no |
| DAL | 2024-06-24 | 48.14 | 0.2815 | 0.4511 | no |
| DG | 2024-06-24 | 122.78 | 0.3356 | 0.5587 | no |
| DLTR | 2024-06-24 | 107.00 | 0.4298 | 0.5519 | no |
| DVN | 2024-06-24 | 43.21 | 0.2603 | 0.5880 | no |
| ECL | 2024-06-24 | 238.57 | 0.2659 | 0.4836 | no |
| EG | 2024-06-24 | 364.06 | 0.2122 | 0.4852 | no |
| F | 2024-06-24 | 10.43 | 0.2108 | 0.4334 | no |
| FAST | 2024-06-24 | 31.21 | 0.3789 | 0.5160 | no |
| FCX | 2024-06-24 | 48.09 | 0.2382 | 0.5535 | no |
| GOOGL | 2024-06-24 | 178.67 | 0.2181 | 0.5188 | no |
| GS | 2024-06-24 | 431.15 | 0.2505 | 0.4571 | no |
| HPQ | 2024-06-24 | 32.96 | 0.2970 | 0.4736 | no |
| HSIC | 2024-06-24 | 67.44 | 0.4202 | 0.4720 | no |
| IP | 2024-06-24 | 42.31 | 0.2196 | 0.4931 | no |
| KEYS | 2024-06-24 | 136.50 | 0.2135 | 0.5048 | no |
| LYV | 2024-06-24 | 93.09 | 0.2006 | 0.4530 | no |
| MCD | 2024-06-24 | 245.32 | 0.2570 | 0.4426 | no |
| MET | 2024-06-24 | 67.23 | 0.1995 | 0.4685 | no |
| MLM | 2024-06-24 | 536.26 | 0.2657 | 0.5291 | no |
| PHM | 2024-06-24 | 109.61 | 0.2721 | 0.5394 | no |
| PNR | 2024-06-24 | 77.73 | 0.2099 | 0.5017 | no |
| QCOM | 2024-06-24 | 197.21 | 0.2428 | 0.5492 | no |
| RF | 2024-06-24 | 17.38 | 0.3742 | 0.4262 | no |
| RMD | 2024-06-24 | 185.90 | 0.2436 | 0.4278 | no |
| SBAC | 2024-06-24 | 185.55 | 0.2252 | 0.4412 | no |
| SBUX | 2024-06-24 | 75.61 | 0.2671 | 0.4587 | no |
| STZ | 2024-06-24 | 249.20 | 0.2945 | 0.4343 | no |
| SWKS | 2024-06-24 | 97.73 | 0.4872 | 0.5435 | no |
| TGT | 2024-06-24 | 134.98 | 0.5175 | 0.5406 | no |
| UNP | 2024-06-24 | 215.68 | 0.2798 | 0.4934 | no |
| UPS | 2024-06-24 | 120.07 | 0.1937 | 0.4766 | no |
| USB | 2024-06-24 | 36.24 | 0.2835 | 0.4418 | no |
| VLO | 2024-06-24 | 141.33 | 0.2131 | 0.4946 | no |
| VMC | 2024-06-24 | 243.62 | 0.2461 | 0.5302 | no |
| WST | 2024-06-24 | 329.50 | 0.3262 | 0.4539 | no |
| XEL | 2024-06-24 | 49.89 | 0.1965 | 0.4843 | no |
| XOM | 2024-06-24 | 103.87 | 0.2028 | — | no |