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 | 9.06% | 9.76% | 2024-09-30 | -5.58% |
| buy & hold | participation factor overlay | 6 months | complete | 3.74% | 10.18% | 2024-10-18 | -6.97% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | 8.40% | 9.13% | 2024-09-30 | -5.49% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.55% | 9.86% | 2024-11-29 | -6.93% |
| weekly rebalance | participation factor overlay | 3 months | complete | 10.07% | 11.23% | 2024-09-27 | -5.56% |
| weekly rebalance | participation factor overlay | 6 months | complete | 6.78% | 13.90% | 2024-12-02 | -6.82% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 6.52% | 7.64% | 2024-09-27 | -7.24% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 4.10% | 10.88% | 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 | 2024-07-01 | 99.36 | 0.2990 | 0.4441 | no |
| ACGL | 2024-07-01 | 96.96 | 0.2850 | 0.4448 | no |
| ADM | 2024-07-01 | 56.34 | 0.2351 | 0.4556 | no |
| AEE | 2024-07-01 | 66.79 | 0.3428 | 0.4717 | no |
| AMD | 2024-07-01 | 161.25 | 0.2511 | 0.5499 | no |
| AMZN | 2024-07-01 | 193.49 | 0.1963 | 0.4945 | no |
| BF.B | 2024-07-01 | 40.40 | 0.2277 | — | no |
| BWA | 2024-07-01 | 31.55 | 0.2616 | 0.4193 | no |
| CAG | 2024-07-01 | 24.71 | 0.2113 | 0.4496 | no |
| CB | 2024-07-01 | 251.32 | 0.2235 | 0.4833 | no |
| CCI | 2024-07-01 | 86.17 | 0.2019 | 0.4423 | no |
| CZR | 2024-07-01 | 39.74 | 0.1946 | 0.4486 | no |
| DLTR | 2024-07-01 | 106.87 | 0.3490 | 0.5501 | no |
| DRI | 2024-07-01 | 141.28 | 0.2169 | 0.4275 | no |
| DTE | 2024-07-01 | 104.31 | 0.2717 | 0.4750 | no |
| DVA | 2024-07-01 | 139.32 | 0.2956 | 0.4380 | no |
| DVN | 2024-07-01 | 44.75 | 0.2358 | 0.5729 | no |
| EMR | 2024-07-01 | 106.99 | 0.3017 | 0.5178 | no |
| ES | 2024-07-01 | 52.05 | 0.2952 | 0.4604 | no |
| ETR | 2024-07-01 | 50.42 | 0.2805 | 0.4839 | no |
| ETSY | 2024-07-01 | 59.18 | 0.4330 | 0.5087 | no |
| EVRG | 2024-07-01 | 48.92 | 0.2953 | 0.4842 | no |
| EXPE | 2024-07-01 | 124.50 | 0.2009 | 0.4574 | no |
| FANG | 2024-07-01 | 189.71 | 0.2178 | 0.5619 | no |
| FE | 2024-07-01 | 35.17 | 0.2630 | 0.4645 | no |
| GEHC | 2024-07-01 | 78.04 | 0.2504 | 0.5085 | no |
| HWM | 2024-07-01 | 78.30 | 0.3154 | 0.5312 | no |
| IR | 2024-07-01 | 91.86 | 0.2393 | 0.5313 | no |
| IRM | 2024-07-01 | 83.21 | 0.1946 | 0.4364 | no |
| KEYS | 2024-07-01 | 136.75 | 0.3236 | 0.5051 | no |
| LMT | 2024-07-01 | 443.88 | 0.1865 | 0.5520 | no |
| LNT | 2024-07-01 | 47.53 | 0.3165 | 0.4237 | no |
| MCD | 2024-07-01 | 241.37 | 0.2501 | 0.4423 | no |
| MDLZ | 2024-07-01 | 61.88 | 0.1866 | 0.4467 | no |
| MOH | 2024-07-01 | 297.74 | 0.4059 | 0.4327 | no |
| NEE | 2024-07-01 | 66.93 | 0.3035 | 0.4446 | no |
| NSC | 2024-07-01 | 205.50 | 0.2379 | 0.4636 | no |
| ON | 2024-07-01 | 68.96 | 0.1930 | 0.5354 | no |
| PFE | 2024-07-01 | 24.07 | 0.2228 | 0.5358 | no |
| QRVO | 2024-07-01 | 116.94 | 0.4251 | — | no |
| RF | 2024-07-01 | 18.34 | 0.2698 | 0.4199 | no |
| SWK | 2024-07-01 | 72.87 | 0.3502 | 0.5180 | no |
| SWKS | 2024-07-01 | 98.65 | 0.2550 | 0.5397 | no |
| SYF | 2024-07-01 | 45.55 | 0.1861 | 0.4517 | no |
| TGT | 2024-07-01 | 136.21 | 0.2079 | 0.5392 | no |
| TXT | 2024-07-01 | 86.29 | 0.2611 | 0.5097 | no |
| VTRS | 2024-07-01 | 9.72 | 0.1971 | 0.4441 | no |
| WFC | 2024-07-01 | 56.64 | 0.2305 | 0.4232 | no |
| WMT | 2024-07-01 | 66.48 | 0.2542 | 0.5326 | no |
| XRAY | 2024-07-01 | 23.50 | 0.2373 | 0.4395 | no |